CME Options History — January 2022

In January 2022, CME traded between $219.07 and $231.22. ATM implied volatility averaged 24.8%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 5.7% (HV 20d: 19.1%). Max pain ranged from $220.00 to $220.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.52.

Notable Days

  • 2022-01-03: Highest Volume — 12,708 contracts
  • 2022-01-24: Largest IV spike — 27.8% change
  • 2022-01-24: Highest IV Rank — 73.0%
  • 2022-01-24: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$225.12$219.07$231.22$225.24$228.82
Max Pain$220.00$220.00$220.00$220.00$220.00
ATM IV24.8%19.0%33.1%19.4%25.0%
Expected Move7.2%5.2%10.1%5.2%7.5%
HV 20d19.1%16.0%23.4%19.2%23.4%
HV 60d19.1%18.2%20.2%18.7%20.2%
IV Rank36.2%8.0%73.0%9.8%45.5%
IV Percentile66.3%11.5%98.0%14.3%79.0%
Term Structure0.2%-2.4%2.5%2.2%0.1%
VWIV26.8%19.5%35.8%21.2%29.1%
Skew 25d5.3%2.8%7.9%3.5%4.5%
Skew 10d12.0%5.3%20.3%8.7%14.3%
Call IV 25d23.1%18.2%30.7%18.2%24.7%
Put IV 25d28.4%21.0%38.6%21.7%29.2%
Bid-Ask Spread %65.5747.9880.2166.4466.03
Gamma HHI0.240.090.520.310.11
Net GEX7.6M-437.4K25.8M9.5M3.0M
Net DEX-76.9M-189.5M-10.2M-87.4M-71.7M
Net VEX-791.7K-844.9K-721.9K-807.7K-844.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.111.650.111.03
Total Volume8,047.33,52512,70812,7084,114
Total OI39,206.524,09448,75942,71727,329

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$225.24$220.0019.4%5.2%19.2%9.8%21.2%3.5%2.2%9.5M-87.4M-807.7K0.1166.44N/AN/A11,4581,25019,78322,934
2022-01-04$228.17$220.0019.0%5.3%19.7%8.0%19.5%2.8%2.4%12.4M-124.3M-796.8K0.1475.23N/AN/A10,1581,39919,76623,163
2022-01-05$226.99$220.0020.9%5.7%17.4%16.7%22.7%4.4%1.6%10.6M-107.2M-809.7K0.1680.21N/AN/A8,3471,32919,67723,385
2022-01-06$225.68$220.0020.8%6.1%17.2%16.2%22.3%4.3%2.0%9.3M-85.7M-826.9K0.1669.67N/AN/A8,7321,36919,91023,523
2022-01-07$225.51$220.0022.0%6.5%16.0%21.6%27.9%5.1%2.5%9.1M-79.6M-826.2K0.2266.26N/AN/A8,3341,80119,85223,696
2022-01-10$221.94$220.0025.4%7.2%16.9%37.3%24.4%5.2%-0.4%3.9M-43.0M-789.1K0.1567.76N/AN/A8,6281,26119,60723,920
2022-01-11$222.92$220.0023.3%6.9%17.0%27.8%24.2%4.1%0.4%5.1M-55.1M-780.0K0.2057.52N/AN/A8,5561,73519,70824,037
2022-01-12$226.45$220.0022.8%6.1%18.0%25.1%23.1%4.9%-1.5%10.4M-93.5M-758.2K0.3070.46N/AN/A6,0021,83019,69324,700
2022-01-13$223.94$220.0022.9%6.8%18.4%25.8%24.6%4.2%0.7%6.9M-62.5M-767.2K0.4056.03N/AN/A6,3032,52119,89824,732
2022-01-14$223.20$220.0022.9%6.8%18.1%25.9%25.0%5.1%1.2%4.7M-54.8M-738.0K0.3773.59N/AN/A7,0142,56820,47925,103
2022-01-18$222.51$220.0025.6%7.3%17.6%38.1%28.8%5.3%-2.4%3.7M-52.8M-721.9K0.3270.58N/AN/A5,9821,93120,76324,966
2022-01-19$230.30$220.0023.0%6.6%19.7%26.1%26.2%6.0%-0.3%23.3M-163.1M-747.3K0.3867.32N/AN/A7,0702,68520,87225,166
2022-01-20$231.22$220.0024.1%7.0%19.1%31.2%23.8%5.1%-1.3%25.8M-189.5M-751.8K0.5747.98N/AN/A5,8573,32421,44125,843
2022-01-21$226.86$220.0025.9%7.4%20.1%39.6%26.4%5.9%0.1%7.2M-92.4M-770.9K0.5070.39N/AN/A5,8352,94222,26926,490
2022-01-24$223.30$220.0033.1%10.1%20.1%73.0%34.2%7.9%0.2%3.3M-56.3M-807.2K0.9658.66N/AN/A2,2082,12012,91111,183
2022-01-25$222.96$220.0030.6%9.2%20.1%61.3%34.8%7.9%-0.6%2.7M-46.5M-803.9K1.6556.61N/AN/A1,6962,79213,10612,062
2022-01-26$219.07$220.0031.9%9.6%20.7%67.4%35.8%5.2%-1.2%-229.7K-10.2M-823.6K0.9366.40N/AN/A1,8221,70313,17813,628
2022-01-27$223.27$220.0029.2%9.1%22.1%65.2%32.4%7.6%-1.0%-437.4K-26.2M-835.7K0.8960.89N/AN/A2,0561,83713,29813,939
2022-01-28$224.07$220.0028.6%8.4%22.1%61.9%29.3%7.4%-1.0%941.7K-36.0M-826.8K1.0163.36N/AN/A2,1792,19813,67214,448
2022-01-31$228.82$220.0025.0%7.5%23.4%45.5%29.1%4.5%0.1%3.0M-71.7M-844.9K1.0366.03N/AN/A2,0282,08613,40013,929