CME Options History — March 2022

In March 2022, CME traded between $223.95 and $250.50. ATM implied volatility averaged 27.7%, placing in the 60.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 2.7% (HV 20d: 30.4%). Max pain ranged from $220.00 to $250.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.97.

Notable Days

2022-03-22: Highest Volume — 11,598 contracts
2022-03-16: Largest IV drop — 13.6% change
2022-03-07: Highest IV Rank — 100.0%
2022-03-08: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$239.21	$223.95	$250.50	$233.83	$239.41
Max Pain	$234.09	$220.00	$250.00	$230.00	$240.00
ATM IV	27.7%	21.5%	35.1%	31.9%	24.5%
Expected Move	8.4%	6.6%	11.2%	9.7%	6.9%
HV 20d	30.4%	22.8%	34.2%	25.3%	33.7%
HV 60d	25.8%	21.9%	27.6%	22.3%	27.3%
IV Rank	60.3%	23.6%	100.0%	92.3%	40.3%
IV Percentile	82.6%	45.2%	100.0%	99.6%	77.8%
Term Structure	0.1%	-2.4%	2.3%	0.9%	-1.4%
VWIV	30.2%	22.2%	38.3%	33.2%	25.0%
Skew 25d	5.3%	3.5%	7.6%	7.6%	3.9%
Skew 10d	10.5%	5.8%	16.8%	14.0%	10.4%
Call IV 25d	26.1%	20.2%	33.6%	29.3%	23.7%
Put IV 25d	31.4%	24.3%	39.5%	36.8%	27.6%
Bid-Ask Spread %	62.44	45.91	77.63	62.83	65.59
Gamma HHI	0.17	0.10	0.52	0.12	0.30
Net GEX	7.8M	-13.3M	48.8M	7.3M	-13.3M
Net DEX	-121.1M	-273.8M	-28.6M	-101.3M	-50.7M
Net VEX	-1.2M	-1.3M	-1.1M	-1.1M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.38	1.64	0.59	1.11
Total Volume	6,281.348	3,236	11,598	3,524	8,557
Total OI	42,623.391	34,842	47,035	40,146	42,481

