CME Options History — August 2022

In August 2022, CME traded between $195.25 and $208.86. ATM implied volatility averaged 23.7%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.9% (HV 20d: 21.8%). Max pain ranged from $205.00 to $220.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.96.

Notable Days

2022-08-02: Highest Volume — 8,757 contracts
2022-08-19: Largest IV spike — 10.1% change
2022-08-29: Highest IV Rank — 38.1%
2022-08-29: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$200.03	$195.25	$208.86	$195.26	$196.39
Max Pain	$215.87	$205.00	$220.00	$205.00	$210.00
ATM IV	23.7%	22.0%	26.0%	24.3%	25.4%
Expected Move	6.8%	6.3%	7.4%	6.9%	7.1%
HV 20d	21.8%	19.0%	24.5%	22.8%	19.1%
HV 60d	23.9%	22.4%	26.9%	26.9%	22.6%
IV Rank	28.5%	18.5%	38.1%	32.8%	35.3%
IV Percentile	38.8%	23.4%	57.9%	45.2%	52.8%
Term Structure	0.1%	-0.8%	1.1%	0.5%	-0.0%
VWIV	25.0%	22.4%	27.0%	25.9%	25.8%
Skew 25d	4.4%	3.5%	5.8%	5.6%	4.8%
Skew 10d	11.4%	7.4%	18.9%	12.8%	10.8%
Call IV 25d	22.5%	21.0%	25.1%	22.7%	24.2%
Put IV 25d	27.0%	24.7%	29.3%	28.4%	29.0%
Bid-Ask Spread %	68.74	60.80	76.43	67.97	68.80
Gamma HHI	0.08	0.05	0.28	0.06	0.06
Net GEX	-2.5M	-8.1M	777.3K	-3.5M	-2.7M
Net DEX	68.8M	-7.2M	102.9M	99.9M	102.9M
Net VEX	-1.1M	-1.1M	-1.0M	-1.1M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.28	1.78	1.78	0.89
Total Volume	3,419.478	684	8,757	7,099	5,060
Total OI	49,422.826	44,550	53,488	46,480	49,068

