CME Options History — April 2007

In April 2007, CME traded between $103.35 and $111.75. ATM implied volatility averaged 24.4%. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 3.5% (HV 20d: 20.9%). Max pain ranged from $106.00 to $110.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2007-04-24: Highest Volume — 77,075 contracts
  • 2007-04-12: Largest IV spike — 24.0% change
  • 2007-04-11: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.14$103.35$111.75$108.78$103.35
Max Pain$108.60$106.00$110.00$108.00$106.00
ATM IV24.4%21.7%27.4%24.5%25.7%
Expected Move7.2%6.2%7.9%7.0%7.4%
HV 20d20.9%13.6%29.2%29.2%19.4%
HV 60d28.5%27.3%29.9%29.8%27.3%
Term Structure0.7%-1.1%4.7%3.1%0.9%
VWIV25.3%21.9%28.0%24.6%26.4%
Skew 25d1.7%-1.2%3.4%1.6%-0.7%
Skew 10d3.3%-2.0%6.6%2.9%-1.9%
Call IV 25d24.5%21.5%26.8%23.7%26.8%
Put IV 25d26.2%22.3%29.1%25.3%26.1%
Bid-Ask Spread %11.495.0622.7014.2412.57
Gamma HHI0.090.070.110.080.09
Net GEX9.5M-19.2M33.6M2.7M-17.5M
Net DEX-529.7M-778.0M-101.8M-494.8M-123.5M
Net VEX-5.4M-5.8M-4.9M-5.7M-5.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.481.250.690.63
Total Volume41,596.2520,04077,07534,73042,765
Total OI419,111.75316,045463,065404,830425,990

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$108.78$108.0024.5%7.0%29.2%0.0%24.6%1.6%3.1%2.7M-494.8M-5.7M0.6914.24N/AN/A20,56514,165195,025209,805
2007-04-03$110.18$108.0023.1%6.6%28.8%0.0%23.5%1.3%3.8%10.2M-595.8M-5.7M0.7814.89N/AN/A18,18014,255198,025212,665
2007-04-04$111.42$108.0021.7%6.2%29.1%0.0%22.3%1.4%4.7%18.6M-716.4M-5.7M0.5921.00N/AN/A39,28023,355200,105215,230
2007-04-05$110.70$108.0022.1%6.3%28.8%0.0%21.9%0.8%4.0%15.7M-653.9M-5.8M0.5922.70N/AN/A12,5757,465212,510217,975
2007-04-09$110.10$108.0023.3%7.9%28.8%0.0%27.7%2.7%-0.9%12.1M-596.9M-5.6M0.785.06N/AN/A14,94011,660213,455216,640
2007-04-10$110.10$108.0023.1%7.9%28.8%0.0%27.6%2.6%-0.8%10.5M-587.6M-5.6M1.145.08N/AN/A9,65010,975216,640217,350
2007-04-11$110.10$108.0022.1%7.9%26.7%0.0%28.0%2.8%-1.1%15.4M-629.5M-5.5M0.945.96N/AN/A13,89513,110217,785219,500
2007-04-12$110.67$108.0027.4%7.9%25.2%0.0%26.7%3.1%-0.7%17.2M-647.8M-5.5M1.075.85N/AN/A13,45514,455220,230221,260
2007-04-13$110.30$110.0026.9%7.7%14.4%0.0%27.4%2.7%-0.6%16.3M-623.5M-5.4M1.255.79N/AN/A9,21011,510222,335223,945
2007-04-16$111.75$110.0027.1%7.8%14.1%0.0%27.0%2.9%-1.1%33.6M-778.0M-5.3M0.486.35N/AN/A38,78018,755223,120225,780
2007-04-17$111.64$110.0027.0%7.8%14.1%0.0%26.9%2.6%-1.0%33.6M-748.7M-5.2M0.707.14N/AN/A17,59012,305228,720227,130
2007-04-18$111.72$110.0026.1%7.5%14.1%0.0%25.7%3.0%-0.6%31.6M-742.8M-5.2M0.698.94N/AN/A19,48513,370230,930228,765
2007-04-19$110.77$110.0025.8%7.4%13.7%0.0%25.6%3.3%-0.9%20.9M-641.1M-5.1M0.6411.57N/AN/A23,63515,170234,040228,735
2007-04-20$111.18$110.0024.4%7.0%13.6%0.0%25.2%3.4%-0.6%20.6M-697.6M-5.0M0.7012.15N/AN/A21,12514,700234,330228,735
2007-04-23$109.48$110.0023.6%6.8%14.6%0.0%24.2%2.6%0.9%3.1M-466.5M-4.9M0.9511.47N/AN/A34,25532,705162,200153,845
2007-04-24$106.26$110.0023.0%6.6%18.1%0.0%23.3%0.6%1.1%-11.0M-275.2M-4.9M1.0412.54N/AN/A37,81539,260167,525172,200
2007-04-25$106.14$108.0022.8%6.5%18.1%0.0%23.1%-0.5%1.7%-12.2M-254.1M-5.2M0.8713.82N/AN/A31,68027,705177,900185,075
2007-04-26$103.75$108.0024.1%6.9%19.1%0.0%24.6%-1.0%1.1%-19.2M-101.8M-5.3M0.9618.34N/AN/A34,70533,210189,890194,925
2007-04-27$104.40$106.0024.4%7.0%19.2%0.0%24.9%-1.2%1.7%-12.3M-217.9M-5.6M0.5714.39N/AN/A32,05018,160205,625206,295
2007-04-30$103.35$106.0025.7%7.4%19.4%0.0%26.4%-0.7%0.9%-17.5M-123.5M-5.6M0.6312.57N/AN/A26,27516,490213,890212,100