CME Options History — June 2020 In June 2020, CME traded between $162.01 and $191.73. ATM implied volatility averaged 34.3%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 5.7% (HV 20d: 40.0%). Max pain ranged from $175.00 to $190.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.69.
Notable Days 2020-06-08 : Highest Volume — 14,538 contracts2020-06-11 : Largest IV spike — 47.3% change2020-06-11 : Highest IV Rank — 32.8%2020-06-11 : Largest Expected Move — 12.0%Monthly Statistics Metric Avg Min Max Open Close Price $177.02 $162.01 $191.73 $183.12 $162.08 Max Pain $178.86 $175.00 $190.00 $190.00 $175.00 ATM IV 34.3% 29.7% 43.7% 31.5% 35.0% Expected Move 9.7% 8.2% 12.0% 9.0% 9.2% HV 20d 40.0% 35.6% 45.4% 35.6% 38.3% HV 60d 54.8% 39.2% 74.6% 74.5% 39.2% IV Rank 21.7% 16.2% 32.8% 18.3% 22.4% IV Percentile 77.8% 71.4% 86.5% 75.4% 77.0% Term Structure -0.2% -3.8% 4.8% -0.8% -2.2% VWIV 33.6% 28.5% 40.8% 35.5% 30.4% Skew 25d 7.4% 2.8% 13.3% 7.8% 9.3% Skew 10d 15.4% 5.0% 32.8% 16.8% 13.8% Call IV 25d 31.1% 28.0% 38.2% 28.6% 30.4% Put IV 25d 38.5% 32.4% 50.7% 36.4% 39.8% Bid-Ask Spread % 57.18 49.84 65.86 59.32 64.45 Gamma HHI 0.09 0.06 0.31 0.06 0.08 Net GEX -1.3M -11.7M 15.7M -2.0M -5.5M Net DEX 105.5M -128.0M 203.2M 72.8M 201.9M Net VEX -1.6M -1.8M -1.5M -1.6M -1.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.12 1.84 1.84 0.45 Total Volume 5,905.773 2,092 14,538 3,086 2,630 Total OI 88,064.727 73,532 102,753 81,902 78,467
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 2020-06-01 $183.12 $190.00 31.5% 9.0% 35.6% 18.3% 35.5% 7.8% -0.8% -2.0M 72.8M -1.6M 1.84 59.32 N/A N/A 1,085 2,001 34,916 46,986 2020-06-02 $178.44 $190.00 31.7% 9.1% 37.0% 18.6% 32.8% 7.7% -0.6% -5.3M 137.0M -1.5M 0.52 62.20 N/A N/A 1,379 713 35,564 48,532 2020-06-03 $185.64 $190.00 30.3% 9.0% 38.0% 16.9% 29.4% 5.7% -0.4% -798.8K 33.5M -1.6M 0.12 61.49 N/A N/A 6,179 764 36,215 48,960 2020-06-04 $183.91 $180.00 30.1% 8.4% 36.9% 16.7% 32.4% 5.5% -1.4% 1.3M 41.8M -1.6M 0.58 49.84 N/A N/A 7,730 4,457 39,484 49,149 2020-06-05 $191.73 $180.00 31.6% 8.2% 38.6% 18.4% 28.5% 2.8% -1.8% 15.7M -128.0M -1.7M 0.22 51.45 N/A N/A 8,554 1,914 41,852 50,279 2020-06-08 $190.77 $180.00 30.7% 8.6% 38.7% 17.4% 30.3% 5.8% -0.4% 6.6M -58.0M -1.6M 0.19 58.59 N/A N/A 12,194 2,344 38,571 47,932 2020-06-09 $190.68 $180.00 31.1% 8.9% 38.0% 17.8% 30.9% 5.5% 0.5% 10.6M -38.2M -1.7M 0.25 58.24 N/A N/A 5,876 1,471 43,652 49,602 2020-06-10 $188.93 $180.00 29.7% 8.6% 36.9% 16.2% 30.4% 4.8% 0.5% 8.4M -12.7M -1.8M 0.22 65.86 N/A N/A 5,088 1,130 45,215 49,644 2020-06-11 $175.53 $180.00 43.7% 12.0% 45.4% 32.8% 40.8% 12.5% -3.8% -4.4M 172.1M -1.7M 0.38 53.61 N/A N/A 6,428 2,426 47,221 50,069 2020-06-12 $174.26 $180.00 37.9% 11.1% 45.1% 25.9% 37.9% 9.6% 1.4% -6.5M 200.4M -1.6M 1.78 57.89 N/A N/A 2,202 3,929 48,651 51,050 2020-06-15 $173.47 $180.00 37.9% 10.8% 45.1% 25.9% 38.4% 7.8% 4.8% -5.2M 201.2M -1.7M 0.49 52.48 N/A N/A 3,734 1,842 43,189 50,020 2020-06-16 $175.64 $175.00 35.4% 10.1% 43.2% 22.9% 34.4% 7.7% -0.5% -4.1M 176.8M -1.6M 0.48 61.73 N/A N/A 5,598 2,677 44,197 49,798 2020-06-17 $178.19 $175.00 34.6% 9.9% 41.8% 22.0% 32.9% 8.0% -0.4% -1.9M 135.3M -1.7M 0.20 60.24 N/A N/A 3,044 604 48,440 51,552 2020-06-18 $175.96 $175.00 34.7% 9.9% 41.9% 22.1% 34.8% 6.8% 0.4% -3.3M 159.1M -1.7M 0.76 58.31 N/A N/A 1,771 1,346 50,607 51,159 2020-06-19 $175.51 $175.00 33.9% 9.6% 41.5% 21.2% 33.2% 8.1% 1.9% -11.7M 149.3M -1.7M 1.19 62.01 N/A N/A 2,236 2,653 51,583 51,170 2020-06-22 $174.74 $175.00 31.5% 9.1% 41.5% 18.3% 30.3% 3.7% 0.4% -889.3K 81.0M -1.7M 0.25 52.40 N/A N/A 3,275 833 33,833 39,699 2020-06-23 $173.28 $175.00 34.5% 9.3% 40.3% 21.9% 30.3% 7.0% -2.8% -1.6M 94.4M -1.7M 0.98 49.88 N/A N/A 3,372 3,311 35,678 39,914 2020-06-24 $168.49 $175.00 35.0% 10.3% 39.4% 22.5% 35.3% 7.3% 1.4% -3.5M 147.3M -1.7M 1.06 52.90 N/A N/A 2,525 2,686 36,622 40,533 2020-06-25 $168.75 $175.00 39.6% 10.7% 38.0% 28.0% 37.0% 13.3% 0.3% -4.3M 151.8M -1.7M 0.74 52.82 N/A N/A 1,396 1,040 37,298 42,260 2020-06-26 $163.40 $175.00 37.6% 10.9% 39.2% 25.6% 38.6% 8.5% 2.1% -5.5M 203.2M -1.6M 1.22 51.63 N/A N/A 1,509 1,840 37,719 42,535 2020-06-29 $162.01 $175.00 36.9% 10.0% 38.9% 24.8% 35.5% 7.8% -2.0% -5.0M 199.4M -1.5M 1.16 60.60 N/A N/A 993 1,148 36,213 41,394 2020-06-30 $162.08 $175.00 35.0% 9.2% 38.3% 22.4% 30.4% 9.3% -2.2% -5.5M 201.9M -1.5M 0.45 64.45 N/A N/A 1,817 813 36,668 41,799
« May 2020 | All History | Jul 2020 » Home CME History June 2020