CME Options History — July 2020 In July 2020, CME traded between $162.81 and $170.23. ATM implied volatility averaged 32.1%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 3.5% (HV 20d: 28.7%). Max pain ranged from $172.50 to $180.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.73.
Notable Days 2020-07-15 : Highest Volume — 6,412 contracts2020-07-09 : Largest IV spike — 10.2% change2020-07-09 : Highest IV Rank — 25.0%2020-07-13 : Largest Expected Move — 10.4%Monthly Statistics Metric Avg Min Max Open Close Price $166.62 $162.81 $170.23 $169.45 $165.31 Max Pain $175.45 $172.50 $180.00 $175.00 $172.50 ATM IV 32.1% 27.6% 37.1% 34.1% 27.6% Expected Move 9.1% 7.7% 10.4% 8.7% 7.7% HV 20d 28.7% 16.2% 39.8% 39.0% 16.2% HV 60d 35.4% 32.6% 39.5% 39.2% 32.6% IV Rank 19.1% 13.7% 25.0% 21.4% 13.7% IV Percentile 67.6% 56.7% 81.0% 74.6% 56.7% Term Structure -0.1% -4.3% 2.6% 0.9% -0.2% VWIV 31.3% 25.5% 36.5% 30.8% 26.6% Skew 25d 7.8% 4.9% 13.4% 6.3% 6.6% Skew 10d 14.9% -2.7% 24.2% -2.7% 15.4% Call IV 25d 28.4% 24.4% 36.0% 30.5% 24.4% Put IV 25d 36.2% 31.0% 41.4% 36.8% 31.0% Bid-Ask Spread % 54.76 42.81 71.47 64.29 53.18 Gamma HHI 0.08 0.07 0.14 0.07 0.14 Net GEX -2.5M -6.8M 2.2M -2.6M -6.8M Net DEX 129.2M 59.6M 171.2M 131.9M 127.4M Net VEX -1.6M -1.6M -1.5M -1.6M -1.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.26 1.73 0.26 0.65 Total Volume 3,528.364 1,933 6,412 5,464 2,578 Total OI 84,324.318 78,532 90,106 79,464 89,160
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 2020-07-01 $169.45 $175.00 34.1% 8.7% 39.0% 21.4% 30.8% 6.3% 0.9% -2.6M 131.9M -1.6M 0.26 64.29 N/A N/A 4,323 1,141 37,370 42,094 2020-07-02 $165.06 $175.00 32.7% 8.4% 39.8% 19.8% 28.2% 8.4% 2.0% -3.4M 171.2M -1.6M 0.81 71.47 N/A N/A 1,688 1,364 39,800 42,311 2020-07-06 $165.92 $180.00 33.5% 10.0% 36.0% 20.7% 32.7% 7.3% 1.7% -3.6M 162.8M -1.6M 1.73 51.85 N/A N/A 2,215 3,827 38,797 41,796 2020-07-07 $165.28 $180.00 34.6% 9.8% 36.0% 22.0% 36.5% 7.3% -0.8% -4.5M 165.0M -1.5M 0.80 42.81 N/A N/A 1,384 1,110 39,156 42,165 2020-07-08 $167.56 $180.00 33.7% 9.4% 36.7% 20.9% 31.5% 13.4% -4.3% -3.3M 142.7M -1.6M 0.46 52.02 N/A N/A 1,320 613 39,551 42,844 2020-07-09 $165.07 $175.00 37.1% 10.2% 36.8% 25.0% 35.5% 4.9% -2.2% -4.8M 163.9M -1.5M 0.49 50.15 N/A N/A 1,477 724 40,425 42,984 2020-07-10 $164.22 $175.00 35.4% 10.0% 27.0% 22.9% 35.7% 8.8% 0.3% -6.0M 171.0M -1.5M 0.28 56.70 N/A N/A 3,949 1,118 41,020 43,379 2020-07-13 $165.78 $175.00 36.3% 10.4% 27.4% 24.0% 35.3% 4.9% 2.6% -3.1M 138.0M -1.5M 0.36 52.28 N/A N/A 3,111 1,113 41,554 42,270 2020-07-14 $164.88 $175.00 34.1% 10.0% 27.4% 21.4% 33.0% 9.5% 0.2% -4.4M 152.8M -1.5M 0.72 59.07 N/A N/A 1,704 1,231 43,205 42,711 2020-07-15 $168.53 $175.00 34.4% 9.4% 28.3% 21.8% 28.7% 8.7% -1.3% -1.4M 106.6M -1.6M 1.09 52.17 N/A N/A 3,073 3,339 44,192 43,448 2020-07-16 $167.03 $175.00 33.4% 9.9% 27.7% 20.6% 33.1% 9.2% 1.4% -2.6M 123.5M -1.6M 0.79 53.20 N/A N/A 1,850 1,459 45,078 43,683 2020-07-17 $166.68 $175.00 32.1% 9.4% 27.4% 19.0% 31.4% 10.3% 1.2% -962.2K 139.5M -1.6M 1.09 56.64 N/A N/A 1,200 1,304 45,803 44,303 2020-07-20 $168.24 $175.00 30.9% 8.9% 27.8% 17.6% 33.7% 8.1% -3.1% -112.8K 95.6M -1.5M 0.70 49.17 N/A N/A 1,743 1,218 38,447 40,085 2020-07-21 $168.31 $175.00 31.7% 9.1% 27.8% 18.6% 30.2% 7.9% -0.3% 385.1K 90.5M -1.6M 0.56 48.26 N/A N/A 3,438 1,910 39,211 40,820 2020-07-22 $170.23 $175.00 30.0% 8.6% 28.0% 16.6% 28.7% 7.3% 0.0% 2.2M 59.6M -1.5M 0.40 51.97 N/A N/A 1,900 752 41,245 41,974 2020-07-23 $169.10 $175.00 29.3% 8.4% 26.3% 15.7% 29.7% 7.3% -0.0% 1.2M 81.7M -1.6M 0.44 49.09 N/A N/A 2,657 1,158 42,562 42,217 2020-07-24 $168.44 $175.00 30.3% 8.7% 26.3% 17.0% 31.0% 7.6% -0.3% 520.9K 84.3M -1.6M 0.68 51.29 N/A N/A 1,382 934 43,365 42,634 2020-07-27 $167.14 $175.00 29.2% 8.4% 23.6% 15.6% 30.1% 6.5% -0.3% -189.0K 102.6M -1.6M 1.05 57.90 N/A N/A 1,267 1,325 41,605 41,931 2020-07-28 $165.81 $175.00 30.0% 8.7% 23.6% 16.5% 31.3% 6.8% 1.7% -1.6M 120.8M -1.5M 0.68 60.83 N/A N/A 2,091 1,421 42,193 42,899 2020-07-29 $164.75 $175.00 27.7% 7.7% 23.8% 13.8% 25.5% 6.5% -0.3% -4.2M 141.8M -1.5M 0.68 61.12 N/A N/A 1,576 1,075 43,308 43,892 2020-07-30 $162.81 $172.50 28.8% 8.1% 17.7% 15.2% 29.5% 7.4% 0.1% -6.1M 168.9M -1.5M 1.25 59.33 N/A N/A 1,584 1,978 43,506 44,142 2020-07-31 $165.31 $172.50 27.6% 7.7% 16.2% 13.7% 26.6% 6.6% -0.2% -6.8M 127.4M -1.5M 0.65 53.18 N/A N/A 1,559 1,019 44,148 45,012
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