CME Options History — February 2022

In February 2022, CME traded between $231.84 and $249.85. ATM implied volatility averaged 26.5%, placing in the 57.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 0.7% (HV 20d: 27.2%). Max pain ranged from $220.00 to $230.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.68.

Notable Days

  • 2022-02-09: Highest Volume — 10,542 contracts
  • 2022-02-11: Largest IV spike — 12.8% change
  • 2022-02-28: Highest IV Rank — 75.3%
  • 2022-02-28: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$239.98$231.84$249.85$231.84$236.39
Max Pain$225.00$220.00$230.00$222.50$230.00
ATM IV26.5%24.2%29.2%25.2%29.2%
Expected Move7.6%6.9%8.3%7.4%8.3%
HV 20d27.2%22.9%30.4%22.9%25.9%
HV 60d22.9%20.4%23.9%20.4%23.0%
IV Rank57.8%43.2%75.3%49.8%75.3%
IV Percentile85.6%73.4%96.4%80.6%96.4%
Term Structure0.1%-1.2%1.5%-0.5%-0.7%
VWIV27.4%24.0%31.7%27.1%31.7%
Skew 25d5.1%3.4%6.9%4.7%4.8%
Skew 10d11.9%7.7%16.2%13.2%7.7%
Call IV 25d25.0%22.2%27.5%23.0%27.5%
Put IV 25d30.1%27.5%33.6%27.7%32.4%
Bid-Ask Spread %69.0855.5778.9967.4460.46
Gamma HHI0.120.100.160.110.12
Net GEX7.9M4.9M11.6M5.4M6.7M
Net DEX-154.7M-253.0M-96.3M-96.3M-105.5M
Net VEX-1.0M-1.1M-846.2K-846.2K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.361.030.790.36
Total Volume5,352.8953,37010,5424,4837,210
Total OI34,267.26327,74137,76727,74136,265

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-02-01$231.84$222.5025.2%7.4%22.9%49.8%27.1%4.7%-0.5%5.4M-96.3M-846.2K0.7967.44N/AN/A2,5091,97413,63214,109
2022-02-02$239.26$222.5025.6%7.7%25.0%52.0%28.3%4.8%1.1%8.4M-160.2M-857.1K0.5066.92N/AN/A4,5562,28214,47714,273
2022-02-03$240.81$220.0027.3%7.5%24.9%62.8%26.5%6.7%-0.4%10.0M-182.5M-933.2K0.7970.47N/AN/A3,1262,47716,05214,747
2022-02-04$247.62$220.0025.1%7.2%26.2%49.1%26.4%5.5%0.1%8.2M-234.6M-925.9K0.4963.01N/AN/A4,5862,26316,52214,927
2022-02-07$243.12$220.0026.1%7.6%27.4%55.1%27.3%4.7%0.3%8.8M-186.2M-1.0M0.7374.94N/AN/A2,8972,11317,12213,419
2022-02-08$241.64$220.0026.6%7.6%26.6%58.5%25.2%4.5%-0.7%9.4M-179.5M-992.3K0.8470.09N/AN/A3,4642,89517,77713,862
2022-02-09$249.85$220.0024.2%6.9%28.6%43.2%24.0%5.3%-0.1%11.6M-253.0M-994.1K0.4576.02N/AN/A7,2723,27018,74614,954
2022-02-10$243.91$220.0024.7%7.3%30.2%46.3%24.8%5.4%0.9%10.4M-196.4M-1.0M0.7174.22N/AN/A3,6992,62821,10715,346
2022-02-11$241.19$220.0027.8%7.9%30.2%66.2%28.3%4.7%-0.3%6.6M-176.8M-1.1M1.0373.43N/AN/A3,3183,41921,65315,986
2022-02-14$239.09$220.0028.4%8.1%30.4%69.6%28.9%6.9%-1.2%7.1M-136.4M-1.1M0.5271.41N/AN/A3,1031,60419,83315,912
2022-02-15$238.08$230.0026.3%7.5%30.4%56.7%26.7%5.4%0.6%7.4M-129.8M-1.1M0.6776.64N/AN/A2,1831,45320,76116,034
2022-02-16$238.98$230.0026.0%7.4%28.1%54.5%27.0%4.5%0.2%8.5M-146.6M-1.1M0.8278.99N/AN/A1,8551,51521,19116,178
2022-02-17$239.28$230.0026.1%7.4%28.1%55.2%26.3%5.5%1.5%8.7M-147.1M-1.0M0.7275.98N/AN/A2,0881,51021,25016,246
2022-02-18$237.99$230.0025.4%7.2%27.2%50.7%27.3%5.2%0.3%8.1M-128.0M-1.1M0.7571.74N/AN/A2,0261,51121,34916,418
2022-02-22$238.57$230.0026.6%7.8%26.3%58.5%30.6%4.8%0.4%7.7M-128.2M-1.0M0.7858.53N/AN/A2,3081,80219,12114,397
2022-02-23$235.60$230.0028.4%8.3%26.9%70.0%29.3%4.7%0.1%7.0M-108.3M-1.0M0.5063.03N/AN/A2,6461,32220,05714,626
2022-02-24$237.13$230.0028.2%8.1%25.8%68.5%27.8%6.2%0.1%6.1M-111.7M-1.0M0.7263.67N/AN/A2,2781,63820,84415,052
2022-02-25$239.26$230.0026.1%7.5%25.3%55.8%26.3%3.4%0.4%4.9M-133.2M-1.0M0.7555.57N/AN/A2,8072,09821,37415,459
2022-02-28$236.39$230.0029.2%8.3%25.9%75.3%31.7%4.8%-0.7%6.7M-105.5M-1.0M0.3660.46N/AN/A5,3161,89421,27614,989