CME Options History — January 2021

In January 2021, CME traded between $178.48 and $201.75. ATM implied volatility averaged 28.2%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 4.8% (HV 20d: 33.0%). Max pain ranged from $180.00 to $190.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.00.

Notable Days

  • 2021-01-06: Highest Volume — 7,231 contracts
  • 2021-01-27: Largest IV spike — 24.7% change
  • 2021-01-27: Highest IV Rank — 25.5%
  • 2021-01-27: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$189.51$178.48$201.75$179.47$180.97
Max Pain$185.79$180.00$190.00$180.00$185.00
ATM IV28.2%24.1%39.0%29.1%35.5%
Expected Move8.1%7.2%11.0%8.3%10.2%
HV 20d33.0%15.6%38.1%16.3%38.1%
HV 60d33.0%29.2%34.3%29.3%32.5%
IV Rank12.7%8.3%25.5%14.3%21.3%
IV Percentile41.9%19.0%84.5%49.2%77.4%
Term Structure0.5%-0.9%3.4%0.6%3.4%
VWIV28.6%25.0%38.3%30.3%34.7%
Skew 25d4.3%2.1%8.6%5.9%2.1%
Skew 10d8.7%4.0%14.8%11.0%13.5%
Call IV 25d26.4%22.7%35.6%26.4%32.9%
Put IV 25d30.7%25.9%44.2%32.2%35.0%
Bid-Ask Spread %53.9338.0062.9156.2762.91
Gamma HHI0.120.080.200.080.11
Net GEX4.7M-614.7K10.8M3.3M-614.7K
Net DEX-101.6M-289.8M56.5M-36.1M41.2M
Net VEX-1.3M-1.6M-927.4K-954.2K-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.112.592.591.14
Total Volume3,392.6849967,2312,0993,078
Total OI60,818.89543,86979,33864,66554,544

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$179.47$180.0029.1%8.3%16.3%14.3%30.3%5.9%0.6%3.3M-36.1M-954.2K2.5956.27N/AN/A5851,51428,57736,088
2021-01-05$178.98$180.0025.8%8.0%15.6%10.4%28.8%5.5%2.6%3.3M-27.7M-927.4K1.4856.99N/AN/A40259428,77036,162
2021-01-06$194.09$180.0026.6%8.0%33.0%11.3%28.3%5.5%1.3%8.4M-207.6M-973.2K0.3257.33N/AN/A5,4741,75729,04536,571
2021-01-07$198.88$180.0024.1%7.3%33.8%8.3%26.5%3.9%1.6%10.8M-280.2M-978.8K0.4058.04N/AN/A2,42796631,60837,323
2021-01-08$199.35$180.0024.1%7.2%33.6%8.4%26.7%3.2%0.9%10.2M-289.8M-976.7K0.6555.16N/AN/A1,8061,18032,23637,815
2021-01-11$198.55$185.0026.6%7.5%33.7%10.8%27.0%4.7%-0.9%9.4M-258.1M-1.0M1.4053.86N/AN/A1,6472,31031,65337,766
2021-01-12$201.75$185.0025.7%7.5%33.3%9.6%26.4%4.3%0.2%9.5M-285.3M-1.1M0.5854.54N/AN/A3,9122,27732,14639,492
2021-01-13$198.21$185.0025.9%7.3%33.7%9.7%27.5%4.0%-0.1%9.1M-245.1M-1.3M1.4354.57N/AN/A1,4972,14834,88441,394
2021-01-14$194.44$190.0026.1%7.4%34.5%10.0%26.6%4.1%-0.5%6.4M-182.4M-1.4M0.6449.41N/AN/A2,0591,32235,24843,258
2021-01-15$191.80$190.0026.4%7.4%35.0%10.3%25.4%4.1%-0.3%3.6M-146.5M-1.4M0.5249.03N/AN/A85344035,67043,668
2021-01-19$192.57$190.0025.4%7.3%34.8%9.2%25.0%4.0%-0.1%4.5M-78.1M-1.3M0.6538.00N/AN/A1,07569824,23119,638
2021-01-20$190.20$190.0025.5%7.3%34.9%9.2%25.8%3.5%0.0%3.9M-53.5M-1.3M0.7039.03N/AN/A1,20784724,95320,096
2021-01-21$186.64$190.0026.9%7.7%35.5%10.9%26.8%3.4%0.6%2.4M-17.3M-1.3M2.4539.22N/AN/A1,3903,40525,29420,423
2021-01-22$184.78$190.0027.5%7.9%35.7%11.6%26.1%3.4%0.2%1.5M15.2M-1.4M1.3661.65N/AN/A8961,21526,35122,694
2021-01-25$184.31$190.0029.5%8.4%35.7%14.1%28.9%3.7%0.2%594.0K25.6M-1.4M1.2459.36N/AN/A1,5261,89825,48523,766
2021-01-26$184.45$190.0031.2%8.9%35.3%16.2%31.0%4.4%0.4%410.4K24.1M-1.5M0.1159.45N/AN/A4,24948626,00724,500
2021-01-27$178.48$185.0039.0%11.0%37.1%25.5%38.3%8.6%-0.8%736.1K56.5M-1.5M0.8962.32N/AN/A2,0301,80928,58124,882
2021-01-28$182.85$185.0035.0%9.6%38.0%20.7%32.8%3.6%0.8%1.8M14.8M-1.6M0.3757.61N/AN/A2,54993329,10925,631
2021-01-29$180.97$185.0035.5%10.2%38.1%21.3%34.7%2.1%3.4%-614.7K41.2M-1.5M1.1462.91N/AN/A1,4351,64328,52826,016