CME Options History — April 2020

In April 2020, CME traded between $166.31 and $190.74. ATM implied volatility averaged 48.3%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 33.1% (HV 20d: 81.4%). Max pain ranged from $165.00 to $185.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2020-04-20: Highest Volume — 8,382 contracts
  • 2020-04-20: Largest IV spike — 21.3% change
  • 2020-04-03: Highest IV Rank — 58.1%
  • 2020-04-01: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$181.64$166.31$190.74$166.31$178.13
Max Pain$173.81$165.00$185.00$185.00$177.50
ATM IV48.3%33.6%65.1%64.1%35.9%
Expected Move13.5%9.6%18.5%18.5%10.1%
HV 20d81.4%43.5%118.1%116.1%43.5%
HV 60d75.5%73.1%76.8%73.1%76.8%
IV Rank38.2%20.8%58.1%56.9%23.6%
IV Percentile90.0%83.3%95.6%95.6%83.7%
Term Structure-0.6%-6.3%5.7%-2.0%0.5%
VWIV48.5%33.0%74.0%62.4%33.9%
Skew 25d14.8%11.3%21.4%17.7%13.7%
Skew 10d28.4%5.8%52.3%52.3%27.5%
Call IV 25d40.9%23.7%56.1%53.8%30.0%
Put IV 25d55.7%38.7%71.5%71.5%43.8%
Bid-Ask Spread %60.9147.7083.9358.0177.68
Gamma HHI0.070.060.080.080.07
Net GEX-1.4M-4.3M552.5K-2.8M-2.6M
Net DEX74.5M-24.5M181.5M181.5M116.7M
Net VEX-2.0M-2.2M-1.9M-1.9M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.183.910.560.45
Total Volume3,350.0951,1148,3821,4603,202
Total OI74,953.90568,12685,03169,84985,031

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$166.31$185.0064.1%18.5%116.1%56.9%62.4%17.7%-2.0%-2.8M181.5M-1.9M0.5658.01N/AN/A93552526,23843,611
2020-04-02$168.72$165.0062.2%16.8%116.5%54.7%50.7%13.8%0.4%-2.3M163.3M-2.0M0.5454.75N/AN/A72538926,68243,677
2020-04-03$173.28$165.0065.1%17.0%117.4%58.1%55.4%11.3%-2.1%-90.6K126.9M-2.0M0.3047.70N/AN/A2,64879127,06843,876
2020-04-06$181.33$170.0052.8%13.8%118.1%43.6%48.0%12.9%-3.8%-2.0M82.7M-2.0M0.3848.62N/AN/A1,58060326,29543,119
2020-04-07$180.23$170.0049.8%14.3%118.1%40.0%49.7%14.8%-1.6%-2.0M90.1M-2.0M0.8360.95N/AN/A1,9891,64826,84043,385
2020-04-08$180.03$170.0050.7%13.9%117.1%41.0%50.3%16.2%-2.3%-2.1M95.9M-2.0M0.6655.03N/AN/A90659927,87244,526
2020-04-09$190.74$170.0046.1%12.9%112.3%35.6%44.7%15.5%-1.9%-67.3K-5.0M-2.1M1.0063.01N/AN/A1,7031,71028,30444,772
2020-04-13$182.79$170.0045.7%13.2%113.6%35.2%46.6%13.5%1.2%-1.4M66.4M-2.1M0.9164.02N/AN/A1,4981,35828,45244,069
2020-04-14$188.53$170.0042.9%12.1%96.4%31.8%47.9%11.7%5.7%-625.3K8.1M-2.1M0.3358.28N/AN/A2,51281828,80744,343
2020-04-15$186.07$170.0044.6%12.8%93.3%33.8%48.5%12.2%3.9%-685.4K30.2M-2.1M1.3163.13N/AN/A8101,06530,20144,669
2020-04-16$186.51$175.0045.5%12.9%75.9%34.9%45.5%12.6%1.0%-480.5K22.5M-2.0M0.6648.66N/AN/A80152730,33345,150
2020-04-17$190.57$175.0044.4%12.3%67.2%33.5%39.9%11.6%3.9%552.5K-24.5M-2.1M0.5563.71N/AN/A1,22767130,87745,536
2020-04-20$183.55$175.0053.8%15.4%64.8%44.7%60.6%19.6%-2.8%-285.1K46.7M-2.1M3.1563.27N/AN/A2,0216,36127,41540,711
2020-04-21$178.47$177.5056.9%15.8%59.8%48.3%74.0%21.4%-1.2%-2.9M116.9M-2.1M3.9153.80N/AN/A1,4035,48228,67945,914
2020-04-22$180.92$177.5053.6%15.3%51.7%44.5%62.5%20.6%-6.3%-2.9M102.5M-2.2M1.5856.89N/AN/A2,2723,59329,19648,307
2020-04-23$178.73$177.5049.2%13.8%50.5%39.3%51.2%16.0%-0.6%-4.3M124.3M-2.1M1.6861.26N/AN/A7731,29930,77350,109
2020-04-24$183.47$177.5042.4%11.9%43.9%31.2%39.8%13.0%-0.9%-1.4M72.1M-2.1M2.2158.08N/AN/A8231,82231,27550,020
2020-04-27$187.35$177.5038.7%11.1%44.3%26.8%37.6%14.4%-3.5%-148.5K32.5M-2.0M0.6963.35N/AN/A1,03471329,85047,913
2020-04-28$185.17$177.5036.2%10.1%44.5%24.0%36.7%14.0%-0.5%-83.2K49.6M-2.0M0.5375.02N/AN/A4,7522,49530,23748,163
2020-04-29$183.45$177.5033.6%9.6%44.7%20.8%33.0%15.0%0.9%-169.0K65.8M-2.0M0.1883.93N/AN/A3,61565432,12749,610
2020-04-30$178.13$177.5035.9%10.1%43.5%23.6%33.9%13.7%0.5%-2.6M116.7M-1.9M0.4577.68N/AN/A2,20699635,41749,614