CME Options History — March 2020 In March 2020, CME traded between $139.04 and $223.25. ATM implied volatility averaged 62.5%, placing in the 76.2% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded below realized volatility by 22.0% (HV 20d: 84.5%). Max pain ranged from $190.00 to $210.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.17.
Notable Days 2020-03-04 : Highest Volume — 8,692 contracts2020-03-12 : Largest IV spike — 34.9% change2020-03-11 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 28.8%Monthly Statistics Metric Avg Min Max Open Close Price $179.26 $139.04 $223.25 $206.28 $173.11 Max Pain $200.45 $190.00 $210.00 $210.00 $190.00 ATM IV 62.5% 32.1% 100.6% 37.5% 61.5% Expected Move 18.3% 10.0% 28.8% 11.9% 18.0% HV 20d 84.5% 44.4% 122.8% 44.4% 116.6% HV 60d 51.3% 28.3% 72.9% 28.3% 72.8% IV Rank 76.2% 47.3% 100.0% 62.9% 53.8% IV Percentile 98.5% 94.8% 100.0% 99.6% 94.8% Term Structure -1.6% -8.0% 3.0% -0.5% -1.9% VWIV 63.5% 38.6% 103.1% 42.3% 60.9% Skew 25d 11.5% 3.3% 21.4% 3.8% 14.6% Skew 10d 22.6% 3.7% 39.2% 3.7% 35.6% Call IV 25d 55.8% 30.9% 90.3% 35.9% 52.9% Put IV 25d 67.4% 34.2% 106.2% 39.7% 67.5% Bid-Ask Spread % 53.60 38.55 71.49 47.02 63.21 Gamma HHI 0.08 0.06 0.11 0.06 0.08 Net GEX -1.4M -5.0M 10.9M -315.7K -2.7M Net DEX 136.9M -205.5M 340.0M 8.6M 143.8M Net VEX -1.8M -2.1M -1.6M -1.7M -2.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.17 0.37 3.75 0.77 0.44 Total Volume 3,951.545 1,773 8,692 3,881 2,274 Total OI 68,147.773 62,787 73,940 64,268 68,218
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-03-02 $206.28 $210.00 37.5% 11.9% 44.4% 62.9% 42.3% 3.8% -0.5% -315.7K 8.6M -1.7M 0.77 47.02 N/A N/A 2,188 1,693 25,259 39,009 2020-03-03 $217.07 $210.00 42.3% 14.5% 48.2% 76.6% 52.5% 4.0% -2.3% 4.8M -124.2M -1.7M 0.37 47.85 N/A N/A 3,917 1,458 26,540 40,162 2020-03-04 $223.25 $210.00 32.1% 10.8% 49.1% 47.3% 38.7% 3.3% -1.2% 10.9M -205.5M -1.6M 0.86 55.75 N/A N/A 4,676 4,016 27,204 40,943 2020-03-05 $220.30 $210.00 37.8% 10.0% 49.0% 63.8% 38.6% 5.9% -2.5% 7.9M -166.6M -1.7M 0.64 49.75 N/A N/A 1,763 1,137 27,992 43,752 2020-03-06 $216.24 $210.00 48.4% 12.2% 49.5% 94.2% 43.6% 7.7% -5.0% 4.6M -86.2M -2.0M 3.41 45.14 N/A N/A 871 2,968 28,098 44,873 2020-03-09 $205.72 $210.00 49.5% 13.9% 52.6% 97.6% 47.2% 9.6% 0.1% -864.4K 39.5M -2.1M 0.99 53.62 N/A N/A 1,010 998 25,648 43,247 2020-03-10 $204.88 $210.00 47.5% 13.9% 52.6% 91.7% 44.7% 6.5% 1.3% -2.0M 59.5M -2.0M 1.26 38.55 N/A N/A 1,017 1,281 25,568 43,565 2020-03-11 $195.43 $210.00 53.6% 15.4% 55.0% 100.0% 50.7% 15.2% -0.2% -4.7M 148.9M -2.0M 0.51 50.50 N/A N/A 2,302 1,182 25,701 43,123 2020-03-12 $175.53 $200.00 72.4% 19.6% 66.0% 100.0% 67.3% 19.7% -5.4% -4.7M 259.1M -1.9M 1.22 44.95 N/A N/A 2,398 2,922 26,869 43,442 2020-03-13 $176.18 $200.00 68.3% 19.5% 66.0% 92.9% 66.9% 19.3% -2.2% -5.0M 262.0M -1.9M 1.40 46.95 N/A N/A 2,446 3,433 27,642 43,126 2020-03-16 $150.11 $200.00 87.9% 25.3% 84.1% 100.0% 84.4% 17.8% -1.9% -3.5M 312.5M -1.7M 1.63 41.76 N/A N/A 1,901 3,099 25,865 42,016 2020-03-17 $162.42 $200.00 82.4% 23.7% 90.6% 92.4% 81.3% 15.8% -3.4% -4.0M 277.3M -1.8M 1.38 46.16 N/A N/A 1,422 1,964 26,505 42,143 2020-03-18 $141.35 $200.00 100.6% 28.8% 100.9% 100.0% 103.1% 15.9% -8.0% -3.1M 316.6M -1.6M 1.79 53.01 N/A N/A 1,009 1,804 27,316 42,716 2020-03-19 $157.65 $200.00 82.0% 23.7% 110.6% 78.1% 85.2% 21.4% -4.9% -4.0M 292.2M -1.8M 3.75 61.00 N/A N/A 1,281 4,806 27,459 43,308 2020-03-20 $148.82 $195.00 68.8% 19.6% 111.5% 62.5% 68.0% 9.4% 2.4% -3.8M 340.0M -1.6M 1.21 71.49 N/A N/A 2,841 3,451 27,970 45,970 2020-03-23 $139.04 $195.00 78.1% 24.4% 112.7% 73.5% 82.7% 7.8% -2.1% -3.4M 274.3M -1.6M 0.62 58.47 N/A N/A 1,312 818 21,729 41,058 2020-03-24 $152.57 $190.00 63.7% 18.3% 119.6% 56.4% 65.4% 9.6% 3.0% -4.1M 248.4M -1.7M 0.58 65.93 N/A N/A 1,612 939 21,626 41,261 2020-03-25 $159.32 $190.00 66.7% 19.4% 118.6% 60.0% 67.8% 11.0% -0.8% -3.6M 210.4M -1.8M 0.41 61.73 N/A N/A 1,261 512 22,453 41,640 2020-03-26 $172.00 $190.00 61.8% 19.1% 122.8% 54.2% 66.9% 10.2% 1.5% -3.0M 139.7M -2.0M 0.47 55.11 N/A N/A 2,772 1,295 23,069 41,818 2020-03-27 $173.65 $190.00 67.1% 20.1% 120.3% 60.5% 70.6% 10.8% 2.3% -3.1M 124.9M -2.0M 0.61 59.68 N/A N/A 2,708 1,662 24,472 42,506 2020-03-30 $172.69 $190.00 65.2% 19.4% 118.6% 58.2% 68.7% 14.3% -3.3% -2.5M 136.5M -2.0M 1.32 61.60 N/A N/A 1,085 1,430 24,307 42,063 2020-03-31 $173.11 $190.00 61.5% 18.0% 116.6% 53.8% 60.9% 14.6% -1.9% -2.7M 143.8M -2.0M 0.44 63.21 N/A N/A 1,577 697 25,033 43,185
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