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
2022-08-01	$195.26	$205.00	24.3%	6.9%	22.8%	32.8%	25.9%	5.6%	0.5%	-3.5M	99.9M	-1.1M	1.78	67.97	N/A	N/A	2,555	4,544	21,016	25,464
2022-08-02	$198.21	$205.00	23.6%	6.8%	23.5%	29.5%	27.0%	4.7%	0.8%	-2.8M	78.9M	-1.1M	1.34	68.73	N/A	N/A	3,748	5,009	21,324	25,903
2022-08-03	$198.51	$205.00	23.4%	6.8%	23.5%	28.4%	26.7%	5.2%	-0.2%	-2.8M	79.3M	-1.1M	1.37	68.95	N/A	N/A	3,440	4,714	23,109	26,497
2022-08-04	$200.39	$220.00	23.4%	6.9%	22.5%	28.6%	25.2%	5.0%	-0.1%	-2.2M	65.2M	-1.1M	1.28	63.68	N/A	N/A	3,354	4,285	23,156	26,606
2022-08-05	$201.08	$220.00	23.2%	6.7%	22.4%	27.7%	25.7%	5.3%	0.3%	-2.2M	60.9M	-1.1M	0.77	63.99	N/A	N/A	4,676	3,595	23,663	26,737
2022-08-08	$201.73	$220.00	24.0%	6.9%	22.4%	31.4%	25.5%	5.8%	-0.0%	-474.7K	50.6M	-1.1M	0.80	65.28	N/A	N/A	3,462	2,775	24,332	25,753
2022-08-09	$202.40	$220.00	24.4%	6.9%	20.6%	33.5%	25.1%	5.0%	-0.4%	-568.7K	44.6M	-1.1M	0.41	73.03	N/A	N/A	960	398	24,160	26,210
2022-08-10	$197.67	$220.00	22.6%	6.5%	22.0%	24.8%	23.1%	4.5%	0.1%	-3.9M	89.6M	-1.0M	1.00	67.53	N/A	N/A	985	986	24,267	26,391
2022-08-11	$199.24	$220.00	23.1%	6.6%	21.1%	27.4%	25.3%	4.2%	0.1%	-3.4M	73.5M	-1.0M	1.26	64.00	N/A	N/A	726	914	24,593	27,091
2022-08-12	$201.68	$220.00	22.9%	6.6%	21.4%	26.5%	23.2%	3.6%	0.2%	-1.4M	55.4M	-1.1M	1.01	73.48	N/A	N/A	508	511	24,664	27,656
2022-08-15	$202.25	$220.00	23.6%	6.8%	21.2%	29.5%	23.5%	4.0%	0.2%	-2.3M	54.5M	-1.1M	1.07	74.10	N/A	N/A	1,254	1,336	23,355	26,561
2022-08-16	$205.10	$220.00	22.2%	6.3%	20.4%	19.7%	24.6%	3.8%	0.5%	-2.4M	36.9M	-1.1M	1.67	76.18	N/A	N/A	441	736	23,697	27,443
2022-08-17	$206.38	$220.00	22.8%	6.5%	20.5%	22.8%	23.5%	3.7%	1.1%	-1.5M	17.3M	-1.1M	0.28	76.43	N/A	N/A	985	272	23,827	27,810
2022-08-18	$208.86	$220.00	22.0%	6.3%	20.9%	18.5%	22.4%	3.5%	0.2%	777.3K	-7.2M	-1.0M	0.49	73.80	N/A	N/A	2,057	1,013	24,434	27,756
2022-08-19	$202.28	$220.00	24.2%	7.0%	24.0%	29.4%	27.0%	4.7%	-0.8%	-8.1M	63.9M	-1.1M	1.53	72.14	N/A	N/A	723	1,105	25,277	28,211
2022-08-22	$199.56	$220.00	24.3%	7.2%	24.4%	30.0%	26.3%	4.4%	-0.1%	-2.5M	75.7M	-1.0M	0.82	60.80	N/A	N/A	1,403	1,144	19,854	24,696
2022-08-23	$197.93	$220.00	23.8%	7.1%	24.5%	27.6%	25.3%	3.7%	-0.2%	-2.6M	86.5M	-1.0M	0.38	64.06	N/A	N/A	1,688	636	20,880	25,330
2022-08-24	$199.05	$212.50	23.2%	6.8%	21.8%	24.6%	23.5%	4.5%	0.2%	-1.9M	74.0M	-1.1M	0.51	64.63	N/A	N/A	461	237	22,274	25,601
2022-08-25	$198.80	$212.50	23.0%	6.5%	21.2%	23.8%	23.9%	3.6%	-0.2%	-2.4M	79.8M	-1.0M	0.91	67.26	N/A	N/A	358	326	22,497	25,771
2022-08-26	$196.87	$212.50	24.2%	6.9%	21.4%	29.4%	24.1%	3.6%	0.8%	-2.9M	96.3M	-1.0M	0.54	69.23	N/A	N/A	1,332	720	22,573	26,015
2022-08-29	$195.71	$212.50	26.0%	7.4%	19.8%	38.1%	25.9%	3.7%	0.2%	-2.9M	100.4M	-1.0M	0.62	68.68	N/A	N/A	811	500	21,811	25,426
2022-08-30	$195.25	$210.00	25.5%	7.3%	19.0%	35.6%	26.0%	5.1%	-0.4%	-3.1M	102.6M	-1.0M	1.30	68.21	N/A	N/A	827	1,078	22,250	25,716
2022-08-31	$196.39	$210.00	25.4%	7.1%	19.1%	35.3%	25.8%	4.8%	-0.0%	-2.7M	102.9M	-1.1M	0.89	68.80	N/A	N/A	2,675	2,385	22,562	26,506