CME Options History — March 2021 In March 2021, CME traded between $199.08 and $214.63. ATM implied volatility averaged 27.0%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 1.4% (HV 20d: 28.4%). Max pain ranged from $190.00 to $200.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.80.
Notable Days 2021-03-08 : Highest Volume — 15,110 contracts2021-03-29 : Largest IV spike — 10.5% change2021-03-08 : Highest IV Rank — 11.4%2021-03-08 : Largest Expected Move — 9.0%Monthly Statistics Metric Avg Min Max Open Close Price $206.80 $199.08 $214.63 $209.94 $204.24 Max Pain $198.70 $190.00 $200.00 $190.00 $200.00 ATM IV 27.0% 22.7% 31.5% 29.1% 24.5% Expected Move 7.6% 6.1% 9.0% 8.3% 6.1% HV 20d 28.4% 23.9% 33.3% 31.2% 24.7% HV 60d 31.0% 29.9% 31.8% 29.9% 31.8% IV Rank 6.2% 0.1% 11.4% 8.3% 4.4% IV Percentile 30.2% 0.4% 61.5% 44.4% 12.7% Term Structure 0.3% -1.7% 2.4% -0.2% -1.0% VWIV 27.1% 22.2% 31.1% 29.1% 22.2% Skew 25d 2.0% 0.4% 7.0% 2.0% 2.0% Skew 10d 4.6% -0.1% 10.8% 8.5% 3.4% Call IV 25d 26.7% 22.6% 32.1% 28.2% 24.5% Put IV 25d 28.8% 24.4% 33.6% 30.2% 26.6% Bid-Ask Spread % 68.58 59.51 84.06 62.71 64.49 Gamma HHI 0.14 0.12 0.17 0.15 0.13 Net GEX 10.5M 3.2M 16.5M 16.5M 6.8M Net DEX -199.4M -382.5M -57.8M -331.2M -120.9M Net VEX -1.6M -1.7M -1.4M -1.7M -1.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.14 3.81 0.31 0.41 Total Volume 3,143.217 924 15,110 5,481 1,029 Total OI 65,477.174 55,385 73,827 69,245 58,670
Daily Data (23 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 2021-03-01 $209.94 $190.00 29.1% 8.3% 31.2% 8.3% 29.1% 2.0% -0.2% 16.5M -331.2M -1.7M 0.31 62.71 N/A N/A 4,192 1,289 38,521 30,724 2021-03-02 $207.53 $190.00 28.9% 8.1% 29.8% 8.1% 28.6% 1.5% 1.7% 14.6M -289.6M -1.6M 3.81 65.85 N/A N/A 990 3,769 38,273 30,391 2021-03-03 $206.64 $190.00 30.3% 8.2% 29.2% 9.8% 29.4% 1.6% -0.9% 13.5M -268.5M -1.7M 0.22 60.31 N/A N/A 3,313 727 38,603 31,213 2021-03-04 $206.54 $200.00 30.6% 8.6% 29.2% 10.2% 30.2% 2.3% -0.6% 12.4M -265.9M -1.6M 0.90 84.06 N/A N/A 622 558 37,681 31,116 2021-03-05 $214.31 $200.00 30.4% 8.8% 31.5% 10.0% 30.5% 4.3% -0.3% 15.5M -382.5M -1.6M 1.17 66.76 N/A N/A 4,242 4,979 37,882 30,979 2021-03-08 $214.63 $200.00 31.5% 9.0% 31.3% 11.4% 31.1% 1.5% 0.1% 16.0M -362.9M -1.6M 0.22 68.80 N/A N/A 12,394 2,716 38,478 30,842 2021-03-09 $210.03 $200.00 30.6% 8.4% 32.6% 10.3% 29.6% 7.0% -0.5% 13.5M -226.2M -1.6M 0.98 77.47 N/A N/A 980 962 34,826 31,644 2021-03-10 $206.66 $200.00 28.6% 8.4% 33.3% 7.6% 29.8% 2.0% 0.0% 9.6M -169.9M -1.6M 0.29 71.04 N/A N/A 977 279 34,939 32,271 2021-03-11 $205.65 $200.00 27.8% 8.0% 28.6% 6.6% 28.6% 2.0% -0.1% 9.0M -162.7M -1.6M 0.63 70.98 N/A N/A 3,733 2,352 35,123 32,345 2021-03-12 $208.93 $200.00 28.0% 8.1% 27.5% 6.8% 29.1% 1.4% 0.5% 13.3M -224.4M -1.7M 0.44 67.70 N/A N/A 1,435 632 37,190 34,431 2021-03-15 $208.03 $200.00 28.3% 8.1% 27.6% 7.2% 28.5% 2.2% 1.0% 12.2M -201.9M -1.6M 0.14 72.22 N/A N/A 3,428 489 36,818 32,573 2021-03-16 $207.13 $200.00 26.5% 7.6% 26.6% 4.9% 28.9% 0.9% 0.4% 12.9M -196.3M -1.6M 0.88 74.11 N/A N/A 641 563 39,392 32,919 2021-03-17 $206.77 $200.00 26.2% 7.5% 26.6% 4.6% 26.9% 0.6% -0.1% 12.3M -201.2M -1.6M 1.51 76.97 N/A N/A 628 948 39,548 33,226 2021-03-18 $206.29 $200.00 26.9% 7.7% 26.4% 5.5% 27.4% 1.3% 1.0% 10.4M -187.6M -1.6M 0.48 74.45 N/A N/A 629 300 39,655 33,897 2021-03-19 $203.18 $200.00 25.1% 7.3% 27.1% 4.2% 26.1% 0.4% -1.7% 5.0M -143.2M -1.5M 1.20 67.80 N/A N/A 792 954 39,795 34,032 2021-03-22 $199.08 $200.00 22.7% 6.4% 28.2% 0.1% 22.8% 0.9% 1.4% 3.3M -58.9M -1.5M 0.49 59.51 N/A N/A 1,127 551 32,322 23,063 2021-03-23 $199.47 $200.00 23.1% 6.4% 27.3% 0.9% 23.4% 1.8% 1.5% 3.2M -57.8M -1.4M 0.54 63.82 N/A N/A 1,090 589 32,744 23,388 2021-03-24 $205.53 $200.00 23.6% 6.8% 29.1% 2.2% 24.2% 2.4% 1.5% 7.6M -136.2M -1.5M 0.50 64.83 N/A N/A 1,181 592 33,158 23,823 2021-03-25 $205.04 $200.00 24.3% 7.0% 28.4% 3.8% 25.3% 2.1% 1.4% 7.7M -133.1M -1.5M 0.50 65.61 N/A N/A 614 310 33,532 24,161 2021-03-26 $207.08 $200.00 23.6% 6.6% 27.8% 2.1% 22.6% 2.0% 1.1% 8.9M -159.0M -1.5M 0.52 64.76 N/A N/A 862 447 33,687 24,220 2021-03-29 $209.05 $200.00 26.1% 7.8% 23.9% 7.7% 25.1% 3.2% 2.4% 9.8M -180.6M -1.4M 0.50 69.07 N/A N/A 791 399 33,019 23,677 2021-03-30 $204.61 $200.00 25.1% 6.6% 24.8% 5.8% 22.7% 1.6% -0.9% 7.3M -126.6M -1.4M 1.74 63.99 N/A N/A 802 1,397 33,333 23,851 2021-03-31 $204.24 $200.00 24.5% 6.1% 24.7% 4.4% 22.2% 2.0% -1.0% 6.8M -120.9M -1.4M 0.41 64.49 N/A N/A 728 301 33,643 25,027
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