CME Options History — April 2021

In April 2021, CME traded between $201.14 and $207.66. ATM implied volatility averaged 22.1%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.8% (HV 20d: 18.3%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2021-04-13: Highest Volume — 9,590 contracts
  • 2021-04-28: Largest IV drop — 14.1% change
  • 2021-04-27: Highest IV Rank — 11.8%
  • 2021-04-06: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$205.08$201.14$207.66$204.97$201.61
Max Pain$201.43$200.00$210.00$200.00$210.00
ATM IV22.1%19.0%24.4%23.3%19.9%
Expected Move6.2%5.5%6.7%5.9%5.5%
HV 20d18.3%14.4%24.8%24.8%15.6%
HV 60d26.1%23.6%31.8%31.8%23.7%
IV Rank3.9%0.0%11.8%1.5%3.4%
IV Percentile2.6%0.0%15.9%2.8%0.4%
Term Structure-0.2%-3.6%1.7%0.2%-0.2%
VWIV21.9%19.3%25.1%21.0%19.3%
Skew 25d1.9%-0.9%3.7%2.3%2.3%
Skew 10d4.1%-1.7%9.4%4.4%-1.7%
Call IV 25d21.5%19.0%25.2%22.7%19.4%
Put IV 25d23.4%20.9%25.1%25.1%21.7%
Bid-Ask Spread %70.0360.0379.2775.4675.82
Gamma HHI0.170.140.230.140.18
Net GEX8.1M1.7M18.9M8.1M2.1M
Net DEX-123.7M-201.0M-25.0M-129.3M-25.0M
Net VEX-1.3M-1.4M-1.2M-1.4M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.341.331.060.94
Total Volume2,236.5717749,5907741,113
Total OI57,066.14349,59363,18959,13358,504

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-04-01$204.97$200.0023.3%5.9%24.8%1.5%21.0%2.3%0.2%8.1M-129.3M-1.4M1.0675.46N/AN/A37539933,99825,135
2021-04-05$207.41$200.0022.9%6.2%21.1%0.7%22.4%-0.5%-1.0%8.7M-157.1M-1.3M0.8868.11N/AN/A41736733,28524,875
2021-04-06$204.76$200.0023.1%6.7%21.4%1.0%22.8%3.2%-0.2%7.3M-134.0M-1.3M0.4873.13N/AN/A59728533,55425,087
2021-04-07$204.71$200.0022.3%6.6%20.2%0.0%21.3%2.1%0.5%6.1M-124.8M-1.3M1.0672.74N/AN/A93899933,72625,202
2021-04-08$202.92$200.0022.0%6.4%19.6%0.0%24.7%2.0%0.4%4.0M-104.5M-1.3M1.0461.24N/AN/A50752934,39125,798
2021-04-09$203.98$200.0020.5%6.5%19.7%0.0%21.3%1.6%1.4%5.1M-122.8M-1.3M0.3572.30N/AN/A1,21242034,46726,114
2021-04-12$204.24$200.0022.8%6.4%18.7%6.5%22.7%2.4%-1.6%6.6M-131.3M-1.3M0.8870.68N/AN/A52345834,50125,602
2021-04-13$205.95$200.0023.1%6.3%19.0%7.1%22.4%2.4%-1.2%8.7M-158.3M-1.3M0.5272.80N/AN/A6,3213,26934,64125,812
2021-04-14$206.56$200.0024.4%6.2%19.0%10.8%22.2%3.7%-3.6%12.8M-183.6M-1.2M0.3562.12N/AN/A1,35447236,13425,980
2021-04-15$204.51$200.0022.5%6.5%19.3%5.5%25.1%-0.9%0.2%10.2M-154.8M-1.3M0.7179.27N/AN/A96068436,31926,338
2021-04-16$207.65$200.0020.9%5.9%20.1%1.1%21.3%1.4%-0.8%18.9M-201.0M-1.2M0.5877.11N/AN/A1,10963936,41226,777
2021-04-19$205.46$200.0022.2%6.4%19.7%4.8%22.7%2.6%-0.3%8.7M-120.5M-1.2M1.2060.03N/AN/A60973126,66722,926
2021-04-20$206.43$200.0022.4%6.4%18.1%5.4%22.3%2.7%0.3%9.5M-131.7M-1.2M0.6766.33N/AN/A85056827,17723,413
2021-04-21$206.95$200.0022.0%6.3%18.1%4.2%22.2%2.2%-0.1%11.2M-140.3M-1.3M0.3464.42N/AN/A1,31244227,51923,750
2021-04-22$206.22$200.0023.1%6.6%14.8%7.9%22.4%2.0%0.3%12.9M-137.7M-1.2M0.4166.77N/AN/A1,10946028,07224,027
2021-04-23$207.66$200.0021.5%6.1%14.9%3.6%21.5%1.7%-0.0%14.2M-160.4M-1.2M0.9663.49N/AN/A2,0131,93928,45724,207
2021-04-26$204.82$200.0022.2%6.4%15.3%7.3%22.2%2.3%-0.3%5.3M-98.9M-1.3M0.9366.78N/AN/A94287627,39124,474
2021-04-27$204.96$200.0023.2%6.6%14.9%11.8%21.4%1.1%-0.7%4.3M-91.8M-1.3M1.0977.48N/AN/A3,0603,32627,63025,185
2021-04-28$201.14$210.0020.0%5.6%14.4%0.0%19.5%2.2%0.5%1.7M-27.0M-1.3M1.3375.17N/AN/A9661,28130,18327,234
2021-04-29$203.72$210.0019.0%5.6%15.2%0.0%19.3%1.8%1.7%3.9M-62.4M-1.3M1.2269.34N/AN/A1,1451,39230,06827,357
2021-04-30$201.61$210.0019.9%5.5%15.6%3.4%19.3%2.3%-0.2%2.1M-25.0M-1.3M0.9475.82N/AN/A57453930,32628,178