CME Options History — May 2020 In May 2020, CME traded between $173.06 and $187.01. ATM implied volatility averaged 34.1%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 3.7% (HV 20d: 37.7%). Max pain ranged from $177.50 to $190.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.01.
Notable Days 2020-05-27 : Highest Volume — 5,265 contracts2020-05-13 : Largest IV spike — 18.0% change2020-05-13 : Highest IV Rank — 25.9%2020-05-01 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $179.31 $173.06 $187.01 $173.88 $181.96 Max Pain $189.38 $177.50 $190.00 $177.50 $190.00 ATM IV 34.1% 30.6% 37.9% 37.4% 31.2% Expected Move 9.9% 8.6% 11.4% 11.4% 9.1% HV 20d 37.7% 34.5% 44.4% 44.4% 36.8% HV 60d 77.0% 74.5% 78.3% 76.9% 74.5% IV Rank 21.4% 17.3% 25.9% 25.3% 18.0% IV Percentile 80.3% 75.4% 84.9% 84.1% 75.4% Term Structure 0.6% -1.7% 3.1% -0.6% -1.0% VWIV 34.9% 28.9% 39.5% 39.2% 35.7% Skew 25d 11.6% 8.3% 24.6% 24.6% 9.6% Skew 10d 23.4% 18.7% 29.6% 29.6% 22.7% Call IV 25d 29.1% 26.0% 32.1% 29.1% 27.9% Put IV 25d 40.6% 35.4% 53.7% 53.7% 37.5% Bid-Ask Spread % 53.42 27.09 63.60 60.15 59.83 Gamma HHI 0.07 0.06 0.11 0.06 0.06 Net GEX -1.8M -4.7M 2.8M -4.3M -2.5M Net DEX 103.7M 33.0M 164.6M 164.6M 86.8M Net VEX -1.8M -1.9M -1.6M -1.9M -1.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.01 0.25 2.52 0.92 0.81 Total Volume 2,625 1,007 5,265 2,886 2,618 Total OI 81,661.7 75,928 85,803 85,803 82,747
Daily Data (20 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 2020-05-01 $173.88 $177.50 37.4% 11.4% 44.4% 25.3% 39.2% 24.6% -0.6% -4.3M 164.6M -1.9M 0.92 60.15 N/A N/A 1,505 1,381 36,056 49,747 2020-05-04 $173.06 $190.00 36.3% 11.0% 43.4% 24.1% 39.3% 18.4% 3.1% -4.1M 163.3M -1.9M 2.17 37.15 N/A N/A 1,636 3,543 34,659 47,147 2020-05-05 $178.56 $190.00 35.1% 10.3% 41.7% 22.6% 33.4% 11.0% 0.2% -2.3M 113.9M -1.9M 0.25 38.60 N/A N/A 1,251 315 34,258 48,558 2020-05-06 $174.22 $190.00 36.3% 10.8% 42.5% 24.0% 39.3% 15.2% 1.0% -3.8M 152.5M -1.9M 1.02 27.09 N/A N/A 1,013 1,035 34,729 48,560 2020-05-07 $178.74 $190.00 35.2% 10.2% 43.6% 22.7% 33.3% 11.8% 1.1% -1.2M 102.0M -1.9M 0.30 29.68 N/A N/A 2,003 599 35,112 49,212 2020-05-08 $180.16 $190.00 33.5% 9.9% 38.0% 20.7% 34.2% 10.0% 0.8% 79.8K 77.3M -1.9M 0.50 59.98 N/A N/A 888 441 36,234 49,353 2020-05-11 $184.37 $190.00 31.8% 9.4% 36.0% 18.7% 32.7% 10.7% 0.7% 2.8M 34.8M -1.9M 0.43 62.44 N/A N/A 1,624 699 35,165 47,635 2020-05-12 $179.83 $190.00 32.1% 9.8% 35.2% 19.1% 34.6% 10.4% 2.4% 132.6K 85.8M -1.8M 1.03 63.60 N/A N/A 907 930 35,908 47,722 2020-05-13 $177.13 $190.00 37.9% 11.0% 35.3% 25.9% 39.5% 10.5% 0.4% -2.1M 113.6M -1.8M 1.43 63.06 N/A N/A 1,235 1,769 35,774 48,099 2020-05-14 $179.73 $190.00 37.5% 11.1% 35.8% 25.4% 39.5% 13.9% 1.4% -694.6K 87.8M -1.9M 0.87 59.90 N/A N/A 538 469 35,980 48,985 2020-05-15 $180.41 $190.00 35.7% 10.2% 34.8% 23.4% 36.8% 13.6% -0.0% 2.1M 79.4M -1.8M 1.04 62.19 N/A N/A 1,924 2,000 36,183 49,250 2020-05-18 $187.01 $190.00 31.0% 8.9% 34.8% 17.8% 33.1% 8.3% 2.0% 904.6K 33.0M -1.8M 0.90 55.18 N/A N/A 1,208 1,082 32,563 43,365 2020-05-19 $180.31 $190.00 34.4% 9.8% 35.8% 21.7% 34.7% 8.7% 1.2% -1.6M 98.1M -1.7M 0.87 56.32 N/A N/A 1,749 1,516 32,974 43,486 2020-05-20 $181.22 $190.00 32.8% 9.4% 35.5% 19.9% 33.4% 9.3% 0.1% -2.2M 96.5M -1.7M 2.19 54.80 N/A N/A 330 722 33,424 44,505 2020-05-21 $177.99 $190.00 34.6% 9.9% 35.9% 22.0% 36.0% 8.5% -0.2% -3.5M 127.8M -1.7M 2.52 56.79 N/A N/A 416 1,047 33,469 44,875 2020-05-22 $178.05 $190.00 32.5% 9.2% 34.5% 19.5% 33.6% 9.3% 1.5% -4.7M 132.0M -1.7M 0.73 51.83 N/A N/A 1,294 942 33,584 45,358 2020-05-26 $182.76 $190.00 30.6% 8.6% 35.0% 17.3% 28.9% 9.0% -0.4% -2.3M 80.8M -1.6M 0.42 56.50 N/A N/A 2,385 996 33,037 44,485 2020-05-27 $176.12 $190.00 33.7% 9.5% 37.1% 21.0% 32.5% 9.4% -1.7% -4.7M 152.6M -1.6M 1.00 55.58 N/A N/A 2,634 2,631 34,197 44,970 2020-05-28 $180.69 $190.00 31.8% 9.1% 38.3% 18.7% 29.1% 8.9% -0.5% -2.4M 92.1M -1.6M 0.85 57.82 N/A N/A 1,744 1,481 34,883 46,986 2020-05-29 $181.96 $190.00 31.2% 9.1% 36.8% 18.0% 35.7% 9.6% -1.0% -2.5M 86.8M -1.7M 0.81 59.83 N/A N/A 1,447 1,171 34,910 47,837
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