CME Options History — September 2020

In September 2020, CME traded between $162.44 and $173.39. ATM implied volatility averaged 27.8%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 10.8% (HV 20d: 17.0%). Max pain ranged from $165.00 to $175.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2020-09-02: Highest Volume — 5,454 contracts
  • 2020-09-02: Largest IV spike — 13.0% change
  • 2020-09-03: Highest IV Rank — 18.7%
  • 2020-09-03: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$167.85$162.44$173.39$173.39$166.74
Max Pain$169.05$165.00$175.00$175.00$167.50
ATM IV27.8%24.4%31.8%26.5%28.3%
Expected Move7.7%7.0%9.0%7.3%7.2%
HV 20d17.0%14.9%21.0%15.4%20.5%
HV 60d20.6%17.5%25.1%25.1%17.8%
IV Rank14.0%9.9%18.7%12.4%14.5%
IV Percentile54.3%46.0%66.3%53.6%54.0%
Term Structure0.9%-1.1%4.0%0.6%0.8%
VWIV27.2%19.8%31.1%19.8%26.2%
Skew 25d5.3%0.0%8.1%5.8%6.4%
Skew 10d11.7%1.7%22.7%9.2%16.8%
Call IV 25d25.9%22.1%33.8%23.5%24.6%
Put IV 25d31.2%27.1%35.1%29.2%31.0%
Bid-Ask Spread %53.9537.1367.8762.1646.77
Gamma HHI0.100.080.120.120.08
Net GEX29.4K-3.7M5.8M5.8M-864.1K
Net DEX71.0M6.5M163.0M6.5M61.1M
Net VEX-1.4M-1.5M-1.3M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.272.480.271.20
Total Volume3,124.0951,5115,4544,3521,843
Total OI84,821.90566,53396,83290,53774,426

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$173.39$175.0026.5%7.3%15.4%12.4%19.8%5.8%0.6%5.8M6.5M-1.4M0.2762.16N/AN/A3,43391950,12040,417
2020-09-02$173.12$175.0029.9%7.8%15.4%16.5%26.8%3.2%-0.0%4.2M7.5M-1.4M1.8767.87N/AN/A1,8993,55548,93340,743
2020-09-03$171.99$175.0031.8%9.0%15.8%18.7%29.2%5.6%0.7%2.0M38.7M-1.5M0.5659.60N/AN/A1,52685249,62042,590
2020-09-04$170.25$175.0029.6%8.4%15.1%16.1%28.5%5.5%-0.4%103.1K66.3M-1.4M1.4762.01N/AN/A1,5052,21450,32042,883
2020-09-08$167.94$175.0030.2%8.4%15.6%16.8%30.6%5.4%-1.1%-822.4K106.1M-1.4M0.6866.55N/AN/A1,5801,07450,03842,467
2020-09-09$168.42$175.0027.2%7.6%14.9%13.3%27.5%6.0%-0.8%400.2K97.1M-1.5M0.8664.99N/AN/A1,13397750,58542,828
2020-09-10$164.28$175.0027.5%7.9%16.1%13.6%26.9%4.9%0.3%-3.4M149.2M-1.4M0.7661.90N/AN/A1,8271,38850,81243,008
2020-09-11$163.64$170.0026.6%7.5%16.1%12.5%27.1%6.0%-0.4%-3.7M163.0M-1.3M1.0562.07N/AN/A1,9342,02451,41243,094
2020-09-14$166.17$170.0025.7%7.4%16.7%11.5%27.2%6.3%3.0%-2.4M111.8M-1.3M0.6253.00N/AN/A3,2802,03551,08842,366
2020-09-15$167.90$165.0024.4%7.0%15.5%9.9%25.2%6.1%-0.2%-512.0K89.3M-1.3M0.5157.10N/AN/A1,46275051,97743,320
2020-09-16$170.53$165.0025.6%7.3%16.7%11.4%28.1%6.3%1.0%1.6M39.2M-1.3M0.7953.99N/AN/A2,1141,67652,11643,548
2020-09-17$170.51$165.0027.0%7.7%16.4%13.0%27.5%5.7%1.5%1.1M38.1M-1.4M1.0049.80N/AN/A1,3821,38652,35943,341
2020-09-18$169.60$165.0026.2%7.3%16.4%12.1%26.4%5.7%0.8%333.2K58.6M-1.4M0.9749.77N/AN/A1,4391,40052,85543,977
2020-09-21$166.68$165.0026.7%7.7%17.1%12.7%27.2%6.5%-0.1%31.5K57.5M-1.3M0.7840.05N/AN/A1,9971,56330,58035,953
2020-09-22$166.12$165.0028.2%7.6%17.0%14.5%27.0%8.1%-0.2%-408.7K63.5M-1.3M1.0045.94N/AN/A77176831,82936,892
2020-09-23$162.44$165.0029.0%8.1%18.3%15.4%27.7%4.8%1.4%-2.5M105.1M-1.3M0.9837.13N/AN/A1,2151,19532,20937,424
2020-09-24$163.63$165.0027.5%8.0%18.5%13.6%27.7%0.0%4.0%-2.8M95.6M-1.4M0.8150.97N/AN/A83367832,70538,028
2020-09-25$165.94$165.0027.9%7.7%18.9%14.0%27.5%6.9%1.1%354.5K63.5M-1.4M1.6248.90N/AN/A9571,55533,07538,254
2020-09-28$169.06$165.0027.7%7.2%20.5%13.9%26.1%6.6%3.5%2.5M16.5M-1.4M2.4744.06N/AN/A1,0492,58732,48237,616
2020-09-29$166.44$167.5030.7%8.2%21.0%17.4%31.1%0.5%3.1%-391.0K57.3M-1.4M2.4848.28N/AN/A1,1002,73133,15139,819
2020-09-30$166.74$167.5028.3%7.2%20.5%14.5%26.2%6.4%0.8%-864.1K61.1M-1.4M1.2046.77N/AN/A8381,00533,58040,846