CME Options History — February 2021

In February 2021, CME traded between $181.44 and $205.01. ATM implied volatility averaged 29.0%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 2.6% (HV 20d: 31.6%). Max pain ranged from $185.00 to $190.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.84.

Notable Days

  • 2021-02-11: Highest Volume — 7,582 contracts
  • 2021-02-08: Largest IV spike — 11.7% change
  • 2021-02-01: Highest IV Rank — 19.8%
  • 2021-02-01: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$192.67$181.44$205.01$187.78$201.55
Max Pain$189.21$185.00$190.00$185.00$190.00
ATM IV29.0%26.5%34.3%34.3%31.0%
Expected Move8.3%7.6%9.8%9.8%8.8%
HV 20d31.6%26.7%40.5%40.0%29.1%
HV 60d29.7%28.3%33.1%33.1%29.2%
IV Rank12.0%8.5%19.8%19.8%10.7%
IV Percentile44.8%30.2%70.6%70.6%56.7%
Term Structure0.2%-1.1%1.8%0.1%0.8%
VWIV29.7%27.1%34.0%34.0%31.6%
Skew 25d2.9%0.2%7.0%5.4%1.8%
Skew 10d5.9%3.2%11.5%11.5%6.7%
Call IV 25d27.8%23.2%33.0%29.6%32.2%
Put IV 25d30.7%27.9%35.0%35.0%34.0%
Bid-Ask Spread %63.1250.2268.9663.9862.86
Gamma HHI0.100.080.120.080.12
Net GEX6.1M-1.2M13.6M3.6M13.5M
Net DEX-95.9M-266.7M76.2M-36.2M-219.2M
Net VEX-1.6M-1.7M-1.4M-1.6M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.224.950.471.63
Total Volume3,676.9471,0007,5822,0363,065
Total OI62,342.26354,72870,72654,72869,957

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$187.78$185.0034.3%9.8%40.0%19.8%34.0%5.4%0.1%3.6M-36.2M-1.6M0.4763.98N/AN/A1,38764928,45426,274
2021-02-02$192.06$185.0030.7%9.0%40.5%15.5%32.9%3.6%1.8%5.2M-83.8M-1.6M0.4761.44N/AN/A2,08097728,73326,134
2021-02-03$191.88$185.0029.8%8.7%40.5%14.4%31.8%5.5%1.0%5.3M-82.8M-1.6M0.4956.62N/AN/A67332728,92926,274
2021-02-04$192.39$190.0028.5%8.2%28.3%12.9%29.9%7.0%0.7%5.6M-88.9M-1.6M0.3767.96N/AN/A78729228,99326,446
2021-02-05$191.32$190.0026.5%7.9%26.7%10.5%27.9%1.8%1.3%5.0M-73.5M-1.5M0.6063.30N/AN/A98058829,21726,458
2021-02-08$190.50$190.0029.6%8.2%26.7%14.2%28.7%1.4%-1.1%4.6M-62.9M-1.5M0.5668.06N/AN/A1,76598029,00926,196
2021-02-09$192.76$190.0027.0%7.8%27.2%11.1%27.2%0.2%0.1%6.2M-92.6M-1.5M0.5164.58N/AN/A3,9602,02329,95626,778
2021-02-10$184.56$190.0027.3%7.7%30.1%11.4%28.0%3.3%-0.2%26.9K31.9M-1.5M0.6167.68N/AN/A3,2301,97631,78728,003
2021-02-11$181.44$190.0028.0%7.8%30.1%12.2%30.4%4.0%-0.9%-1.2M76.2M-1.4M4.9568.23N/AN/A1,2756,30732,74628,776
2021-02-12$184.13$190.0027.1%7.6%30.3%11.1%28.6%2.3%-0.6%-1.2M42.3M-1.5M1.6168.96N/AN/A1,0511,69132,96233,688
2021-02-16$189.36$190.0027.1%7.8%31.9%11.2%27.1%3.2%0.7%3.6M-47.0M-1.5M0.3666.65N/AN/A3,5931,30831,24032,670
2021-02-17$191.12$190.0027.5%7.9%32.0%10.8%27.8%2.6%-0.0%5.8M-90.7M-1.6M0.2264.09N/AN/A3,52276433,71333,161
2021-02-18$194.03$190.0027.6%7.8%32.1%11.0%28.1%2.2%1.3%6.5M-138.2M-1.6M0.4765.35N/AN/A2,3591,11136,20733,414
2021-02-19$195.34$190.0028.4%8.1%31.3%11.4%29.4%2.7%0.1%8.2M-164.2M-1.6M0.6364.03N/AN/A2,4271,53737,42733,299
2021-02-22$195.14$190.0028.2%8.0%31.0%9.1%27.7%2.4%-0.5%7.1M-119.6M-1.6M0.3750.22N/AN/A2,7871,03134,14429,924
2021-02-23$199.06$190.0029.2%8.2%31.5%8.5%28.7%2.8%0.3%11.2M-184.9M-1.6M0.8059.68N/AN/A1,8691,50136,98030,220
2021-02-24$201.21$190.0030.1%8.3%31.6%9.6%30.0%0.5%-0.4%13.6M-221.3M-1.6M0.5356.84N/AN/A3,5111,86938,05829,688
2021-02-25$205.01$190.0033.2%9.4%28.7%13.5%33.8%2.0%-0.4%13.5M-266.7M-1.7M0.3758.75N/AN/A3,3681,24238,36330,225
2021-02-26$201.55$190.0031.0%8.8%29.1%10.7%31.6%1.8%0.8%13.5M-219.2M-1.7M1.6362.86N/AN/A1,1661,89939,51930,438