CME Options History — October 2020 In October 2020, CME traded between $149.90 and $171.08. ATM implied volatility averaged 29.9%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 9.6% (HV 20d: 20.3%). Max pain ranged from $165.00 to $167.50. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.94.
Notable Days 2020-10-28 : Highest Volume — 5,420 contracts2020-10-28 : Largest IV spike — 13.7% change2020-10-30 : Highest IV Rank — 22.5%2020-10-28 : Largest Expected Move — 10.7%Monthly Statistics Metric Avg Min Max Open Close Price $164.36 $149.90 $171.08 $169.62 $149.90 Max Pain $165.23 $165.00 $167.50 $167.50 $165.00 ATM IV 29.9% 27.2% 35.0% 28.5% 35.0% Expected Move 8.5% 7.2% 10.7% 7.2% 10.6% HV 20d 20.3% 17.3% 26.9% 21.6% 25.6% HV 60d 18.2% 17.2% 21.8% 17.9% 21.7% IV Rank 16.5% 13.3% 22.5% 14.8% 22.5% IV Percentile 57.2% 46.0% 75.8% 54.4% 75.8% Term Structure -0.6% -3.4% 1.9% 0.3% -0.5% VWIV 30.0% 26.5% 36.8% 26.5% 36.6% Skew 25d 6.0% 4.3% 8.0% 8.0% 7.6% Skew 10d 11.8% 6.2% 18.3% 10.9% 14.9% Call IV 25d 27.1% 24.5% 32.9% 24.5% 32.0% Put IV 25d 33.2% 30.0% 39.6% 32.5% 39.6% Bid-Ask Spread % 52.00 41.49 71.52 45.29 71.52 Gamma HHI 0.09 0.08 0.13 0.09 0.13 Net GEX -1.7M -8.0M 4.4M 2.7M -7.8M Net DEX 85.0M -11.1M 243.4M 18.8M 235.6M Net VEX -1.3M -1.5M -997.9K -1.5M -1.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.35 1.91 1.03 1.91 Total Volume 2,299.364 908 5,420 1,565 1,684 Total OI 76,690 73,224 79,613 74,818 77,803
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 2020-10-01 $169.62 $167.50 28.5% 7.2% 21.6% 14.8% 26.5% 8.0% 0.3% 2.7M 18.8M -1.5M 1.03 45.29 N/A N/A 772 793 33,813 41,005 2020-10-02 $169.04 $167.50 30.3% 7.6% 21.5% 16.9% 27.2% 7.6% 1.9% 2.5M 22.7M -1.5M 1.20 45.84 N/A N/A 665 795 34,025 41,308 2020-10-05 $167.46 $165.00 30.5% 8.8% 21.5% 17.2% 30.0% 6.4% -0.5% 766.2K 53.4M -1.4M 1.23 60.56 N/A N/A 1,188 1,465 33,538 40,388 2020-10-06 $168.13 $165.00 30.3% 8.6% 21.0% 16.9% 31.1% 7.1% 0.2% 973.5K 42.4M -1.4M 0.71 57.14 N/A N/A 971 688 34,324 41,361 2020-10-07 $169.74 $165.00 31.6% 8.2% 21.2% 18.5% 27.1% 6.7% -3.4% 2.7M 16.3M -1.4M 0.80 56.41 N/A N/A 1,181 949 34,389 41,582 2020-10-08 $171.08 $165.00 29.6% 8.2% 19.2% 16.1% 28.6% 4.6% -0.5% 4.4M -11.1M -1.4M 1.01 59.78 N/A N/A 813 820 34,846 42,064 2020-10-09 $169.33 $165.00 28.2% 7.8% 19.5% 14.5% 26.6% 5.0% -0.7% 3.8M 26.1M -1.4M 0.35 53.68 N/A N/A 2,351 816 35,145 42,135 2020-10-12 $170.51 $165.00 27.6% 7.7% 19.0% 13.8% 27.6% 4.8% -0.5% 3.7M 5.0M -1.4M 0.59 54.42 N/A N/A 777 462 35,047 41,255 2020-10-13 $168.19 $165.00 28.5% 7.7% 19.4% 14.8% 27.5% 5.1% -1.3% 1.2M 41.2M -1.3M 0.71 50.42 N/A N/A 1,260 889 35,298 41,460 2020-10-14 $167.11 $165.00 28.4% 8.2% 18.6% 14.7% 28.1% 5.5% 0.2% -855.1K 60.5M -1.3M 0.85 47.83 N/A N/A 491 417 35,859 42,006 2020-10-15 $167.09 $165.00 28.5% 8.2% 18.6% 14.9% 29.2% 5.6% 0.3% -1.4M 58.8M -1.3M 0.84 53.90 N/A N/A 1,220 1,020 35,934 42,220 2020-10-16 $168.11 $165.00 27.2% 7.5% 18.7% 13.3% 26.8% 4.3% -1.4% -1.2M 35.9M -1.3M 0.59 49.14 N/A N/A 704 413 36,545 42,680 2020-10-19 $163.78 $165.00 29.4% 8.4% 20.0% 15.9% 29.2% 5.4% -0.9% -3.4M 103.0M -1.2M 0.87 46.87 N/A N/A 1,680 1,460 33,463 39,761 2020-10-20 $164.18 $165.00 28.3% 8.1% 20.0% 14.5% 29.3% 6.0% -1.1% -4.1M 103.3M -1.2M 0.81 45.71 N/A N/A 1,571 1,268 34,318 40,991 2020-10-21 $164.20 $165.00 29.1% 8.3% 18.2% 15.5% 29.9% 5.7% -3.1% -4.7M 100.6M -1.3M 1.22 41.49 N/A N/A 1,431 1,739 35,164 41,882 2020-10-22 $164.06 $165.00 29.2% 8.4% 18.1% 15.6% 30.5% 6.9% -1.5% -6.3M 99.6M -1.2M 0.70 42.49 N/A N/A 909 633 35,668 43,362 2020-10-23 $164.08 $165.00 28.4% 8.2% 17.3% 14.6% 29.5% 5.9% -0.8% -4.5M 103.8M -1.3M 1.19 47.58 N/A N/A 862 1,025 35,988 43,625 2020-10-26 $159.76 $165.00 31.8% 9.4% 18.1% 18.7% 33.5% 6.5% 0.5% -4.6M 142.6M -1.2M 1.04 42.97 N/A N/A 2,174 2,266 35,315 40,963 2020-10-27 $159.95 $165.00 30.5% 9.3% 17.5% 17.2% 33.4% 5.0% 1.1% -5.0M 139.0M -1.2M 0.88 43.27 N/A N/A 1,452 1,282 34,883 41,046 2020-10-28 $150.67 $165.00 34.7% 10.7% 26.9% 22.1% 36.8% 6.5% -0.1% -8.0M 229.4M -1.1M 1.10 64.85 N/A N/A 2,581 2,839 35,552 41,742 2020-10-29 $149.97 $165.00 32.8% 9.9% 25.6% 19.9% 34.8% 7.0% -0.9% -7.7M 243.4M -997.9K 1.01 62.87 N/A N/A 901 909 36,099 41,328 2020-10-30 $149.90 $165.00 35.0% 10.6% 25.6% 22.5% 36.6% 7.6% -0.5% -7.8M 235.6M -1.1M 1.91 71.52 N/A N/A 578 1,106 36,427 41,376
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