CME Options History — November 2021 In November 2021, CME traded between $218.20 and $229.03. ATM implied volatility averaged 22.3%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.5% (HV 20d: 15.8%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.49.
Notable Days 2021-11-23 : Highest Volume — 12,069 contracts2021-11-26 : Largest IV spike — 22.3% change2021-11-26 : Highest IV Rank — 53.8%2021-11-26 : Largest Expected Move — 8.1%Monthly Statistics Metric Avg Min Max Open Close Price $223.50 $218.20 $229.03 $218.20 $221.96 Max Pain $203.33 $200.00 $210.00 $200.00 $210.00 ATM IV 22.3% 19.4% 29.0% 19.8% 26.4% Expected Move 6.4% 5.8% 8.1% 6.0% 7.7% HV 20d 15.8% 12.4% 18.4% 18.4% 16.1% HV 60d 17.1% 16.2% 18.0% 17.7% 17.5% IV Rank 22.9% 9.8% 53.8% 11.5% 42.0% IV Percentile 43.3% 11.9% 92.1% 17.1% 82.1% Term Structure 0.4% -3.0% 2.9% 1.0% 2.4% VWIV 23.1% 20.7% 28.4% 21.5% 27.3% Skew 25d 2.4% 0.7% 4.1% 3.1% 1.1% Skew 10d 5.7% 0.9% 9.7% 6.8% 6.2% Call IV 25d 21.8% 18.5% 28.5% 19.3% 27.3% Put IV 25d 24.3% 21.3% 30.0% 22.4% 28.4% Bid-Ask Spread % 75.32 59.11 86.54 59.11 78.24 Gamma HHI 0.15 0.12 0.26 0.15 0.17 Net GEX 12.6M 7.9M 21.5M 10.0M 11.2M Net DEX -242.2M -299.1M -195.9M -195.9M -208.4M Net VEX -854.8K -1.0M -734.7K -914.4K -949.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.49 0.83 4.06 2.16 2.85 Total Volume 7,838.714 6,600 12,069 7,941 7,169 Total OI 50,017.286 44,331 52,456 49,612 50,200
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 2021-11-01 $218.20 $200.00 19.8% 6.0% 18.4% 11.5% 21.5% 3.1% 1.0% 10.0M -195.9M -914.4K 2.16 59.11 N/A N/A 2,512 5,429 24,089 25,523 2021-11-02 $220.77 $200.00 20.8% 5.9% 17.6% 15.9% 20.7% 0.9% 1.6% 12.2M -228.1M -912.2K 2.63 66.35 N/A N/A 2,049 5,395 24,477 25,839 2021-11-03 $220.51 $200.00 20.5% 5.8% 17.5% 14.9% 20.7% 2.4% -0.2% 11.7M -230.3M -896.3K 3.08 71.57 N/A N/A 1,714 5,282 24,907 25,870 2021-11-04 $220.05 $200.00 22.6% 6.2% 17.2% 24.2% 21.9% 2.4% 1.1% 12.4M -226.9M -913.2K 0.85 73.56 N/A N/A 6,468 5,479 25,012 26,002 2021-11-05 $221.93 $200.00 23.2% 6.6% 17.1% 27.3% 23.0% 3.4% 0.0% 12.4M -237.1M -939.1K 2.06 77.00 N/A N/A 2,693 5,553 26,250 26,206 2021-11-08 $220.61 $200.00 23.0% 6.5% 17.5% 26.2% 22.5% 4.1% -2.1% 11.5M -218.6M -867.4K 3.34 71.68 N/A N/A 1,621 5,415 24,789 25,773 2021-11-09 $221.92 $200.00 22.4% 6.5% 17.5% 23.6% 23.5% 0.8% -0.1% 11.3M -229.1M -872.5K 3.27 72.88 N/A N/A 1,594 5,207 24,946 25,958 2021-11-10 $221.05 $200.00 21.4% 6.3% 17.7% 19.1% 23.4% 0.7% 1.0% 12.3M -223.6M -855.8K 3.77 83.53 N/A N/A 1,410 5,314 25,066 25,989 2021-11-11 $222.69 $200.00 19.4% 6.1% 17.6% 9.8% 22.3% 3.4% 2.9% 14.3M -248.9M -785.6K 4.06 78.88 N/A N/A 1,349 5,479 25,089 25,982 2021-11-12 $224.77 $200.00 20.4% 6.2% 15.9% 14.2% 22.9% 2.8% 1.6% 21.5M -271.3M -763.3K 2.97 81.82 N/A N/A 1,867 5,538 25,060 25,966 2021-11-15 $226.58 $200.00 21.0% 5.9% 15.7% 17.0% 22.9% 3.4% 1.0% 13.0M -270.9M -775.4K 2.91 83.85 N/A N/A 1,686 4,914 24,036 25,192 2021-11-16 $225.50 $200.00 20.3% 5.8% 15.2% 14.0% 21.4% 2.5% 1.9% 13.5M -273.7M -734.7K 1.55 82.42 N/A N/A 3,087 4,772 24,241 25,263 2021-11-17 $226.97 $200.00 20.5% 5.9% 13.5% 14.7% 22.5% 3.9% 1.7% 15.6M -299.1M -810.6K 1.46 86.54 N/A N/A 3,396 4,960 25,831 25,519 2021-11-18 $226.27 $200.00 20.4% 5.8% 13.7% 14.3% 22.1% 3.2% 0.6% 15.1M -283.7M -812.1K 2.35 82.24 N/A N/A 2,291 5,374 25,719 25,609 2021-11-19 $223.36 $210.00 21.7% 6.3% 13.2% 20.2% 22.0% 3.8% -1.0% 12.0M -240.1M -835.4K 2.43 83.74 N/A N/A 2,175 5,289 26,137 26,176 2021-11-22 $224.96 $210.00 21.3% 6.0% 13.2% 18.3% 22.5% 2.6% 0.1% 7.9M -206.5M -762.8K 2.96 68.37 N/A N/A 1,759 5,210 21,832 22,499 2021-11-23 $227.56 $210.00 25.0% 6.8% 13.3% 35.5% 25.5% 2.4% -3.0% 8.7M -227.6M -810.6K 0.83 64.63 N/A N/A 6,607 5,462 22,070 22,633 2021-11-24 $229.03 $210.00 23.7% 6.4% 12.4% 29.4% 23.8% 1.1% -2.4% 14.7M -290.2M -883.0K 1.96 67.62 N/A N/A 2,765 5,420 26,169 22,932 2021-11-26 $223.24 $210.00 29.0% 8.1% 15.9% 53.8% 28.4% 1.4% 1.1% 10.1M -219.1M -1.0M 2.19 74.60 N/A N/A 2,423 5,313 26,697 23,030 2021-11-29 $225.48 $210.00 24.7% 6.7% 15.7% 34.3% 24.6% 1.9% -0.4% 14.0M -258.0M -855.1K 2.64 73.13 N/A N/A 1,971 5,202 26,950 22,835 2021-11-30 $221.96 $210.00 26.4% 7.7% 16.1% 42.0% 27.3% 1.1% 2.4% 11.2M -208.4M -949.6K 2.85 78.24 N/A N/A 1,860 5,309 27,230 22,970
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