CME Options History — December 2020

In December 2020, CME traded between $177.85 and $184.61. ATM implied volatility averaged 24.8%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 1.6% (HV 20d: 23.2%). Max pain ranged from $170.00 to $180.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2020-12-23: Highest Volume — 16,712 contracts
  • 2020-12-09: Largest IV spike — 9.6% change
  • 2020-12-09: Highest IV Rank — 13.4%
  • 2020-12-09: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$181.13$177.85$184.61$178.80$180.82
Max Pain$175.00$170.00$180.00$170.00$175.00
ATM IV24.8%23.0%27.3%25.6%24.4%
Expected Move7.1%6.6%7.6%7.0%6.9%
HV 20d23.2%16.1%38.0%37.9%16.1%
HV 60d29.6%29.1%30.2%30.2%29.3%
IV Rank10.2%8.0%13.4%11.4%8.6%
IV Percentile26.4%18.3%40.9%32.1%22.6%
Term Structure-0.4%-5.0%3.0%1.3%0.4%
VWIV24.3%16.1%26.5%24.6%23.8%
Skew 25d4.4%0.6%11.4%9.2%4.0%
Skew 10d6.0%-4.2%21.6%21.6%8.6%
Call IV 25d22.4%17.0%26.1%18.4%22.2%
Put IV 25d26.8%25.2%28.9%27.6%26.2%
Bid-Ask Spread %38.3327.1272.5568.1238.55
Gamma HHI0.180.080.360.230.09
Net GEX8.4M505.7K13.7M12.1M4.6M
Net DEX-98.6M-201.4M26.8M-135.4M-51.4M
Net VEX-927.0K-1.0M-844.6K-904.9K-947.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.091.190.190.41
Total Volume3,220.59163816,7127,7621,532
Total OI72,641.13663,17578,16074,98165,280

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$178.80$170.0025.6%7.0%37.9%11.4%24.6%9.2%1.3%12.1M-135.4M-904.9K0.1968.12N/AN/A6,5241,23836,57938,402
2020-12-02$181.72$170.0024.1%6.8%38.0%9.6%23.2%7.9%-1.5%12.2M-172.7M-893.9K0.4472.55N/AN/A2,20296535,82038,754
2020-12-03$181.63$175.0025.8%7.0%37.1%11.6%25.0%0.9%-2.8%12.4M-170.1M-898.6K1.1939.24N/AN/A1,5661,86736,30739,063
2020-12-04$183.83$175.0026.5%7.0%36.6%12.4%24.9%11.4%-5.0%13.7M-201.4M-949.6K0.2935.56N/AN/A3,31895837,03540,501
2020-12-07$182.52$175.0024.7%7.2%37.1%10.3%25.5%5.5%0.3%11.8M-160.4M-965.3K0.8033.01N/AN/A1,11889336,98640,073
2020-12-08$183.54$175.0024.9%7.0%26.9%10.6%24.9%0.6%-1.3%12.6M-183.7M-927.4K0.0927.12N/AN/A8,77882437,11140,014
2020-12-09$182.15$175.0027.3%7.6%25.6%13.4%26.5%3.1%-0.7%11.0M-120.5M-1.0M0.4531.04N/AN/A1,09249236,93340,619
2020-12-10$182.39$175.0025.7%7.5%24.5%11.5%25.1%4.2%0.7%11.7M-126.2M-1.0M0.8232.28N/AN/A67055037,00040,828
2020-12-11$180.10$175.0026.2%7.6%20.6%12.1%25.2%4.4%-0.1%8.5M-84.4M-1.0M0.6031.09N/AN/A95357037,01741,143
2020-12-14$177.85$175.0025.3%7.3%17.1%11.0%25.9%4.1%-1.5%9.0M-33.2M-934.5K1.1736.45N/AN/A58268335,50140,554
2020-12-15$180.92$175.0025.1%7.2%17.6%10.7%26.4%4.3%1.1%12.8M-90.3M-940.8K1.0437.12N/AN/A61063235,75241,050
2020-12-16$181.97$175.0025.1%7.2%17.4%10.8%23.9%3.5%0.7%12.7M-112.5M-929.0K0.4732.30N/AN/A43520335,74641,494
2020-12-17$184.61$175.0023.7%6.7%16.9%9.1%23.4%3.3%1.4%9.6M-167.5M-889.2K0.5333.16N/AN/A1,02954435,96841,584
2020-12-18$182.69$175.0024.4%6.7%17.7%9.9%24.0%3.4%3.0%4.0M-138.1M-883.4K0.6227.55N/AN/A1,7591,09936,29141,741
2020-12-21$181.02$175.0024.9%7.2%18.2%10.5%25.0%5.2%-4.6%4.3M-51.9M-865.4K1.0044.07N/AN/A1,0191,02028,10736,052
2020-12-22$181.29$175.0023.0%6.6%18.2%8.3%23.2%4.3%-1.5%6.0M-57.5M-856.7K0.4437.40N/AN/A1,38160528,42136,648
2020-12-23$180.73$175.0023.4%6.7%16.8%8.7%16.1%2.3%-0.3%7.2M-52.1M-844.6K0.1938.53N/AN/A14,0692,64329,27336,956
2020-12-24$178.26$180.0024.2%6.8%17.5%8.4%25.0%4.4%-0.1%505.7K26.8M-937.1K0.6238.45N/AN/A82551530,52639,352
2020-12-28$180.46$180.0023.8%7.2%18.0%8.0%24.0%3.6%0.6%3.3M-38.9M-924.7K0.8235.63N/AN/A1,09689827,65735,518
2020-12-29$179.28$175.0024.0%7.1%18.2%8.2%25.4%3.6%0.3%2.8M-28.9M-929.3K0.6937.95N/AN/A1,31891228,12435,579
2020-12-30$178.29$175.0024.1%6.9%16.4%8.3%24.1%4.0%0.4%1.6M-18.2M-917.9K0.3836.13N/AN/A62624028,58436,162
2020-12-31$180.82$175.0024.4%6.9%16.1%8.6%23.8%4.0%0.4%4.6M-51.4M-947.8K0.4138.55N/AN/A1,08644628,97136,309