CME Options History — May 2021

In May 2021, CME traded between $202.85 and $219.00. ATM implied volatility averaged 21.3%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.3% (HV 20d: 17.9%). Max pain ranged from $185.00 to $210.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2021-05-12: Highest Volume — 7,021 contracts
  • 2021-05-12: Largest IV spike — 14.6% change
  • 2021-05-12: Highest IV Rank — 30.6%
  • 2021-05-12: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$212.30$202.85$219.00$203.72$219.00
Max Pain$191.75$185.00$210.00$210.00$195.00
ATM IV21.3%18.7%26.4%19.8%19.2%
Expected Move6.0%5.0%7.7%5.5%5.0%
HV 20d17.9%14.6%21.1%15.4%18.2%
HV 60d21.8%19.8%23.8%23.8%19.9%
IV Rank10.1%0.0%30.6%3.1%1.9%
IV Percentile6.8%0.0%39.3%0.4%1.2%
Term Structure0.4%-2.1%1.9%0.7%1.1%
VWIV21.5%18.8%26.7%18.8%19.2%
Skew 25d2.5%0.9%4.2%1.7%2.5%
Skew 10d5.1%2.4%10.2%3.9%4.5%
Call IV 25d20.2%16.6%24.9%19.0%17.9%
Put IV 25d22.7%19.6%29.1%20.7%20.4%
Bid-Ask Spread %73.1455.1179.9177.3769.90
Gamma HHI0.180.130.220.220.15
Net GEX10.2M3.4M18.8M4.9M14.5M
Net DEX-189.1M-302.2M-45.9M-68.3M-250.9M
Net VEX-1.4M-1.5M-1.3M-1.3M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.181.260.600.55
Total Volume2,518.256027,0211,1441,200
Total OI62,18756,06170,92456,06164,930

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$203.72$210.0019.8%5.5%15.4%3.1%18.8%1.7%0.7%4.9M-68.3M-1.3M0.6077.37N/AN/A71343128,93427,127
2021-05-04$203.65$210.0021.0%5.9%14.7%8.0%20.8%3.9%-0.8%4.8M-64.9M-1.3M1.0373.59N/AN/A54856229,23227,349
2021-05-05$202.97$210.0018.7%5.5%14.8%0.0%19.2%1.7%1.2%4.2M-54.5M-1.3M0.4079.91N/AN/A42917329,11827,655
2021-05-06$204.08$185.0020.9%6.1%14.6%8.7%20.9%3.0%0.6%5.1M-66.2M-1.3M1.0079.26N/AN/A54354129,18027,757
2021-05-07$202.85$185.0019.7%5.8%14.6%3.9%20.4%1.8%1.9%3.4M-45.9M-1.3M1.2675.64N/AN/A74894129,34028,111
2021-05-10$208.77$185.0021.6%6.1%17.9%11.3%20.6%2.2%0.6%7.7M-139.3M-1.3M0.3876.52N/AN/A2,6271,00828,65027,967
2021-05-11$212.12$185.0023.0%6.5%18.5%17.1%22.5%0.9%-0.0%9.7M-193.1M-1.4M0.2073.90N/AN/A3,26264429,86028,539
2021-05-12$213.52$185.0026.4%7.7%18.6%30.6%25.7%4.2%1.1%10.2M-210.6M-1.4M0.2072.62N/AN/A5,8471,17431,33928,798
2021-05-13$215.91$185.0025.0%7.0%18.3%25.1%25.3%3.0%-1.0%13.1M-255.8M-1.5M0.2074.56N/AN/A5,3491,05633,92029,604
2021-05-14$217.46$190.0022.0%6.1%17.8%13.2%22.4%2.4%-1.1%18.8M-302.2M-1.5M0.2072.50N/AN/A3,26965136,03930,075
2021-05-17$216.75$190.0021.8%6.2%17.3%12.1%23.0%3.1%1.6%15.5M-278.8M-1.5M0.2677.92N/AN/A1,80447336,08329,956
2021-05-18$215.08$190.0021.6%6.2%17.7%11.6%22.4%2.6%0.9%14.7M-259.9M-1.4M0.6879.36N/AN/A1,03269736,20730,224
2021-05-19$210.83$190.0024.1%6.9%19.3%21.7%26.7%3.2%0.5%10.1M-171.5M-1.5M1.2579.33N/AN/A1,9662,45536,56031,394
2021-05-20$216.24$190.0021.0%6.0%21.1%9.0%23.0%2.7%0.6%12.0M-269.2M-1.5M0.5479.58N/AN/A90148936,90733,556
2021-05-21$217.44$190.0020.6%5.8%21.0%7.5%21.3%2.5%0.7%10.6M-291.9M-1.5M0.2279.53N/AN/A1,22227037,11433,810
2021-05-24$217.24$190.0019.5%5.6%20.2%3.2%19.4%1.3%0.3%10.4M-220.1M-1.4M0.1861.66N/AN/A1,52428130,87229,486
2021-05-25$215.16$190.0020.9%5.7%20.7%8.8%19.8%2.1%-2.1%9.6M-200.3M-1.4M0.7869.31N/AN/A82965031,77529,701
2021-05-26$215.72$190.0019.7%5.5%19.1%3.8%19.2%2.9%0.4%10.6M-207.3M-1.4M0.3355.11N/AN/A2,11869032,09330,124
2021-05-27$217.55$190.0018.9%5.4%18.9%0.8%19.6%2.5%0.6%13.9M-230.4M-1.4M0.7355.26N/AN/A72252633,70630,648
2021-05-28$219.00$195.0019.2%5.0%18.2%1.9%19.2%2.5%1.1%14.5M-250.9M-1.4M0.5569.90N/AN/A77342733,87331,057