CME Options History — June 2021 In June 2021, CME traded between $212.23 and $218.65. ATM implied volatility averaged 19.0%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.0% (HV 20d: 18.0%). Max pain ranged from $195.00 to $220.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.88.
Notable Days 2021-06-29 : Highest Volume — 11,616 contracts2021-06-18 : Largest IV spike — 12.0% change2021-06-29 : Highest IV Rank — 15.9%2021-06-03 : Largest Expected Move — 5.9%Monthly Statistics Metric Avg Min Max Open Close Price $215.97 $212.23 $218.65 $213.16 $212.23 Max Pain $217.73 $195.00 $220.00 $195.00 $220.00 ATM IV 19.0% 17.4% 20.8% 20.5% 20.6% Expected Move 5.3% 4.7% 5.9% 5.7% 4.9% HV 20d 18.0% 12.6% 21.4% 21.1% 12.6% HV 60d 17.9% 16.6% 19.4% 19.3% 16.6% IV Rank 4.9% 0.0% 15.9% 7.2% 14.8% IV Percentile 3.3% 0.0% 12.7% 4.4% 12.3% Term Structure 0.4% -1.4% 3.3% 1.1% -0.4% VWIV 18.9% 16.7% 24.3% 20.0% 17.4% Skew 25d 2.5% 1.5% 5.7% 1.9% 2.5% Skew 10d 6.5% -0.7% 11.8% 5.3% 5.5% Call IV 25d 18.4% 16.5% 20.6% 20.5% 19.7% Put IV 25d 20.9% 18.2% 23.2% 22.4% 22.2% Bid-Ask Spread % 71.99 34.56 90.26 69.47 57.30 Gamma HHI 0.14 0.09 0.23 0.17 0.09 Net GEX 8.9M 1.2M 15.4M 8.1M 1.2M Net DEX -121.1M -230.6M -18.1M -160.4M -18.1M Net VEX -1.4M -1.5M -1.3M -1.4M -1.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.07 6.16 0.37 0.87 Total Volume 3,149.273 602 11,616 1,715 1,156 Total OI 61,077.273 51,532 66,590 63,362 57,428
Daily Data (22 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 2021-06-01 $213.16 $195.00 20.5% 5.7% 21.1% 7.2% 20.0% 1.9% 1.1% 8.1M -160.4M -1.4M 0.37 69.47 N/A N/A 1,254 461 32,814 30,548 2021-06-02 $215.93 $195.00 19.7% 5.6% 21.4% 3.9% 19.8% 1.5% 2.1% 10.9M -198.2M -1.4M 0.33 71.93 N/A N/A 948 315 33,196 30,832 2021-06-03 $217.88 $220.00 20.4% 5.9% 21.4% 6.8% 20.5% 2.6% -0.9% 13.1M -230.6M -1.4M 0.26 80.64 N/A N/A 1,127 291 33,633 30,996 2021-06-04 $218.46 $220.00 18.9% 5.5% 21.4% 0.7% 24.3% 2.2% 0.2% 12.6M -225.3M -1.4M 0.72 84.45 N/A N/A 813 584 34,604 31,986 2021-06-07 $218.25 $220.00 20.0% 5.6% 21.2% 5.3% 18.7% 5.7% -1.4% 12.9M -217.1M -1.3M 0.35 84.27 N/A N/A 1,023 357 33,578 30,983 2021-06-08 $217.64 $220.00 19.4% 5.4% 19.1% 2.9% 18.4% 2.4% -0.9% 11.8M -200.0M -1.4M 0.07 83.65 N/A N/A 10,250 723 34,010 31,209 2021-06-09 $215.75 $220.00 20.5% 5.6% 18.7% 7.1% 19.6% 2.9% -1.3% 7.5M -105.5M -1.5M 0.82 81.35 N/A N/A 1,123 918 30,680 31,638 2021-06-10 $212.98 $220.00 19.0% 5.5% 19.2% 1.3% 18.6% 1.6% 0.5% 4.9M -68.7M -1.4M 0.16 90.26 N/A N/A 2,169 341 31,481 32,396 2021-06-11 $214.12 $220.00 17.9% 5.2% 18.8% 0.0% 18.3% 2.9% 1.2% 6.2M -80.1M -1.4M 0.92 87.32 N/A N/A 382 353 32,221 32,537 2021-06-14 $216.19 $220.00 17.4% 5.0% 19.0% 0.0% 18.1% 2.7% 0.4% 8.9M -93.8M -1.4M 0.37 80.68 N/A N/A 814 298 31,035 32,234 2021-06-15 $217.40 $220.00 17.7% 5.0% 19.0% 1.3% 17.7% 3.2% 0.8% 11.6M -114.0M -1.4M 0.40 81.98 N/A N/A 936 379 31,231 32,419 2021-06-16 $218.65 $220.00 18.4% 5.3% 18.9% 4.7% 18.7% 1.8% -0.6% 15.4M -150.2M -1.4M 0.21 87.23 N/A N/A 2,927 602 31,669 32,565 2021-06-17 $217.32 $220.00 17.5% 5.0% 17.5% 0.7% 17.7% 2.4% -0.2% 14.6M -126.0M -1.4M 0.19 71.18 N/A N/A 1,566 295 33,227 32,946 2021-06-18 $213.96 $220.00 19.6% 5.7% 16.1% 10.2% 20.9% 3.7% -0.4% 3.9M -57.3M -1.4M 6.16 87.07 N/A N/A 758 4,671 33,517 33,036 2021-06-21 $215.64 $220.00 18.5% 5.3% 16.2% 5.1% 19.2% 2.9% 2.3% 6.7M -86.4M -1.3M 0.86 72.28 N/A N/A 1,976 1,700 25,391 26,141 2021-06-22 $216.24 $220.00 18.6% 5.3% 16.2% 5.7% 18.3% 2.1% -0.9% 6.8M -91.5M -1.4M 0.39 36.30 N/A N/A 434 168 26,503 27,580 2021-06-23 $215.60 $220.00 17.8% 5.0% 15.9% 1.9% 20.6% 2.8% 3.3% 6.4M -83.5M -1.4M 2.18 72.00 N/A N/A 3,452 7,537 27,135 27,903 2021-06-24 $217.01 $220.00 17.6% 4.8% 16.0% 1.1% 17.4% 2.7% 2.4% 9.1M -105.4M -1.4M 0.45 43.03 N/A N/A 642 289 27,440 27,914 2021-06-25 $218.02 $220.00 17.6% 4.7% 15.8% 1.0% 16.7% 1.7% 2.5% 11.4M -126.4M -1.4M 0.55 76.30 N/A N/A 890 488 27,876 28,127 2021-06-28 $215.20 $220.00 19.5% 4.9% 16.3% 9.9% 17.2% 1.9% -0.2% 6.2M -76.4M -1.3M 0.47 34.56 N/A N/A 1,540 718 27,217 27,806 2021-06-29 $213.61 $220.00 20.8% 4.9% 13.3% 15.9% 17.2% 1.8% -0.2% 4.7M -50.2M -1.3M 2.24 50.49 N/A N/A 3,586 8,030 27,730 28,288 2021-06-30 $212.23 $220.00 20.6% 4.9% 12.6% 14.8% 17.4% 2.5% -0.4% 1.2M -18.1M -1.4M 0.87 57.30 N/A N/A 618 538 27,868 29,560
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