CME Options History — December 2021 In December 2021, CME traded between $220.57 and $231.94. ATM implied volatility averaged 22.6%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.8% (HV 20d: 21.8%). Max pain ranged from $200.00 to $220.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.03.
Notable Days 2021-12-23 : Highest Volume — 54,053 contracts2021-12-03 : Largest IV spike — 25.8% change2021-12-03 : Highest IV Rank — 65.3%2021-12-03 : Largest Expected Move — 8.9%Monthly Statistics Metric Avg Min Max Open Close Price $227.43 $220.57 $231.94 $220.57 $229.26 Max Pain $210.91 $200.00 $220.00 $210.00 $220.00 ATM IV 22.6% 18.2% 31.4% 26.2% 18.4% Expected Move 6.3% 4.9% 8.9% 8.3% 4.9% HV 20d 21.8% 15.8% 24.6% 15.8% 18.9% HV 60d 18.8% 17.3% 19.4% 17.3% 18.5% IV Rank 24.3% 4.0% 65.3% 41.2% 5.2% IV Percentile 46.6% 3.2% 97.6% 80.6% 5.2% Term Structure 0.2% -2.2% 3.3% 0.9% 0.6% VWIV 22.1% 16.5% 30.1% 26.5% 17.8% Skew 25d 3.3% 0.2% 6.4% 3.0% 2.9% Skew 10d 6.6% 1.4% 9.6% 8.4% 7.1% Call IV 25d 22.0% 17.1% 30.5% 26.1% 17.6% Put IV 25d 25.2% 19.5% 33.6% 29.1% 20.5% Bid-Ask Spread % 73.84 65.70 80.59 72.95 74.44 Gamma HHI 0.20 0.13 0.35 0.17 0.35 Net GEX 12.6M 5.8M 18.6M 10.5M 13.6M Net DEX -186.6M -329.0M -101.6M -195.1M -136.6M Net VEX -824.0K -1.0M -722.0K -936.0K -820.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.03 0.03 3.30 2.43 0.10 Total Volume 19,758.364 5,726 54,053 8,281 14,766 Total OI 46,224.455 41,632 50,484 50,299 43,407
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 2021-12-01 $220.57 $210.00 26.2% 8.3% 15.8% 41.2% 26.5% 3.0% 0.9% 10.5M -195.1M -936.0K 2.43 72.95 N/A N/A 2,412 5,869 27,222 23,077 2021-12-02 $227.32 $210.00 25.0% 8.1% 19.1% 35.5% 27.5% 0.2% 2.1% 13.7M -267.6M -953.8K 2.51 71.95 N/A N/A 2,439 6,111 27,397 23,087 2021-12-03 $223.95 $210.00 31.4% 8.9% 19.9% 65.3% 30.1% 3.0% -2.0% 10.2M -217.6M -1.0M 2.89 75.66 N/A N/A 2,026 5,846 27,264 22,988 2021-12-06 $224.21 $200.00 27.2% 7.4% 19.7% 45.9% 24.6% 6.4% -1.2% 12.1M -232.4M -882.3K 3.30 79.66 N/A N/A 1,836 6,060 26,774 22,750 2021-12-07 $230.13 $200.00 24.3% 6.5% 21.5% 32.4% 21.9% 2.1% 0.0% 17.6M -317.4M -732.0K 2.57 70.34 N/A N/A 2,475 6,367 26,935 22,786 2021-12-08 $231.94 $200.00 24.8% 6.5% 21.6% 34.5% 23.7% 4.5% -0.6% 18.6M -329.0M -722.0K 0.19 80.59 N/A N/A 35,081 6,805 26,731 23,066 2021-12-09 $227.79 $210.00 23.6% 6.6% 22.7% 29.0% 22.7% 3.0% 0.5% 11.9M -174.7M -835.5K 0.89 76.75 N/A N/A 7,386 6,588 22,667 23,712 2021-12-10 $228.10 $210.00 22.1% 6.1% 22.5% 22.3% 21.3% 3.4% -1.1% 10.6M -166.6M -806.4K 0.93 76.88 N/A N/A 7,267 6,772 22,764 24,333 2021-12-13 $228.59 $210.00 23.2% 6.2% 22.3% 27.4% 22.5% 2.9% -1.3% 11.8M -177.1M -781.4K 1.20 77.80 N/A N/A 5,717 6,860 22,677 24,125 2021-12-14 $228.01 $210.00 23.5% 6.6% 22.2% 28.5% 23.9% 3.6% -0.8% 12.4M -175.1M -789.3K 1.36 76.76 N/A N/A 5,269 7,150 23,072 24,277 2021-12-15 $227.62 $210.00 23.6% 6.5% 22.1% 29.0% 22.4% 3.0% -0.9% 11.5M -169.8M -793.3K 0.93 78.73 N/A N/A 6,573 6,124 23,236 24,368 2021-12-16 $229.34 $210.00 21.6% 6.4% 22.2% 19.7% 22.3% 5.1% 0.4% 13.3M -195.0M -803.7K 1.09 80.23 N/A N/A 5,696 6,197 24,248 24,476 2021-12-17 $226.24 $210.00 22.7% 6.1% 22.7% 24.8% 24.0% 4.7% -2.2% 8.8M -140.0M -813.7K 0.80 78.61 N/A N/A 8,452 6,788 24,063 24,539 2021-12-20 $221.09 $210.00 25.1% 7.2% 23.7% 36.2% 24.8% 4.3% 0.8% 5.8M -101.6M -826.4K 0.47 66.45 N/A N/A 4,033 1,899 21,017 20,729 2021-12-21 $224.37 $210.00 21.1% 6.0% 24.2% 17.5% 21.3% 1.7% 2.1% 10.4M -140.9M -788.3K 0.47 65.70 N/A N/A 3,894 1,832 21,244 21,227 2021-12-22 $226.92 $210.00 18.7% 5.4% 24.2% 6.4% 19.0% 0.9% 3.3% 14.1M -173.8M -726.4K 0.37 72.83 N/A N/A 5,023 1,837 21,265 21,325 2021-12-23 $230.09 $210.00 18.2% 5.1% 24.6% 4.0% 16.8% 1.7% 1.8% 17.8M -213.3M -737.0K 0.03 67.34 N/A N/A 52,608 1,445 22,496 21,839 2021-12-27 $229.23 $220.00 19.4% 5.2% 22.7% 9.6% 16.5% 4.0% 0.8% 13.9M -155.8M -841.2K 0.09 71.18 N/A N/A 41,597 3,844 20,171 21,461 2021-12-28 $230.39 $220.00 19.0% 5.2% 22.5% 7.8% 19.4% 3.7% 0.7% 13.2M -151.5M -836.4K 0.03 69.82 N/A N/A 40,822 1,371 19,512 22,631 2021-12-29 $229.43 $220.00 19.1% 5.1% 21.7% 8.2% 17.2% 3.4% 0.6% 12.7M -139.7M -832.2K 0.04 70.37 N/A N/A 41,147 1,533 19,795 23,081 2021-12-30 $228.76 $220.00 18.3% 4.9% 21.6% 4.6% 19.9% 3.9% 0.4% 13.1M -134.0M -830.8K 0.05 69.53 N/A N/A 39,074 1,793 19,937 23,167 2021-12-31 $229.26 $220.00 18.4% 4.9% 18.9% 5.2% 17.8% 2.9% 0.6% 13.6M -136.6M -820.3K 0.10 74.44 N/A N/A 13,388 1,378 19,997 23,410
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