Daily Data (23 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
2022-03-01	$233.83	$230.00	31.9%	9.7%	25.3%	92.3%	33.2%	7.6%	0.9%	7.3M	-101.3M	-1.1M	0.59	62.83	N/A	N/A	2,218	1,306	24,638	15,508
2022-03-02	$237.02	$230.00	29.2%	8.5%	25.4%	75.1%	30.7%	5.5%	-0.3%	9.5M	-127.7M	-1.1M	0.66	54.85	N/A	N/A	1,951	1,285	25,168	15,597
2022-03-03	$240.34	$230.00	28.7%	8.3%	23.3%	72.2%	29.5%	4.7%	-1.2%	12.7M	-161.5M	-1.1M	0.38	62.39	N/A	N/A	3,914	1,497	25,245	15,678
2022-03-04	$242.83	$230.00	31.2%	9.7%	23.4%	87.8%	34.0%	7.3%	-0.7%	15.7M	-192.1M	-1.2M	0.50	64.55	N/A	N/A	3,973	1,990	26,101	15,890
2022-03-07	$236.78	$230.00	34.1%	11.0%	22.8%	100.0%	38.3%	6.0%	-1.8%	10.2M	-136.1M	-1.2M	0.49	62.78	N/A	N/A	4,493	2,182	25,848	15,301
2022-03-08	$223.95	$230.00	35.1%	11.2%	29.2%	100.0%	38.2%	5.9%	-1.4%	3.2M	-28.6M	-1.1M	0.74	64.45	N/A	N/A	4,009	2,958	27,326	16,161
2022-03-09	$231.18	$230.00	32.3%	10.5%	31.8%	84.1%	37.0%	6.1%	-0.7%	6.0M	-73.6M	-1.2M	0.77	65.39	N/A	N/A	3,253	2,511	27,401	17,056
2022-03-10	$227.26	$230.00	31.6%	10.2%	29.3%	80.5%	36.9%	5.9%	-0.9%	3.6M	-40.5M	-1.1M	1.08	67.32	N/A	N/A	2,746	2,958	27,846	17,271
2022-03-11	$226.75	$230.00	32.5%	9.9%	28.4%	85.5%	37.8%	4.3%	-2.4%	2.9M	-41.1M	-1.2M	1.18	77.63	N/A	N/A	2,491	2,943	28,102	17,874
2022-03-14	$229.39	$220.00	33.2%	9.2%	28.7%	89.4%	33.6%	6.7%	0.0%	5.3M	-71.2M	-1.1M	0.83	46.12	N/A	N/A	3,071	2,546	26,118	16,918
2022-03-15	$231.89	$220.00	32.4%	9.1%	29.0%	84.7%	34.8%	6.9%	1.4%	6.7M	-92.6M	-1.2M	1.63	45.91	N/A	N/A	2,775	4,519	26,567	17,293
2022-03-16	$241.23	$220.00	28.0%	8.1%	32.4%	59.9%	32.9%	6.2%	-0.4%	13.8M	-170.8M	-1.2M	1.12	62.68	N/A	N/A	2,614	2,931	26,691	19,347
2022-03-17	$245.49	$0.00	24.9%	7.2%	33.0%	42.4%	27.7%	4.7%	0.3%	19.0M	-213.6M	-1.2M	0.93	59.33	N/A	N/A	2,946	2,747	26,944	19,698
2022-03-18	$250.39	$240.00	23.9%	7.3%	33.6%	36.9%	25.2%	5.3%	-0.5%	48.8M	-273.8M	-1.2M	0.56	61.13	N/A	N/A	5,844	3,289	27,021	20,014
2022-03-21	$250.50	$240.00	23.9%	7.2%	33.5%	36.8%	25.3%	4.8%	2.0%	13.8M	-202.4M	-1.2M	1.31	56.65	N/A	N/A	2,061	2,697	20,789	14,053
2022-03-22	$247.96	$240.00	21.5%	6.7%	33.8%	23.6%	22.2%	4.8%	2.3%	12.8M	-176.1M	-1.2M	1.49	66.05	N/A	N/A	4,656	6,942	21,934	15,108
2022-03-23	$247.93	$250.00	21.6%	7.0%	33.4%	24.0%	25.4%	4.3%	2.3%	9.7M	-165.7M	-1.3M	0.95	66.01	N/A	N/A	3,513	3,336	23,670	19,488
2022-03-24	$244.12	$250.00	22.9%	7.1%	33.9%	31.3%	26.9%	4.3%	2.0%	3.1M	-102.1M	-1.3M	1.08	63.73	N/A	N/A	3,082	3,314	23,448	20,591
2022-03-25	$247.05	$240.00	23.0%	6.6%	34.0%	31.7%	25.2%	4.1%	1.5%	-3.2M	-138.1M	-1.3M	0.86	65.15	N/A	N/A	4,136	3,561	23,885	21,358
2022-03-28	$244.61	$240.00	23.4%	7.0%	33.9%	34.0%	26.4%	5.4%	0.2%	3.2M	-103.0M	-1.3M	1.64	62.18	N/A	N/A	2,113	3,470	21,622	18,981
2022-03-29	$240.71	$240.00	23.5%	6.8%	34.2%	34.7%	23.2%	3.6%	0.8%	-5.3M	-54.7M	-1.2M	1.15	65.94	N/A	N/A	2,437	2,803	21,755	19,203
2022-03-30	$241.22	$240.00	24.4%	6.8%	33.9%	40.1%	24.8%	3.5%	-0.7%	-5.2M	-67.9M	-1.2M	1.19	67.35	N/A	N/A	2,669	3,164	22,027	19,323
2022-03-31	$239.41	$240.00	24.5%	6.9%	33.7%	40.3%	25.0%	3.9%	-1.4%	-13.3M	-50.7M	-1.3M	1.11	65.59	N/A	N/A	4,056	4,501	22,878	19,603