CME Options History — March 2007

In March 2007, CME traded between $105.40 and $113.59. ATM implied volatility averaged 27.0%. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 9.2% (HV 20d: 36.1%). Max pain ranged from $108.00 to $110.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2007-03-16: Highest Volume — 227,615 contracts
  • 2007-03-15: Largest IV spike — 38.6% change
  • 2007-03-19: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.09$105.40$113.59$109.05$106.49
Max Pain$108.82$108.00$110.00$108.00$108.00
ATM IV27.0%21.2%32.7%30.0%25.7%
Expected Move8.2%7.4%9.4%8.6%7.4%
HV 20d36.1%29.7%41.4%33.9%29.7%
HV 60d30.4%28.8%32.1%29.1%29.6%
Term Structure0.9%-1.6%2.9%0.0%2.9%
VWIV28.8%25.6%33.0%31.1%25.6%
Skew 25d2.6%1.3%3.8%3.7%1.3%
Skew 10d5.2%2.8%6.8%6.0%2.8%
Call IV 25d27.3%24.9%31.5%29.1%25.1%
Put IV 25d29.9%26.3%34.2%32.7%26.3%
Bid-Ask Spread %9.995.8815.049.4910.00
Gamma HHI0.100.080.180.080.09
Net GEX2.2M-42.9M35.7M1.5M-8.8M
Net DEX-483.5M-931.3M84.4M-486.6M-293.0M
Net VEX-6.0M-6.5M-5.8M-6.5M-5.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.461.330.760.46
Total Volume65,99016,775227,61576,54016,775
Total OI439,176.136328,300541,315461,890400,955

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$109.05$108.0030.0%8.6%33.9%0.0%31.1%3.7%0.0%1.5M-486.6M-6.5M0.769.49N/AN/A43,46033,080232,220229,670
2007-03-02$108.05$108.0029.5%8.5%32.4%0.0%29.9%1.9%1.0%-8.6M-350.1M-6.4M0.8511.61N/AN/A18,33515,615235,060236,960
2007-03-05$110.88$108.0029.7%8.7%34.0%0.0%30.7%3.8%-1.6%12.3M-687.1M-6.3M1.048.21N/AN/A45,14046,940236,880235,840
2007-03-06$112.91$110.0025.5%8.1%34.8%0.0%28.9%3.2%0.2%30.9M-931.3M-6.1M0.836.18N/AN/A44,02036,430237,745240,490
2007-03-07$112.21$110.0025.6%8.1%34.8%0.0%28.7%2.9%0.1%22.1M-779.2M-6.0M1.135.88N/AN/A23,24526,255234,895239,440
2007-03-08$113.54$110.0023.0%7.9%34.6%0.0%27.9%3.5%0.8%35.6M-926.2M-6.0M0.6714.42N/AN/A50,67033,965241,470243,695
2007-03-09$113.59$110.0021.2%7.9%34.6%0.0%28.1%3.1%0.3%33.6M-897.6M-6.0M0.9112.68N/AN/A22,71520,715245,045247,995
2007-03-12$113.50$110.0022.7%7.9%34.0%0.0%28.0%3.3%0.5%34.2M-896.4M-5.8M1.0112.68N/AN/A20,19020,385249,700249,860
2007-03-13$110.09$110.0025.6%8.9%35.2%0.0%31.3%3.2%-0.8%-8.4M-494.8M-5.8M1.3310.71N/AN/A46,60561,980253,680250,885
2007-03-14$112.79$110.0022.7%8.4%36.0%0.0%29.7%3.1%-0.2%35.7M-853.9M-5.8M0.979.76N/AN/A54,24052,730257,440255,230
2007-03-15$106.58$110.0031.4%9.0%41.1%0.0%31.2%2.3%-0.1%-42.9M-40.9M-5.8M0.9110.19N/AN/A107,21597,070258,500260,600
2007-03-16$105.40$110.0032.0%9.2%41.1%0.0%32.3%2.6%-0.3%-41.9M84.4M-5.9M0.887.49N/AN/A121,205106,410278,010263,305
2007-03-19$106.05$108.0032.7%9.4%41.2%0.0%33.0%2.7%-0.0%-6.4M-255.5M-6.0M0.747.55N/AN/A40,94030,110158,480169,820
2007-03-20$106.49$108.0030.8%8.8%41.2%0.0%31.0%2.1%0.9%-5.6M-304.6M-6.0M0.766.98N/AN/A16,62512,585169,505181,040
2007-03-21$108.10$108.0028.1%8.1%41.4%0.0%28.7%2.8%1.8%-2.5M-393.2M-6.0M1.058.32N/AN/A14,55015,265174,140186,675
2007-03-22$108.83$108.0026.4%7.6%40.1%0.0%26.3%2.5%2.4%-1.2M-416.8M-6.1M0.7012.31N/AN/A25,98518,110178,395193,230
2007-03-23$108.17$108.0025.8%7.4%40.1%0.0%25.9%1.7%2.3%-1.4M-428.6M-6.0M0.7111.31N/AN/A12,0658,590183,295196,485
2007-03-26$107.64$108.0026.4%7.6%39.7%0.0%26.8%2.3%2.2%-3.7M-388.8M-5.9M0.9515.04N/AN/A8,8458,365184,115196,595
2007-03-27$107.48$108.0025.9%7.4%35.3%0.0%26.0%1.8%2.6%-4.3M-382.7M-5.8M0.7810.19N/AN/A13,83510,820185,250199,120
2007-03-28$105.85$108.0026.7%7.7%30.1%0.0%26.8%1.8%2.3%-12.3M-225.4M-5.8M0.788.41N/AN/A18,46014,325188,875202,685
2007-03-29$106.22$108.0026.2%7.5%29.9%0.0%26.0%1.9%2.7%-9.5M-288.2M-5.9M0.5610.37N/AN/A10,8206,095192,920205,680
2007-03-30$106.49$108.0025.7%7.4%29.7%0.0%25.6%1.3%2.9%-8.8M-293.0M-5.9M0.4610.00N/AN/A11,5255,250192,890208,065