CME Options History — November 2020

In November 2020, CME traded between $150.39 and $174.74. ATM implied volatility averaged 26.6%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 12.0% (HV 20d: 38.6%). Max pain ranged from $165.00 to $170.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.63.

Notable Days

  • 2020-11-09: Highest Volume — 5,835 contracts
  • 2020-11-04: Largest IV drop — 15.8% change
  • 2020-11-02: Highest IV Rank — 20.9%
  • 2020-11-02: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$164.24$150.39$174.74$151.72$174.70
Max Pain$169.25$165.00$170.00$165.00$170.00
ATM IV26.6%24.0%33.7%33.7%25.7%
Expected Move7.6%6.7%10.3%10.3%7.1%
HV 20d38.6%26.3%45.7%26.4%37.6%
HV 60d27.2%21.3%30.1%21.5%29.9%
IV Rank12.5%9.5%20.9%20.9%11.5%
IV Percentile37.8%26.2%69.4%69.4%32.9%
Term Structure-0.2%-1.9%2.1%-1.8%-1.9%
VWIV26.7%23.3%35.1%35.1%24.6%
Skew 25d4.8%2.0%7.5%7.2%3.9%
Skew 10d8.6%-0.2%14.9%14.9%0.7%
Call IV 25d24.8%22.4%31.1%31.1%22.4%
Put IV 25d29.6%25.7%38.3%38.3%26.3%
Bid-Ask Spread %71.0057.6777.3657.6773.55
Gamma HHI0.130.100.190.130.19
Net GEX301.2K-8.2M6.9M-6.3M6.4M
Net DEX62.1M-62.6M225.5M210.8M-51.0M
Net VEX-925.1K-1.0M-837.1K-1.0M-861.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.141.620.230.21
Total Volume2,101.351,0305,8351,7125,063
Total OI75,160.770,83677,85675,21071,783

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$151.72$165.0033.7%10.3%26.4%20.9%35.1%7.2%-1.8%-6.3M210.8M-1.0M0.2357.67N/AN/A1,38932335,09140,119
2020-11-03$153.81$165.0032.3%9.8%27.0%19.3%34.0%7.5%-0.3%-5.9M191.7M-1.0M0.5558.08N/AN/A66436635,09140,119
2020-11-04$151.47$165.0027.2%8.3%26.8%13.3%29.8%7.0%0.9%-7.3M211.1M-939.0K0.9364.14N/AN/A59755836,06440,406
2020-11-05$150.39$170.0027.8%8.0%26.3%13.9%27.6%4.4%-0.5%-8.2M225.5M-894.9K0.6371.81N/AN/A79450036,34040,692
2020-11-06$151.11$170.0027.1%7.8%26.5%13.1%27.0%4.2%0.1%-8.2M207.2M-934.1K0.4875.56N/AN/A1,31862936,50840,782
2020-11-09$163.37$170.0025.6%7.3%39.7%11.4%24.7%4.6%-0.7%440.2K67.5M-912.9K0.5477.36N/AN/A3,7862,04935,24839,829
2020-11-10$168.38$170.0027.1%7.3%41.1%13.1%25.6%5.7%-1.7%4.3M4.4M-979.8K0.4969.80N/AN/A1,96796535,84739,310
2020-11-11$165.68$170.0025.5%7.5%41.4%11.2%25.5%4.4%0.3%2.8M33.0M-946.1K0.9576.44N/AN/A59256035,97939,381
2020-11-12$159.89$170.0029.3%8.3%43.2%15.7%29.3%4.5%-0.2%-2.9M119.9M-988.9K1.6274.57N/AN/A8421,36635,88639,499
2020-11-13$166.46$170.0026.0%7.5%45.7%11.8%26.3%4.3%0.4%930.1K33.0M-963.7K0.8072.57N/AN/A1,16192836,22440,527
2020-11-16$168.42$170.0026.0%7.4%44.9%11.8%24.9%5.1%1.0%3.1M11.4M-953.2K0.1472.91N/AN/A1,89726535,56840,351
2020-11-17$167.90$170.0025.3%7.2%44.9%11.0%25.5%5.1%0.9%3.3M19.7M-909.6K0.9076.28N/AN/A58152036,09640,446
2020-11-18$166.10$170.0025.4%7.3%45.1%11.1%27.7%4.5%-0.3%1.0M43.5M-887.8K1.1776.61N/AN/A66277636,19240,549
2020-11-19$166.26$170.0025.9%7.3%45.1%11.8%25.9%4.2%0.7%385.0K38.8M-870.2K0.8475.00N/AN/A69658236,38940,835
2020-11-20$167.99$170.0024.1%6.7%45.3%9.5%25.1%4.2%2.1%1.9M11.0M-873.4K0.4074.32N/AN/A1,12444436,72741,129
2020-11-23$168.97$170.0024.9%6.8%44.1%10.6%23.8%2.0%-0.6%2.3M18.9M-837.1K0.5470.41N/AN/A75540532,96537,871
2020-11-24$172.98$170.0024.8%7.0%44.6%10.5%24.7%4.8%-0.1%5.0M-33.6M-903.3K0.1769.30N/AN/A3,68062133,40238,098
2020-11-25$174.39$170.0024.4%6.8%37.8%10.0%23.7%4.7%-0.8%6.0M-58.1M-901.3K0.5263.68N/AN/A98951034,44838,343
2020-11-27$174.74$170.0024.0%6.8%37.6%9.5%23.3%3.9%-1.3%6.9M-62.6M-883.7K0.5769.83N/AN/A70340034,56238,518
2020-11-30$174.70$170.0025.7%7.1%37.6%11.5%24.6%3.9%-1.9%6.4M-51.0M-861.5K0.2173.55N/AN/A4,19786633,65838,125