CME Options History — August 2020

In August 2020, CME traded between $162.78 and $177.35. ATM implied volatility averaged 25.1%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 8.5% (HV 20d: 16.6%). Max pain ranged from $170.00 to $175.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2020-08-03: Highest Volume — 6,798 contracts
  • 2020-08-07: Largest IV drop — 10.7% change
  • 2020-08-06: Highest IV Rank — 14.9%
  • 2020-08-11: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$170.70$162.78$177.35$162.78$176.08
Max Pain$174.40$170.00$175.00$172.50$175.00
ATM IV25.1%22.6%28.6%28.5%26.0%
Expected Move7.1%6.3%8.0%7.9%7.1%
HV 20d16.6%13.8%17.6%17.0%13.8%
HV 60d29.6%25.0%32.2%32.2%25.0%
IV Rank10.7%7.9%14.9%14.8%11.9%
IV Percentile50.7%44.0%57.1%57.1%53.2%
Term Structure0.5%-0.8%2.2%-0.5%0.3%
VWIV25.1%21.2%29.8%26.8%24.0%
Skew 25d5.2%3.4%7.8%3.9%4.8%
Skew 10d10.0%4.0%15.4%13.9%9.8%
Call IV 25d23.0%20.0%28.6%28.6%23.9%
Put IV 25d28.3%25.2%32.5%32.5%28.7%
Bid-Ask Spread %50.6426.8167.5352.9761.42
Gamma HHI0.100.070.140.070.12
Net GEX5.0M-3.7M12.0M-3.7M8.6M
Net DEX27.6M-73.3M154.5M154.5M-47.0M
Net VEX-1.5M-1.6M-1.4M-1.5M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.291.540.300.53
Total Volume2,911.4291,2166,7986,7981,270
Total OI91,304.61986,11994,83786,11990,343

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$162.78$172.5028.5%7.9%17.0%14.8%26.8%3.9%-0.5%-3.7M154.5M-1.5M0.3052.97N/AN/A5,2331,56542,48343,636
2020-08-04$163.14$170.0027.3%7.6%17.0%13.3%26.7%5.5%-0.0%-2.8M140.1M-1.5M0.8952.34N/AN/A1,04693245,36044,297
2020-08-05$162.96$170.0026.5%7.4%16.1%12.5%25.2%6.2%-0.2%-3.5M149.1M-1.5M1.1155.83N/AN/A9941,10745,92044,819
2020-08-06$163.63$175.0028.6%7.8%15.4%14.9%27.4%7.8%1.3%-2.9M138.0M-1.5M1.5463.69N/AN/A55786046,39845,518
2020-08-07$166.76$175.0025.6%7.8%16.7%11.3%29.8%4.4%-0.0%1.0M85.4M-1.5M0.7461.95N/AN/A3,6902,71746,52445,533
2020-08-10$165.15$175.0027.2%7.9%16.8%13.2%27.8%5.9%0.8%-122.7K118.3M-1.5M1.1358.66N/AN/A1,4461,64147,28743,816
2020-08-11$167.32$175.0026.9%8.0%17.3%12.9%27.8%5.2%1.4%1.6M79.8M-1.6M0.5654.25N/AN/A2,0911,17148,01944,410
2020-08-12$170.15$175.0024.2%7.4%16.5%9.7%25.7%6.2%2.2%5.1M33.0M-1.6M0.4949.79N/AN/A2,1571,05348,88744,171
2020-08-13$169.36$175.0025.5%7.4%16.3%11.2%27.0%7.0%0.3%5.1M41.8M-1.5M0.7951.65N/AN/A1,13289149,50544,524
2020-08-14$171.03$175.0025.5%7.4%16.5%11.2%27.1%5.6%0.4%5.4M16.0M-1.6M1.5157.09N/AN/A1,2311,85849,89544,812
2020-08-17$174.34$175.0024.3%7.0%17.5%9.8%25.0%4.5%0.3%8.7M-41.8M-1.5M0.3867.53N/AN/A2,36389449,15143,707
2020-08-18$173.93$175.0023.4%6.7%17.6%8.7%23.8%4.9%1.7%8.6M-23.8M-1.5M0.9766.04N/AN/A1,5721,51949,61143,727
2020-08-19$172.21$175.0024.2%6.9%17.6%9.7%23.7%4.8%-0.3%7.2M6.9M-1.5M0.7166.56N/AN/A71350349,71643,903
2020-08-20$172.93$175.0023.4%6.7%17.5%8.8%25.5%5.3%0.9%8.0M-5.7M-1.5M1.1431.06N/AN/A81993549,90143,945
2020-08-21$173.98$175.0022.6%6.4%17.4%7.9%22.6%4.4%-0.1%8.1M-24.8M-1.5M0.2933.87N/AN/A1,73750850,26744,570
2020-08-24$174.72$175.0022.9%6.5%17.1%8.2%23.4%5.2%0.8%7.9M-30.9M-1.4M0.7626.81N/AN/A1,3821,04847,18839,529
2020-08-25$174.82$175.0022.9%6.4%16.7%8.2%22.7%5.2%-0.1%8.6M-28.2M-1.5M0.6331.19N/AN/A84653547,75240,082
2020-08-26$175.47$175.0022.8%6.3%16.3%8.1%22.4%5.2%-0.8%9.7M-40.6M-1.4M0.6828.60N/AN/A1,28587547,80140,374
2020-08-27$177.35$175.0024.0%6.8%15.5%9.5%21.2%3.4%1.2%11.5M-73.3M-1.5M0.3230.40N/AN/A4,6961,50648,54140,719
2020-08-28$176.65$175.0024.1%6.6%15.2%9.6%22.3%4.2%0.8%12.0M-67.1M-1.4M0.4461.77N/AN/A1,91285049,44541,311
2020-08-31$176.08$175.0026.0%7.1%13.8%11.9%24.0%4.8%0.3%8.6M-47.0M-1.4M0.5361.42N/AN/A82944150,04840,295