CME Options History — April 2022

In April 2022, CME traded between $214.02 and $244.38. ATM implied volatility averaged 27.8%, placing in the 58.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 1.9% (HV 20d: 25.9%). Max pain ranged from $230.00 to $240.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.90.

Notable Days

2022-04-26: Highest Volume — 9,011 contracts
2022-04-21: Largest IV spike — 11.5% change
2022-04-26: Highest IV Rank — 98.1%
2022-04-26: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$233.04	$214.02	$244.38	$239.01	$220.60
Max Pain	$238.38	$230.00	$240.00	$240.00	$230.00
ATM IV	27.8%	24.2%	34.8%	24.2%	32.0%
Expected Move	7.9%	6.9%	10.1%	6.9%	9.1%
HV 20d	25.9%	20.1%	33.8%	33.5%	33.8%
HV 60d	28.3%	27.2%	30.8%	27.3%	30.3%
IV Rank	58.9%	38.5%	98.1%	38.5%	82.7%
IV Percentile	87.9%	74.6%	99.6%	74.6%	96.4%
Term Structure	-0.4%	-2.0%	1.1%	0.0%	-1.1%
VWIV	28.6%	24.3%	33.5%	25.3%	32.1%
Skew 25d	5.2%	3.5%	7.7%	3.8%	6.3%
Skew 10d	11.3%	6.5%	15.2%	7.6%	15.1%
Call IV 25d	26.1%	23.0%	32.9%	23.0%	29.9%
Put IV 25d	31.3%	26.8%	40.5%	26.8%	36.2%
Bid-Ask Spread %	62.38	51.93	72.62	63.09	61.12
Gamma HHI	0.13	0.09	0.38	0.38	0.14
Net GEX	122.2K	-24.4M	5.9M	-24.4M	-1.1M
Net DEX	-25.6M	-119.5M	79.1M	-31.9M	31.3M
Net VEX	-1.3M	-1.4M	-1.2M	-1.3M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.90	0.50	3.64	1.46	1.11
Total Volume	6,309.25	3,677	9,011	8,499	5,561
Total OI	42,317.4	34,017	48,003	45,857	43,894

Daily Data (20 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
2022-04-01	$239.01	$240.00	24.2%	6.9%	33.5%	38.5%	25.3%	3.8%	0.0%	-24.4M	-31.9M	-1.3M	1.46	63.09	N/A	N/A	3,461	5,038	24,620	21,237
2022-04-04	$233.84	$240.00	25.1%	7.2%	33.2%	43.7%	24.3%	3.5%	-0.8%	1.2M	-1.7M	-1.2M	1.37	70.08	N/A	N/A	2,530	3,456	24,613	18,044
2022-04-05	$237.12	$240.00	24.9%	6.9%	26.3%	42.9%	26.4%	4.4%	-0.1%	1.5M	-35.0M	-1.3M	2.72	68.81	N/A	N/A	1,949	5,304	25,012	18,666
2022-04-06	$243.24	$240.00	24.9%	7.5%	25.5%	42.9%	27.0%	4.2%	-0.6%	4.4M	-108.9M	-1.3M	1.38	65.69	N/A	N/A	2,176	3,007	25,118	20,895
2022-04-07	$244.38	$240.00	25.7%	7.5%	24.4%	46.9%	30.4%	5.6%	-0.4%	5.6M	-119.5M	-1.4M	1.42	67.33	N/A	N/A	2,127	3,019	25,337	20,891
2022-04-08	$242.71	$240.00	25.9%	7.5%	24.6%	48.0%	28.0%	4.7%	-0.3%	5.9M	-103.3M	-1.3M	1.38	67.15	N/A	N/A	2,263	3,119	25,582	20,957
2022-04-11	$239.71	$240.00	27.7%	7.7%	25.0%	58.4%	28.4%	5.0%	-0.3%	2.5M	-55.4M	-1.3M	2.46	55.42	N/A	N/A	1,725	4,241	25,239	20,114
2022-04-12	$235.43	$240.00	28.1%	7.5%	25.8%	60.4%	27.9%	4.8%	-1.7%	-1.5M	3.0M	-1.3M	1.57	71.98	N/A	N/A	2,730	4,296	25,487	21,807
2022-04-13	$239.54	$240.00	25.8%	7.3%	22.4%	47.5%	27.2%	4.4%	-0.3%	3.4M	-34.2M	-1.3M	2.53	57.78	N/A	N/A	1,576	3,982	25,777	22,113
2022-04-14	$238.26	$240.00	25.8%	7.2%	21.4%	47.4%	27.1%	4.7%	-1.0%	-2.0M	-17.2M	-1.2M	2.74	72.62	N/A	N/A	1,861	5,093	25,810	22,193
2022-04-18	$235.50	$240.00	26.8%	7.6%	20.1%	53.0%	26.9%	5.5%	0.7%	2.2M	-55.1M	-1.2M	3.64	51.93	N/A	N/A	1,605	5,840	17,367	16,650
2022-04-19	$234.25	$240.00	26.0%	7.4%	20.1%	48.9%	27.0%	5.0%	0.3%	1.4M	-40.2M	-1.3M	3.00	54.84	N/A	N/A	1,710	5,130	17,778	18,481
2022-04-20	$236.66	$240.00	25.4%	7.3%	20.5%	45.4%	27.0%	4.7%	1.1%	1.7M	-50.3M	-1.3M	2.66	55.88	N/A	N/A	1,915	5,101	18,013	18,747
2022-04-21	$228.64	$240.00	28.3%	8.1%	23.4%	61.7%	28.0%	5.5%	-0.6%	687.3K	-4.3M	-1.2M	2.56	59.16	N/A	N/A	1,935	4,950	18,458	18,923
2022-04-22	$224.52	$240.00	30.0%	8.6%	23.6%	71.1%	29.5%	5.8%	-0.0%	50.5K	25.7M	-1.2M	2.06	62.63	N/A	N/A	2,334	4,812	18,678	19,315
2022-04-25	$221.37	$240.00	31.9%	9.2%	23.0%	82.2%	33.2%	6.2%	-0.5%	-1.2M	35.0M	-1.2M	1.61	60.51	N/A	N/A	1,871	3,009	18,289	18,700
2022-04-26	$214.02	$237.50	34.8%	10.1%	25.1%	98.1%	32.6%	7.7%	0.7%	-2.4M	79.1M	-1.2M	0.50	62.61	N/A	N/A	6,002	3,009	18,352	19,083
2022-04-27	$226.12	$230.00	32.5%	9.0%	33.0%	85.4%	33.5%	6.7%	-2.0%	2.6M	-16.2M	-1.3M	0.63	57.35	N/A	N/A	2,258	1,419	22,770	19,655
2022-04-28	$225.94	$230.00	30.4%	8.6%	33.0%	73.7%	30.5%	6.1%	-0.5%	1.6M	-12.8M	-1.3M	1.18	61.57	N/A	N/A	2,184	2,587	23,582	20,101
2022-04-29	$220.60	$230.00	32.0%	9.1%	33.8%	82.7%	32.1%	6.3%	-1.1%	-1.1M	31.3M	-1.3M	1.11	61.12	N/A	N/A	2,632	2,929	23,568	20,326