CME Options History — August 2021

In August 2021, CME traded between $198.19 and $211.90. ATM implied volatility averaged 19.9%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.0% (HV 20d: 15.9%). Max pain ranged from $200.00 to $212.50. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.86.

Notable Days

  • 2021-08-18: Highest Volume — 10,594 contracts
  • 2021-08-18: Largest IV spike — 21.4% change
  • 2021-08-19: Highest IV Rank — 30.6%
  • 2021-08-19: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$204.51$198.19$211.90$211.90$201.15
Max Pain$206.70$200.00$212.50$212.50$200.00
ATM IV19.9%17.3%23.9%19.2%19.3%
Expected Move5.6%5.1%6.9%5.5%5.3%
HV 20d15.9%14.0%18.0%18.0%15.2%
HV 60d16.2%14.9%17.9%17.6%15.4%
IV Rank11.6%0.0%30.6%8.3%9.2%
IV Percentile13.8%0.0%41.7%6.3%10.3%
Term Structure0.4%-1.2%1.9%0.8%0.5%
VWIV20.2%18.1%26.8%19.2%19.2%
Skew 25d2.7%-2.3%4.3%3.7%2.3%
Skew 10d6.3%4.7%8.8%5.0%5.2%
Call IV 25d19.1%17.1%23.0%17.4%19.1%
Put IV 25d21.9%19.4%27.4%21.1%21.4%
Bid-Ask Spread %73.9862.5580.7274.3274.55
Gamma HHI0.100.080.140.120.11
Net GEX-1.5M-8.9M4.9M4.9M-4.6M
Net DEX30.0M-65.7M126.7M-65.7M35.9M
Net VEX-1.2M-1.3M-1.1M-1.2M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.182.001.030.84
Total Volume2,143.54549510,594799932
Total OI55,468.68248,34760,89953,76259,229

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$211.90$212.5019.2%5.5%18.0%8.3%19.2%3.7%0.8%4.9M-65.7M-1.2M1.0374.32N/AN/A39340625,54228,220
2021-08-03$208.71$212.5020.0%5.6%16.3%12.2%18.6%3.0%-0.4%2.3M-7.3M-1.3M0.1876.95N/AN/A2,35341425,91828,702
2021-08-04$209.08$212.5021.0%5.6%16.1%16.8%19.5%-2.3%-1.2%2.8M-16.3M-1.2M0.8276.52N/AN/A48739926,64028,918
2021-08-05$208.08$210.0019.5%5.6%16.3%9.9%21.1%2.7%0.1%-62.1K3.3M-1.2M0.3675.63N/AN/A1,01737126,11829,055
2021-08-06$209.79$210.0018.8%5.5%15.9%6.6%19.9%3.4%0.1%1.0M-19.0M-1.2M0.2978.06N/AN/A1,24436726,27129,390
2021-08-09$209.42$210.0018.7%5.4%15.9%6.0%19.8%3.0%0.6%1.2M-19.9M-1.2M0.4776.70N/AN/A66431125,74429,021
2021-08-10$208.95$210.0018.7%5.4%15.9%6.1%18.6%2.9%0.1%1.1M-10.9M-1.2M0.4375.78N/AN/A34714826,12329,173
2021-08-11$208.95$210.0018.4%5.3%15.8%4.6%19.1%1.6%0.1%1.2M-13.1M-1.1M0.7865.47N/AN/A61047826,54029,520
2021-08-12$207.99$210.0018.4%5.3%15.9%4.5%18.9%2.5%0.0%-476.3K2.9M-1.1M0.9973.46N/AN/A44644126,64829,604
2021-08-13$207.06$210.0017.3%5.1%15.8%0.0%18.8%2.3%1.9%-3.3M25.4M-1.1M0.6676.89N/AN/A59539226,60429,771
2021-08-16$206.82$210.0018.8%5.3%14.7%7.0%19.7%3.0%0.9%-2.0M27.0M-1.1M0.9962.55N/AN/A29328926,30029,483
2021-08-17$205.22$210.0019.1%5.4%14.0%8.0%19.0%3.4%1.1%-3.5M50.3M-1.1M0.7967.13N/AN/A41132626,45829,696
2021-08-18$198.35$210.0023.1%6.6%16.8%26.9%23.7%3.7%1.6%-4.4M119.4M-1.1M0.8080.65N/AN/A5,8824,71226,52529,746
2021-08-19$198.19$210.0023.9%6.9%16.2%30.6%26.8%4.3%-0.3%-4.3M124.5M-1.1M0.8478.36N/AN/A1,5421,29126,68529,888
2021-08-20$198.36$200.0021.6%6.2%15.2%20.1%23.5%4.2%0.5%-8.9M126.7M-1.1M1.3676.99N/AN/A2,1682,95929,39331,506
2021-08-23$201.68$200.0020.8%5.7%16.7%15.9%20.9%3.5%0.0%-3.4M30.4M-1.1M0.5567.84N/AN/A1,60088421,80126,546
2021-08-24$200.29$200.0020.1%5.7%16.4%12.8%20.7%2.9%0.4%-3.2M47.7M-1.2M2.0068.71N/AN/A9531,90222,91628,889
2021-08-25$200.58$200.0019.9%5.5%15.7%12.1%19.5%2.4%0.9%-2.2M36.9M-1.2M1.2671.63N/AN/A8081,01724,23429,325
2021-08-26$199.43$200.0020.1%5.7%15.5%12.9%20.0%2.6%0.1%-3.1M56.8M-1.2M1.3471.09N/AN/A70994824,88630,614
2021-08-27$199.73$200.0019.4%5.2%15.3%9.6%18.1%2.7%0.4%2.6M58.4M-1.2M0.7380.72N/AN/A2,5221,84325,38731,489
2021-08-30$199.40$200.0020.7%5.7%15.3%15.7%19.6%1.9%-0.2%-6.0M66.2M-1.2M1.4177.58N/AN/A53275224,68731,106
2021-08-31$201.15$200.0019.3%5.3%15.2%9.2%19.2%2.3%0.5%-4.6M35.9M-1.3M0.8474.55N/AN/A50742526,58732,642