CME Options History — July 2022

In July 2022, CME traded between $196.84 and $209.68. ATM implied volatility averaged 28.1%, placing in the 50.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 5.2% (HV 20d: 22.9%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.81.

Notable Days

  • 2022-07-01: Highest Volume — 12,081 contracts
  • 2022-07-28: Largest IV drop — 8.9% change
  • 2022-07-05: Highest IV Rank — 64.1%
  • 2022-07-05: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$203.46$196.84$209.68$203.79$199.99
Max Pain$208.63$200.00$210.00$200.00$205.00
ATM IV28.1%23.4%30.9%29.9%23.4%
Expected Move7.9%6.5%8.8%7.5%6.5%
HV 20d22.9%18.5%27.0%27.0%21.3%
HV 60d29.2%26.5%30.5%30.5%26.5%
IV Rank50.9%28.6%64.1%59.4%28.6%
IV Percentile71.2%38.1%85.3%82.5%38.1%
Term Structure-0.4%-1.1%0.5%0.5%-0.7%
VWIV28.0%24.6%31.7%26.1%25.5%
Skew 25d5.6%4.5%6.8%5.4%5.0%
Skew 10d12.6%9.2%20.5%11.6%9.4%
Call IV 25d26.4%21.7%29.4%28.7%21.7%
Put IV 25d31.9%26.6%35.5%34.1%26.6%
Bid-Ask Spread %58.6846.2868.6865.6668.68
Gamma HHI0.060.050.080.070.05
Net GEX-272.1K-3.5M2.6M-624.2K-2.3M
Net DEX41.1M-6.6M92.2M44.8M70.3M
Net VEX-1.2M-1.3M-1.1M-1.2M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.493.030.492.85
Total Volume8,009.86,25512,08112,0818,404
Total OI45,34741,19850,11742,12150,117

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$203.79$200.0029.9%7.5%27.0%59.4%26.1%5.4%0.5%-624.2K44.8M-1.2M0.4965.66N/AN/A8,0863,99520,11922,002
2022-07-05$204.26$210.0030.9%8.8%25.7%64.1%30.6%6.6%-0.4%-191.9K39.3M-1.2M1.0951.88N/AN/A3,0873,37819,74821,450
2022-07-06$204.50$210.0030.6%8.7%25.7%62.4%30.6%5.9%-0.8%218.8K32.2M-1.2M1.2257.70N/AN/A2,8123,44320,56022,008
2022-07-07$208.72$210.0028.8%7.9%25.9%54.1%28.4%4.8%-0.2%1.8M1.9M-1.2M0.9858.12N/AN/A3,3673,30220,71422,293
2022-07-08$209.68$210.0027.9%7.8%25.2%49.7%27.6%5.2%-0.4%2.4M-6.6M-1.3M1.5653.49N/AN/A3,2095,01921,29622,615
2022-07-11$207.95$210.0029.2%8.1%25.3%55.7%30.0%5.0%-0.8%2.6M3.6M-1.2M1.4955.68N/AN/A3,0594,55221,33823,700
2022-07-12$202.74$210.0030.7%8.6%26.8%63.0%29.5%5.6%-0.5%52.5K43.1M-1.2M1.7846.28N/AN/A2,8205,02121,58823,771
2022-07-13$203.93$210.0030.3%8.7%26.7%61.0%29.5%6.1%-0.1%17.4K35.7M-1.2M1.8351.76N/AN/A2,8965,30721,76724,185
2022-07-14$199.84$210.0030.8%8.6%24.9%63.5%31.7%6.2%-1.0%-1.8M66.4M-1.2M1.9356.46N/AN/A2,9235,62922,10224,416
2022-07-15$201.55$210.0029.5%8.2%23.1%57.3%28.1%5.7%-1.1%-1.1M54.0M-1.2M1.7765.73N/AN/A3,2425,72622,35225,058
2022-07-18$200.24$210.0028.5%8.1%22.9%52.4%28.9%5.3%0.1%-1.1M58.0M-1.2M1.4156.18N/AN/A2,9634,17520,82422,203
2022-07-19$204.53$210.0027.3%7.8%23.6%46.8%27.7%5.4%0.0%-249.2K34.2M-1.2M1.7657.68N/AN/A3,1985,62721,01122,546
2022-07-20$205.08$210.0027.1%7.8%18.6%46.1%27.0%4.6%-0.3%517.1K31.6M-1.2M1.9259.38N/AN/A2,7505,28621,46524,069
2022-07-21$204.96$210.0026.1%7.5%18.6%41.4%26.1%4.5%0.3%1.1M27.5M-1.2M1.9358.84N/AN/A2,6985,20021,76824,252
2022-07-22$204.23$210.0026.2%7.5%18.6%41.9%26.6%5.1%0.1%530.7K38.9M-1.2M1.8060.33N/AN/A2,5484,58222,00124,697
2022-07-25$203.53$207.5027.4%7.9%18.5%47.2%27.3%6.8%-1.0%-529.5K41.5M-1.2M2.1360.28N/AN/A2,3074,91221,15424,547
2022-07-26$203.21$207.5027.8%8.2%18.5%49.2%27.8%6.3%-0.9%-555.0K41.6M-1.2M2.4260.84N/AN/A2,1115,10121,27325,287
2022-07-27$196.84$207.5026.3%6.9%20.5%42.2%25.7%6.1%-0.2%-3.5M92.2M-1.1M2.7962.67N/AN/A2,5257,05721,42025,521
2022-07-28$199.67$205.0023.9%6.8%21.3%31.1%24.6%5.5%-0.0%-2.7M72.6M-1.1M3.0365.97N/AN/A1,9545,92521,87527,828
2022-07-29$199.99$205.0023.4%6.5%21.3%28.6%25.5%5.0%-0.7%-2.3M70.3M-1.1M2.8568.68N/AN/A2,1846,22022,00628,111