CME Options History — June 2022

In June 2022, CME traded between $196.31 and $209.90. ATM implied volatility averaged 29.3%, placing in the 56.2% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 1.7% (HV 20d: 27.5%). Max pain ranged from $195.00 to $220.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2022-06-30: Highest Volume — 11,237 contracts
  • 2022-06-13: Largest IV spike — 11.3% change
  • 2022-06-14: Highest IV Rank — 73.9%
  • 2022-06-14: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$203.46$196.31$209.90$200.19$204.69
Max Pain$200.24$195.00$220.00$220.00$200.00
ATM IV29.3%25.8%33.0%28.1%30.9%
Expected Move8.3%7.7%9.5%8.4%8.1%
HV 20d27.5%23.6%31.4%30.4%27.7%
HV 60d30.3%28.7%32.2%32.2%30.7%
IV Rank56.2%39.7%73.9%50.8%63.9%
IV Percentile82.7%69.4%94.4%81.0%85.3%
Term Structure0.2%-1.8%2.9%-0.1%0.0%
VWIV29.7%27.3%32.6%30.1%28.7%
Skew 25d5.8%4.7%7.2%5.4%5.8%
Skew 10d12.2%9.5%15.7%10.6%13.8%
Call IV 25d27.3%24.5%30.3%26.9%29.3%
Put IV 25d33.1%30.2%37.1%32.3%35.2%
Bid-Ask Spread %62.1950.3669.6850.3662.66
Gamma HHI0.070.050.240.050.05
Net GEX264.1K-2.1M6.5M-1.6M-1.1M
Net DEX59.8M-1.6M112.8M94.8M41.1M
Net VEX-1.1M-1.2M-1.0M-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.591.730.850.59
Total Volume7,289.6675,76211,2376,80311,237
Total OI44,524.85734,88951,64347,90738,308

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$200.19$220.0028.1%8.4%30.4%50.8%30.1%5.4%-0.1%-1.6M94.8M-1.1M0.8550.36N/AN/A3,6723,13123,51524,392
2022-06-02$203.91$195.0026.2%7.8%31.4%41.7%29.5%6.0%-1.0%-759.7K75.8M-1.1M0.7858.30N/AN/A4,0433,15523,68324,513
2022-06-03$199.36$195.0028.4%8.0%30.1%52.3%29.6%7.2%-0.4%72.4K99.4M-1.1M0.7762.23N/AN/A4,0063,08224,02824,514
2022-06-06$199.38$195.0027.6%7.8%30.1%48.2%29.3%5.5%-0.2%-1.8M99.9M-1.0M1.7363.04N/AN/A2,1653,75323,53724,214
2022-06-07$202.98$200.0025.8%7.8%27.3%39.7%28.1%5.7%1.7%-655.0K77.5M-1.1M1.5462.77N/AN/A2,4173,71723,62025,155
2022-06-08$200.04$200.0026.8%7.9%27.6%44.6%29.7%5.9%0.0%-1.1M98.1M-1.0M1.6365.33N/AN/A2,5204,12023,74025,228
2022-06-09$198.51$200.0027.7%8.0%27.6%48.9%30.6%5.1%0.6%-1.9M108.0M-1.1M1.3067.75N/AN/A3,0563,97623,66225,670
2022-06-10$200.90$200.0029.2%8.4%26.9%56.0%31.2%5.4%-0.1%-873.5K88.4M-1.1M1.3958.30N/AN/A3,3934,70424,39225,543
2022-06-13$202.85$200.0032.5%9.4%25.2%71.5%31.4%6.4%-1.6%-1.1M70.2M-1.1M0.9862.25N/AN/A4,6084,50823,31924,632
2022-06-14$196.31$200.0033.0%9.5%26.6%73.9%30.5%6.8%-0.6%-2.1M112.8M-1.1M1.0067.66N/AN/A3,8723,88324,14825,105
2022-06-15$201.69$200.0029.6%8.5%28.3%57.7%29.3%4.7%1.0%643.4K73.5M-1.1M1.0569.68N/AN/A3,4173,58025,03925,413
2022-06-16$203.66$200.0032.4%9.3%23.6%70.7%32.2%6.0%-1.8%1.6M55.0M-1.1M0.7563.54N/AN/A4,3073,22825,17125,604
2022-06-17$200.60$200.0031.3%9.0%24.1%65.8%32.6%7.2%0.1%609.2K81.5M-1.1M1.0265.27N/AN/A4,4114,47925,74225,901
2022-06-21$208.73$200.0028.7%8.3%27.5%53.5%29.3%5.1%1.7%2.5M2.0M-1.1M1.0254.78N/AN/A3,6083,68815,61919,270
2022-06-22$208.77$200.0028.7%8.2%27.5%53.7%30.8%5.6%2.0%2.8M2.9M-1.1M1.1558.41N/AN/A3,3333,82716,21519,994
2022-06-23$208.63$200.0029.2%8.3%27.5%55.7%29.5%5.3%1.6%2.6M5.2M-1.2M1.1757.79N/AN/A3,1313,65816,87520,714
2022-06-24$209.90$200.0028.5%7.9%26.7%52.7%27.3%4.7%2.9%6.5M-1.6M-1.2M1.0062.65N/AN/A3,4193,41617,21021,208
2022-06-27$209.73$200.0028.9%7.7%26.7%54.6%28.4%5.2%-0.4%1.6M6.8M-1.1M1.2363.76N/AN/A2,8533,50515,83020,245
2022-06-28$205.78$200.0030.1%8.1%27.6%60.0%28.5%6.2%-0.2%6.9K32.2M-1.1M1.0466.61N/AN/A2,8282,93416,04620,762
2022-06-29$205.97$200.0031.0%8.1%27.6%64.5%27.6%5.4%-0.9%-288.2K33.4M-1.1M1.1162.78N/AN/A3,0473,39616,31220,934
2022-06-30$204.69$200.0030.9%8.1%27.7%63.9%28.7%5.8%0.0%-1.1M41.1M-1.2M0.5962.66N/AN/A7,0804,15716,79121,517