CME Options History — February 2007

In February 2007, CME traded between $102.20 and $117.47. ATM implied volatility averaged 22.9%. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 2.1% (HV 20d: 25.0%). Max pain ranged from $104.00 to $112.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.06.

Notable Days

  • 2007-02-28: Highest Volume — 118,630 contracts
  • 2007-02-27: Largest IV spike — 16.4% change
  • 2007-02-28: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$113.06$102.20$117.47$115.56$107.83
Max Pain$107.89$104.00$112.00$112.00$108.00
ATM IV22.9%20.0%30.7%21.6%30.7%
Expected Move6.7%5.9%8.8%6.2%8.8%
HV 20d25.0%22.0%33.6%26.1%33.6%
Term Structure1.7%-1.2%3.2%2.3%-1.2%
VWIV23.8%21.4%31.2%22.2%31.2%
Skew 25d1.6%0.1%2.7%0.9%2.7%
Skew 10d3.3%0.6%4.9%2.2%4.9%
Call IV 25d22.7%19.9%30.7%21.5%29.6%
Put IV 25d24.4%21.9%32.3%22.4%32.3%
Bid-Ask Spread %14.5110.6418.8116.7914.01
Gamma HHI0.110.080.150.100.09
Net GEX8.1M-25.1M39.5M22.8M-5.7M
Net DEX-745.8M-1.15B154.5M-974.3M-365.1M
Net VEX-5.2M-6.3M-4.8M-5.0M-6.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.691.560.740.91
Total Volume52,530.52614,845118,63044,320118,630
Total OI413,424.211327,625478,600396,155445,440

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$115.56$112.0021.6%6.2%26.1%0.0%22.2%0.9%2.3%22.8M-974.3M-5.0M0.7416.79N/AN/A25,40018,920211,925184,230
2007-02-02$115.78$104.0020.2%6.7%26.1%0.0%24.3%1.9%1.8%26.2M-997.1M-5.0M1.1213.72N/AN/A12,67014,235216,050186,580
2007-02-05$115.52$104.0021.6%6.8%26.2%0.0%23.6%1.7%1.2%21.7M-957.9M-5.0M0.9713.76N/AN/A7,5457,300216,035190,375
2007-02-06$115.82$104.0020.8%6.8%26.1%0.0%24.1%2.2%1.8%28.1M-1.02B-4.9M1.0114.18N/AN/A11,48511,560218,130190,615
2007-02-07$117.47$106.0020.0%6.4%26.4%0.0%23.0%2.2%1.8%39.5M-1.15B-4.8M1.1117.23N/AN/A23,28025,800220,140193,345
2007-02-08$116.84$106.0022.5%6.5%25.0%0.0%22.5%2.1%1.3%34.6M-1.10B-4.9M0.6915.23N/AN/A18,14012,545224,945199,640
2007-02-09$114.65$106.0022.3%6.4%26.1%0.0%22.4%1.8%2.0%12.5M-894.0M-4.9M1.2818.81N/AN/A30,47538,950225,845202,140
2007-02-12$112.80$108.0022.8%6.5%24.4%0.0%22.6%1.9%1.9%-9.4M-712.3M-4.9M1.1016.17N/AN/A24,65027,125231,445208,440
2007-02-13$114.40$108.0022.1%6.3%24.8%0.0%22.6%2.0%2.6%12.4M-891.7M-4.9M1.5615.17N/AN/A17,59527,510232,360208,890
2007-02-14$114.60$108.0022.3%6.4%23.6%0.0%22.6%1.9%2.7%9.2M-880.3M-5.0M1.1812.52N/AN/A21,33525,270234,395220,795
2007-02-15$114.52$108.0022.0%6.3%23.4%0.0%22.3%2.1%3.1%7.5M-861.8M-5.2M0.8817.07N/AN/A21,00018,575241,085232,500
2007-02-16$114.95$108.0021.8%6.2%23.5%0.0%22.2%2.0%3.2%7.7M-916.3M-5.1M1.0010.64N/AN/A25,01525,045243,460235,140
2007-02-20$115.40$110.0020.7%5.9%23.0%0.0%21.6%2.1%1.9%11.7M-820.8M-5.1M1.2112.06N/AN/A16,45519,965166,305161,320
2007-02-21$113.45$110.0021.3%6.1%22.0%0.0%21.4%1.2%1.7%3.1M-706.6M-5.2M1.1111.29N/AN/A18,24520,285173,285172,425
2007-02-22$110.00$110.0023.0%6.6%23.7%0.0%23.2%0.4%1.4%-11.2M-439.2M-5.4M1.0512.68N/AN/A36,14037,825179,120179,575
2007-02-23$108.97$110.0023.9%6.9%22.8%0.0%23.9%0.7%1.5%-13.9M-373.4M-5.7M0.9311.82N/AN/A36,46034,040191,575193,560
2007-02-26$107.32$110.0025.7%7.4%22.0%0.0%26.2%0.1%-0.1%-17.6M-256.9M-5.8M0.8313.70N/AN/A35,80029,575205,180200,285
2007-02-27$102.20$110.0029.9%8.6%26.4%0.0%30.9%1.0%0.5%-25.1M154.5M-5.6M1.4718.76N/AN/A41,74061,495212,385206,100
2007-02-28$107.83$108.0030.7%8.8%33.6%0.0%31.2%2.7%-1.2%-5.7M-365.1M-6.3M0.9114.01N/AN/A62,26556,365224,570220,870