CME Options History — May 2022

In May 2022, CME traded between $187.91 and $219.69. ATM implied volatility averaged 33.0%, placing in the 77.7% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 2.1% (HV 20d: 35.1%). Max pain ranged from $220.00 to $230.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.48.

Notable Days

  • 2022-05-17: Highest Volume — 12,465 contracts
  • 2022-05-09: Largest IV spike — 13.3% change
  • 2022-05-09: Highest IV Rank — 100.0%
  • 2022-05-12: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$200.55$187.91$219.69$215.84$199.46
Max Pain$225.71$220.00$230.00$230.00$220.00
ATM IV33.0%26.9%38.6%32.2%28.0%
Expected Move9.4%7.8%10.6%9.7%8.2%
HV 20d35.1%31.0%38.3%34.3%31.0%
HV 60d31.4%29.7%32.8%30.5%32.5%
IV Rank77.7%44.9%100.0%83.8%50.2%
IV Percentile93.8%78.6%100.0%96.4%80.6%
Term Structure-0.1%-2.3%2.2%0.5%-0.3%
VWIV34.1%26.8%37.8%33.3%29.3%
Skew 25d6.6%5.2%8.7%6.4%5.8%
Skew 10d14.4%10.4%18.7%13.3%10.4%
Call IV 25d30.9%25.9%36.1%29.9%27.0%
Put IV 25d37.5%31.2%44.9%36.3%32.9%
Bid-Ask Spread %53.4443.6270.1767.8645.77
Gamma HHI0.100.050.270.100.05
Net GEX-4.4M-11.2M-848.9K-848.9K-1.9M
Net DEX134.6M36.8M205.4M57.6M106.3M
Net VEX-1.1M-1.3M-969.0K-1.2M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.882.181.410.88
Total Volume8,449.1434,71612,4655,1587,395
Total OI46,535.8141,32253,31641,32245,747

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-05-02$215.84$230.0032.2%9.7%34.3%83.8%33.3%6.4%0.5%-848.9K57.6M-1.2M1.4167.86N/AN/A2,1383,02022,63018,692
2022-05-03$218.94$230.0031.0%9.1%34.4%76.9%31.7%5.3%0.2%-1.1M39.2M-1.3M0.9564.53N/AN/A2,4222,29422,62019,737
2022-05-04$219.69$230.0028.7%8.6%33.9%64.0%31.3%5.2%0.3%-1.9M36.8M-1.2M1.3870.17N/AN/A2,5923,57423,09420,184
2022-05-05$212.33$230.0032.4%9.2%33.6%84.9%33.3%6.2%0.4%-4.4M96.5M-1.2M1.1555.38N/AN/A2,9783,43423,30321,215
2022-05-06$210.50$230.0032.9%9.0%33.4%87.3%33.5%6.9%0.0%-2.5M114.0M-1.2M1.6555.62N/AN/A2,8914,76323,50621,514
2022-05-09$202.10$230.0037.2%10.2%35.4%100.0%36.0%6.6%-2.2%-4.4M140.1M-1.1M0.8853.01N/AN/A4,3283,79522,77420,452
2022-05-10$199.94$230.0037.0%10.1%35.4%99.2%37.2%7.2%-2.3%-4.1M144.5M-1.1M1.7549.45N/AN/A3,5926,29023,12220,687
2022-05-11$198.82$230.0037.2%10.2%35.2%99.7%37.4%7.0%-1.7%-6.5M161.1M-1.1M1.7349.16N/AN/A3,4275,91923,30923,522
2022-05-12$194.87$230.0038.6%10.6%34.1%100.0%37.6%8.7%-2.2%-6.8M189.7M-1.1M1.4845.95N/AN/A3,9935,89223,70325,432
2022-05-13$200.40$230.0034.7%9.6%36.7%81.6%37.2%6.1%-1.5%-11.2M155.5M-1.1M1.5351.40N/AN/A4,0046,13024,19225,691
2022-05-16$195.81$230.0033.8%9.6%37.0%77.7%35.0%7.1%0.2%-5.8M167.0M-1.1M2.1854.67N/AN/A3,2727,13723,89224,589
2022-05-17$195.69$230.0031.9%9.0%37.1%68.5%31.9%5.9%2.2%-6.2M165.9M-1.0M1.6663.11N/AN/A4,6937,77224,17924,805
2022-05-18$187.91$220.0035.7%10.2%38.0%86.7%37.8%8.3%0.8%-7.8M205.4M-969.0K1.8748.56N/AN/A3,8407,17125,18926,224
2022-05-19$190.97$220.0034.8%10.0%38.2%82.0%36.3%7.1%0.3%-8.2M187.2M-1.0M1.9454.51N/AN/A3,4896,77725,61727,097
2022-05-20$191.63$220.0033.8%9.7%38.3%77.3%37.5%7.9%-0.6%-3.2M174.8M-1.0M1.5456.84N/AN/A4,8937,51725,85227,464
2022-05-23$191.65$220.0033.0%9.3%38.3%73.7%35.2%6.0%0.4%-3.8M153.7M-1.0M1.5246.05N/AN/A2,9184,43320,56323,147
2022-05-24$191.86$220.0032.1%9.3%37.1%69.6%34.0%7.5%0.8%-3.9M157.0M-1.1M1.6650.04N/AN/A2,5904,30520,78824,114
2022-05-25$196.26$220.0030.4%8.9%31.5%61.7%32.7%7.0%0.1%-3.2M133.3M-1.1M1.5848.15N/AN/A2,8684,52921,01724,453
2022-05-26$197.35$220.0030.5%8.7%31.7%62.1%31.2%5.3%1.2%-2.8M128.4M-1.0M1.1543.62N/AN/A3,0813,55321,43124,808
2022-05-27$199.49$220.0026.9%7.8%31.6%44.9%26.8%5.3%1.4%-1.9M112.0M-1.1M1.2048.32N/AN/A3,5064,21722,02224,875
2022-05-31$199.46$220.0028.0%8.2%31.0%50.2%29.3%5.8%-0.3%-1.9M106.3M-1.1M0.8845.77N/AN/A3,9363,45921,60224,145