CME Options History — May 2007

In May 2007, CME traded between $99.59 and $107.26. ATM implied volatility averaged 26.9%. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 0.1% (HV 20d: 27.0%). Max pain ranged from $104.00 to $106.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2007-05-11: Highest Volume — 157,550 contracts
  • 2007-05-10: Largest IV spike — 20.7% change
  • 2007-05-07: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.70$99.59$107.26$102.52$106.20
Max Pain$105.45$104.00$106.00$106.00$104.00
ATM IV26.9%24.2%33.4%27.1%25.9%
Expected Move8.0%6.9%9.6%7.8%7.4%
HV 20d27.0%16.9%33.3%17.6%32.1%
HV 60d28.7%26.5%31.5%27.4%26.5%
Term Structure-0.8%-4.3%2.3%1.4%-1.0%
VWIV28.1%24.5%33.8%27.5%27.0%
Skew 25d2.5%-0.0%5.6%-0.0%2.1%
Skew 10d5.1%-0.2%11.1%-0.2%4.8%
Call IV 25d26.7%23.9%32.1%27.5%25.3%
Put IV 25d29.2%25.3%35.0%27.5%27.4%
Bid-Ask Spread %12.838.3428.0728.0711.82
Gamma HHI0.100.080.140.090.09
Net GEX-19.3M-53.0M15.7M-21.7M-5.4M
Net DEX-168.6M-665.1M325.7M-17.0M-475.9M
Net VEX-6.0M-6.2M-5.7M-5.7M-6.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.531.671.000.84
Total Volume59,388.63623,840157,550105,10537,220
Total OI501,789.773414,890588,855439,190510,050

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$102.52$106.0027.1%7.8%17.6%0.0%27.5%-0.0%1.4%-21.7M-17.0M-5.7M1.0028.07N/AN/A52,67552,430221,415217,775
2007-05-02$103.06$106.0026.6%7.6%16.9%0.0%27.1%0.0%1.7%-20.7M-90.2M-6.0M0.8012.11N/AN/A26,10020,915232,430236,195
2007-05-03$104.20$106.0025.4%7.3%16.9%0.0%26.0%1.0%2.3%-14.7M-189.0M-6.1M0.6714.29N/AN/A23,60515,780236,940242,210
2007-05-04$102.98$106.0025.8%9.0%17.1%0.0%31.6%2.2%-2.4%-21.6M-67.6M-6.1M1.6713.30N/AN/A22,11036,960240,100244,040
2007-05-07$101.59$106.0028.4%9.6%17.5%0.0%33.8%2.9%-3.4%-35.0M107.8M-6.2M0.9111.72N/AN/A30,05027,340243,720261,870
2007-05-08$101.75$106.0027.5%9.3%17.5%0.0%32.7%2.9%-3.1%-36.0M106.0M-6.1M0.9512.12N/AN/A32,07530,470249,745266,270
2007-05-09$101.39$106.0027.7%9.2%17.5%0.0%32.4%3.2%-3.0%-37.5M117.5M-6.1M0.5812.27N/AN/A18,34010,605252,795270,715
2007-05-10$99.59$106.0033.4%9.6%17.7%0.0%33.5%2.7%-4.3%-53.0M325.7M-5.9M1.039.82N/AN/A31,61032,470254,130273,265
2007-05-11$107.26$104.0028.9%8.3%33.3%0.0%29.7%5.6%-0.6%15.7M-665.1M-6.1M0.6012.75N/AN/A98,52559,025258,750275,220
2007-05-14$105.90$106.0029.4%8.4%33.1%0.0%29.4%4.6%-1.7%-794.2K-435.0M-6.0M0.6213.07N/AN/A58,07535,960263,355283,005
2007-05-15$104.68$106.0028.7%8.2%33.3%0.0%28.3%4.0%-1.6%-19.3M-232.1M-6.0M0.8811.41N/AN/A35,80031,370272,195292,375
2007-05-16$104.31$106.0027.3%7.8%33.2%0.0%27.2%3.3%-0.5%-26.9M-172.8M-5.9M0.7111.45N/AN/A35,10024,885276,085294,455
2007-05-17$104.76$106.0026.2%7.5%33.3%0.0%26.2%3.0%-0.0%-4.5M-286.5M-5.8M0.7012.14N/AN/A31,04521,690281,255295,475
2007-05-18$103.98$106.0026.1%7.5%33.2%0.0%26.4%2.6%-0.1%-19.9M-189.9M-5.9M0.9912.02N/AN/A33,92533,670288,980299,875
2007-05-21$103.00$106.0026.5%7.6%33.0%0.0%26.5%2.5%-0.5%-19.6M-143.6M-5.8M0.928.34N/AN/A27,36025,040199,010215,880
2007-05-22$104.43$106.0025.4%7.3%31.9%0.0%25.4%2.9%-0.1%-15.4M-260.1M-6.0M0.5310.08N/AN/A20,37010,890209,995228,440
2007-05-23$103.88$104.0025.3%7.2%32.0%0.0%25.3%2.4%-0.4%-16.5M-228.7M-6.1M1.1114.21N/AN/A14,50516,115217,285231,870
2007-05-24$102.45$106.0025.1%7.2%31.3%0.0%25.5%1.6%0.2%-25.5M-74.7M-6.0M0.9916.29N/AN/A24,22023,955218,655237,760
2007-05-25$102.70$104.0024.2%6.9%31.2%0.0%24.5%1.4%1.0%-26.3M-82.7M-6.1M0.6712.27N/AN/A14,3009,540225,330248,365
2007-05-29$105.20$104.0024.7%7.1%32.2%0.0%25.3%1.8%-0.0%-9.1M-383.4M-5.9M1.1911.25N/AN/A32,26538,375227,600249,780
2007-05-30$105.57$104.0025.9%7.4%32.1%0.0%27.0%2.1%-0.9%-10.0M-371.9M-6.1M1.3511.40N/AN/A21,18528,605237,925256,790
2007-05-31$106.20$104.0025.9%7.4%32.1%0.0%27.0%2.1%-1.0%-5.4M-475.9M-6.2M0.8411.82N/AN/A20,23516,985242,405267,645