CME Options History — January 2007

In January 2007, CME traded between $104.60 and $118.31. ATM implied volatility averaged 26.0%. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 0.9% (HV 20d: 25.0%). Max pain ranged from $88.00 to $114.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2007-01-30: Highest Volume — 124,600 contracts
  • 2007-01-11: Largest IV spike — 43.5% change
  • 2007-01-18: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.64$104.60$118.31$104.60$112.66
Max Pain$106.80$88.00$114.00$88.00$112.00
ATM IV26.0%18.8%31.1%21.4%22.7%
Expected Move7.9%6.1%8.9%6.1%6.5%
HV 20d25.0%23.7%25.9%24.2%25.6%
Term Structure-1.3%-4.2%6.3%6.3%1.9%
VWIV27.7%21.9%31.2%21.9%22.8%
Skew 25d2.1%-0.4%4.5%0.1%0.3%
Skew 10d4.5%0.4%9.7%0.4%1.9%
Call IV 25d26.5%21.0%29.7%21.8%22.8%
Put IV 25d28.6%22.0%32.7%22.0%23.1%
Bid-Ask Spread %15.929.5522.289.5522.28
Gamma HHI0.110.060.360.070.08
Net GEX25.6M6.9M47.8M15.8M8.8M
Net DEX-1.44B-2.25B-760.7M-1.32B-760.7M
Net VEX-4.5M-5.0M-4.3M-4.7M-5.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.501.510.590.76
Total Volume54,54816,840124,60037,94032,705
Total OI455,754286,530587,165507,890390,845

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$104.60$88.0021.4%6.1%0.0%0.0%21.9%0.1%6.3%15.8M-1.32B-4.7M0.599.55N/AN/A23,90014,040271,355236,535
2007-01-04$105.36$88.0021.2%6.1%0.0%0.0%22.1%1.1%5.9%19.5M-1.38B-4.6M0.5411.00N/AN/A11,9906,465272,200238,100
2007-01-05$105.85$104.0020.5%7.9%0.0%0.0%27.7%1.8%-1.4%23.0M-1.44B-4.6M0.5514.16N/AN/A14,5157,960273,555240,250
2007-01-08$106.98$104.0021.9%8.3%0.0%0.0%28.5%1.9%-2.0%27.8M-1.53B-4.5M0.5017.06N/AN/A11,2005,640274,710242,065
2007-01-09$107.60$104.0019.1%8.0%0.0%0.0%27.6%2.0%-1.3%31.9M-1.58B-4.4M0.8718.71N/AN/A12,03010,510277,115242,135
2007-01-10$110.67$104.0018.8%7.6%0.0%0.0%26.9%4.0%-0.9%47.4M-1.86B-4.3M0.7514.30N/AN/A40,10029,915278,855242,805
2007-01-11$111.33$106.0027.0%7.7%0.0%0.0%27.2%3.9%-1.7%45.4M-1.89B-4.4M0.6420.33N/AN/A34,97522,275281,630246,895
2007-01-12$114.80$106.0027.6%7.9%0.0%0.0%27.8%4.5%-1.8%47.8M-2.17B-4.3M0.7316.53N/AN/A63,18546,350281,420251,685
2007-01-16$113.95$108.0028.6%8.2%0.0%0.0%29.0%2.8%-2.6%30.9M-2.02B-4.3M1.3217.56N/AN/A31,68541,705287,500270,965
2007-01-17$116.40$108.0030.2%8.7%0.0%0.0%30.2%3.3%-3.8%42.1M-2.25B-4.4M0.6613.32N/AN/A54,58535,925289,245276,760
2007-01-18$115.50$110.0031.1%8.9%0.0%0.0%31.2%3.0%-4.2%33.8M-2.15B-4.5M1.1714.35N/AN/A39,18045,680297,685285,815
2007-01-19$115.47$110.0029.3%8.4%0.0%0.0%29.9%2.3%-3.2%39.8M-2.11B-4.4M0.8613.63N/AN/A38,02032,715300,120287,045
2007-01-22$114.00$110.0029.7%8.5%0.0%0.0%30.0%1.1%-3.2%13.0M-835.8M-4.4M1.5012.68N/AN/A13,29519,985153,400133,130
2007-01-23$116.87$110.0029.2%8.4%0.0%0.0%28.9%2.5%-3.1%15.8M-955.8M-4.4M0.6919.21N/AN/A25,66517,805156,415140,725
2007-01-24$118.31$112.0029.3%8.4%0.0%0.0%29.5%2.5%-2.9%19.5M-1.04B-4.5M0.7518.07N/AN/A34,62025,795167,815149,730
2007-01-25$115.80$112.0030.1%8.6%24.2%0.0%30.2%1.6%-4.1%14.9M-912.0M-4.6M1.5117.32N/AN/A14,97022,630173,180154,525
2007-01-26$117.77$114.0029.4%8.4%23.7%0.0%29.6%2.6%-3.9%16.8M-996.3M-4.7M0.6217.58N/AN/A21,62013,300176,245162,255
2007-01-29$115.17$112.0029.1%8.3%25.7%0.0%29.3%0.6%-2.8%11.5M-866.3M-4.8M0.8214.17N/AN/A27,16522,260180,640165,150
2007-01-30$113.65$114.0023.2%6.7%25.9%0.0%23.4%-0.4%2.1%6.9M-774.9M-4.8M0.8116.56N/AN/A68,98055,620192,830171,750
2007-01-31$112.66$112.0022.7%6.5%25.6%0.0%22.8%0.3%1.9%8.8M-760.7M-5.0M0.7622.28N/AN/A18,59514,110208,005182,840