CME Options History — July 2021

In July 2021, CME traded between $205.62 and $214.81. ATM implied volatility averaged 21.0%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 5.4% (HV 20d: 15.6%). Max pain ranged from $210.00 to $220.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.44.

Notable Days

  • 2021-07-08: Highest Volume — 4,745 contracts
  • 2021-07-19: Largest IV spike — 23.2% change
  • 2021-07-19: Highest IV Rank — 30.8%
  • 2021-07-19: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$210.42$205.62$214.81$213.62$212.31
Max Pain$212.26$210.00$220.00$220.00$212.50
ATM IV21.0%18.9%24.0%20.5%19.9%
Expected Move5.9%4.4%6.9%4.8%5.5%
HV 20d15.6%12.3%18.0%12.4%18.0%
HV 60d17.3%16.5%17.9%16.7%17.6%
IV Rank17.0%7.2%30.8%14.6%11.6%
IV Percentile16.4%4.8%34.5%11.9%11.1%
Term Structure0.1%-1.4%1.9%0.9%0.3%
VWIV21.1%15.5%25.3%16.7%20.2%
Skew 25d2.5%-0.4%4.3%1.9%2.5%
Skew 10d6.6%1.9%10.5%5.8%7.3%
Call IV 25d20.3%18.5%22.1%19.4%18.7%
Put IV 25d22.8%19.9%26.4%21.3%21.2%
Bid-Ask Spread %71.8658.1383.5281.3870.95
Gamma HHI0.110.090.340.100.34
Net GEX2.8M-2.9M17.4M2.7M17.4M
Net DEX-15.4M-97.1M66.2M-36.8M-67.1M
Net VEX-1.3M-1.3M-1.2M-1.3M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.175.793.170.89
Total Volume1,936.6196104,7451,4851,505
Total OI56,480.52448,97962,33157,96556,442

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$213.62$220.0020.5%4.8%12.4%14.6%16.7%1.9%0.9%2.7M-36.8M-1.3M3.1781.38N/AN/A3561,12928,04429,921
2021-07-02$213.49$220.0019.8%4.4%12.3%11.1%15.5%2.6%-0.2%3.2M-36.7M-1.3M1.1183.48N/AN/A54560328,17229,777
2021-07-06$208.06$210.0021.4%5.9%15.1%18.7%20.6%2.2%-0.2%-732.9K37.8M-1.3M0.6976.27N/AN/A1,6101,10827,56329,622
2021-07-07$206.71$210.0021.8%5.9%15.2%20.4%20.7%2.2%0.2%-2.9M66.2M-1.3M0.5466.89N/AN/A1,66989627,62030,330
2021-07-08$206.94$210.0021.3%6.0%15.0%18.0%21.9%2.6%-1.4%-1.6M54.8M-1.3M5.7977.77N/AN/A6994,04628,20730,414
2021-07-09$209.42$210.0020.7%5.8%15.2%15.5%21.0%2.1%-0.4%451.6K21.7M-1.3M1.1168.75N/AN/A1,1101,23228,52633,483
2021-07-12$210.35$210.0021.0%5.9%15.2%16.8%22.5%4.3%-0.7%1.2M11.2M-1.3M0.8758.13N/AN/A65857127,99833,718
2021-07-13$210.67$210.0020.9%5.9%14.7%16.3%20.9%2.7%-0.2%2.0M130.5K-1.3M1.6079.79N/AN/A58893928,19933,951
2021-07-14$209.86$210.0020.7%5.8%14.5%15.4%19.7%2.8%-0.2%2.5M4.2M-1.3M1.3483.52N/AN/A26134928,39033,476
2021-07-15$210.33$210.0020.5%5.8%14.3%14.3%21.6%2.1%-0.3%2.9M1.9M-1.2M2.9874.81N/AN/A3931,17128,43133,507
2021-07-16$208.89$210.0019.5%5.8%14.4%9.9%22.1%-0.4%1.9%2.1M30.1M-1.2M1.7878.35N/AN/A7291,29728,50033,831
2021-07-19$205.62$210.0024.0%6.9%14.4%30.8%23.2%4.3%-0.3%-905.9K12.1M-1.3M1.7564.41N/AN/A6571,14922,95826,021
2021-07-20$208.54$210.0021.7%6.2%15.1%20.1%21.8%3.2%0.0%523.9K-17.1M-1.3M0.5961.70N/AN/A71441823,11626,898
2021-07-21$212.22$210.0021.1%6.0%16.5%17.2%21.7%2.8%0.8%3.9M-63.8M-1.3M0.4864.13N/AN/A1,04150423,46027,165
2021-07-22$209.11$210.0021.6%6.2%17.2%19.6%21.3%3.5%-0.9%1.1M-21.0M-1.3M0.7867.90N/AN/A1,6291,26324,04427,522
2021-07-23$211.88$215.0022.4%6.4%17.8%23.4%22.2%3.3%0.6%6.1M-55.3M-1.3M0.4766.16N/AN/A1,09851625,14428,598
2021-07-26$210.36$215.0022.2%6.5%17.8%22.3%24.4%3.0%0.0%1.6M-31.9M-1.3M1.6766.24N/AN/A36761424,16627,725
2021-07-27$211.75$215.0022.2%6.5%17.5%22.5%25.3%2.6%1.0%3.5M-51.2M-1.3M2.1567.45N/AN/A5391,15824,89927,948
2021-07-28$213.98$215.0020.0%5.9%17.7%12.0%21.0%1.7%1.1%5.5M-85.2M-1.3M0.1775.48N/AN/A3,24055125,19928,436
2021-07-29$214.81$215.0018.9%5.4%17.6%7.2%19.2%1.4%0.1%7.4M-97.1M-1.2M0.3975.49N/AN/A1,25649125,46529,205
2021-07-30$212.31$212.5019.9%5.5%18.0%11.6%20.2%2.5%0.3%17.4M-67.1M-1.3M0.8970.95N/AN/A79670927,16429,278