CME Options History — September 2021 In September 2021, CME traded between $186.80 and $199.23. ATM implied volatility averaged 21.5%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 6.8% (HV 20d: 14.7%). Max pain ranged from $200.00 to $200.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.87.
Notable Days 2021-09-10 : Highest Volume — 4,314 contracts2021-09-20 : Largest IV spike — 25.7% change2021-09-20 : Highest IV Rank — 40.3%2021-09-20 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $192.78 $186.80 $199.23 $199.23 $194.29 Max Pain $200.00 $200.00 $200.00 $200.00 $200.00 ATM IV 21.5% 18.9% 26.0% 18.9% 24.4% Expected Move 6.1% 5.2% 7.3% 5.2% 6.6% HV 20d 14.7% 9.3% 16.7% 15.4% 16.7% HV 60d 15.5% 14.9% 16.5% 15.5% 15.9% IV Rank 19.4% 7.1% 40.3% 7.1% 33.0% IV Percentile 31.0% 7.1% 65.1% 7.1% 56.3% Term Structure 0.4% -1.3% 3.1% 0.5% 0.1% VWIV 21.7% 18.6% 26.6% 18.6% 23.8% Skew 25d 3.9% 2.1% 5.6% 2.4% 3.4% Skew 10d 8.3% 5.2% 15.1% 5.4% 6.0% Call IV 25d 20.4% 18.2% 23.7% 18.6% 23.7% Put IV 25d 24.3% 21.0% 28.8% 21.0% 27.1% Bid-Ask Spread % 75.43 66.93 81.34 78.46 78.32 Gamma HHI 0.11 0.07 0.29 0.12 0.09 Net GEX -4.7M -14.7M 5.3M -8.1M 108.1K Net DEX 112.2M -35.7M 197.9M 68.7M 62.4M Net VEX -1.3M -1.3M -1.2M -1.3M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.28 3.77 1.42 0.90 Total Volume 2,284.571 621 4,314 706 934 Total OI 61,068 54,737 69,177 59,941 57,865
Daily Data (21 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 2021-09-01 $199.23 $200.00 18.9% 5.2% 15.4% 7.1% 18.6% 2.4% 0.5% -8.1M 68.7M -1.3M 1.42 78.46 N/A N/A 292 414 26,822 33,119 2021-09-02 $197.06 $200.00 19.8% 5.8% 15.6% 11.3% 20.6% 2.7% 0.7% -10.2M 102.6M -1.2M 0.28 77.45 N/A N/A 2,926 805 27,123 33,377 2021-09-03 $195.69 $200.00 19.8% 5.9% 15.1% 11.3% 20.9% 2.1% 0.3% -11.9M 125.9M -1.2M 0.54 78.66 N/A N/A 2,166 1,167 27,429 33,633 2021-09-07 $193.50 $200.00 19.7% 5.8% 15.4% 10.9% 20.7% 2.5% 0.4% -8.6M 137.5M -1.2M 1.10 79.02 N/A N/A 1,258 1,383 28,461 33,193 2021-09-08 $193.56 $200.00 20.2% 5.9% 15.4% 13.4% 21.2% 2.7% 0.3% -8.3M 135.0M -1.2M 0.78 76.77 N/A N/A 884 687 29,452 34,178 2021-09-09 $192.97 $200.00 19.8% 5.8% 15.4% 11.6% 21.3% 3.7% 0.6% -7.3M 141.2M -1.3M 0.52 74.39 N/A N/A 2,096 1,091 30,062 35,056 2021-09-10 $189.69 $200.00 20.9% 6.1% 16.1% 16.6% 21.0% 4.7% 0.5% -14.7M 193.4M -1.2M 0.50 76.36 N/A N/A 2,877 1,437 30,187 35,267 2021-09-13 $188.81 $200.00 21.0% 6.1% 16.1% 17.0% 21.6% 3.5% 0.1% -7.7M 188.5M -1.2M 1.07 76.76 N/A N/A 858 915 29,432 34,296 2021-09-14 $188.50 $200.00 21.9% 6.3% 16.1% 21.0% 24.9% 4.4% 0.1% -6.4M 184.7M -1.2M 0.70 78.47 N/A N/A 1,168 816 30,900 34,950 2021-09-15 $188.71 $200.00 21.4% 6.1% 16.1% 19.1% 22.5% 4.7% 0.6% -6.4M 184.3M -1.3M 3.77 81.34 N/A N/A 517 1,948 31,095 35,287 2021-09-16 $189.01 $200.00 20.8% 6.0% 11.8% 16.1% 21.2% 3.5% 0.1% -6.0M 182.3M -1.3M 1.16 80.25 N/A N/A 665 769 31,760 35,701 2021-09-17 $188.39 $200.00 20.7% 6.0% 11.8% 15.7% 21.4% 4.8% -1.3% -5.2M 197.9M -1.3M 1.58 78.57 N/A N/A 1,307 2,067 32,175 37,002 2021-09-20 $187.14 $200.00 26.0% 7.3% 11.8% 40.3% 26.6% 5.2% 0.4% -4.7M 159.3M -1.3M 0.51 69.80 N/A N/A 1,504 770 25,018 29,719 2021-09-21 $186.80 $200.00 23.6% 6.6% 9.3% 29.0% 23.0% 5.5% -0.2% -5.9M 165.9M -1.2M 0.41 69.92 N/A N/A 1,376 565 25,606 30,674 2021-09-22 $189.32 $200.00 21.6% 5.9% 11.0% 19.8% 20.8% 4.6% 1.6% -2.5M 131.3M -1.3M 0.65 73.24 N/A N/A 695 450 25,899 31,000 2021-09-23 $193.76 $200.00 20.5% 5.6% 14.3% 14.8% 19.6% 3.9% 1.9% 4.2M 51.2M -1.3M 0.28 71.80 N/A N/A 2,264 634 26,761 31,164 2021-09-24 $198.01 $200.00 19.8% 5.7% 16.5% 11.6% 20.8% 5.6% 3.1% 5.3M -35.7M -1.3M 0.59 72.44 N/A N/A 1,789 1,063 26,888 31,326 2021-09-27 $198.55 $200.00 22.0% 5.8% 16.5% 21.6% 21.0% 3.6% -0.1% 2.0M -17.6M -1.3M 0.53 66.93 N/A N/A 2,075 1,092 25,298 30,972 2021-09-28 $198.70 $200.00 23.9% 6.5% 16.5% 30.4% 22.9% 3.7% -0.2% 2.2M -16.1M -1.3M 0.60 70.30 N/A N/A 1,022 609 25,699 31,120 2021-09-29 $196.61 $200.00 24.9% 6.4% 16.5% 35.0% 22.2% 4.1% -0.9% 1.9M 14.3M -1.3M 0.38 74.82 N/A N/A 450 171 26,300 31,162 2021-09-30 $194.29 $200.00 24.4% 6.6% 16.7% 33.0% 23.8% 3.4% 0.1% 108.1K 62.4M -1.3M 0.90 78.32 N/A N/A 492 442 26,561 31,304
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