CME Options History — June 2007

In June 2007, CME traded between $106.18 and $111.41. ATM implied volatility averaged 22.8%. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.5% (HV 20d: 21.3%). Max pain ranged from $102.00 to $108.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2007-06-08: Highest Volume — 95,890 contracts
  • 2007-06-12: Largest IV drop — 31.7% change
  • 2007-06-11: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.64$106.18$111.41$107.40$106.87
Max Pain$106.00$102.00$108.00$104.00$102.00
ATM IV22.8%18.0%27.9%23.3%24.0%
Expected Move6.5%5.7%7.2%6.7%6.9%
HV 20d21.3%16.1%32.1%32.1%17.7%
HV 60d24.0%22.9%26.6%26.6%23.1%
Term Structure3.0%0.7%5.9%0.7%3.9%
VWIV23.0%20.2%26.1%24.4%23.4%
Skew 25d1.5%0.5%2.6%1.8%2.1%
Skew 10d2.8%0.6%4.6%3.9%2.6%
Call IV 25d22.1%19.6%24.3%22.9%21.9%
Put IV 25d23.6%20.6%26.5%24.8%24.0%
Bid-Ask Spread %12.487.5331.0514.1131.05
Gamma HHI0.100.070.170.090.08
Net GEX13.5M-11.3M49.3M8.3M-6.2M
Net DEX-666.5M-1.18B-297.5M-629.9M-346.2M
Net VEX-6.2M-7.0M-5.7M-6.1M-6.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.651.551.051.38
Total Volume46,071.1920,06095,89037,58023,835
Total OI489,670.238335,205614,815514,020400,590

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$107.40$104.0023.3%6.7%32.1%0.0%24.4%1.8%0.7%8.3M-629.9M-6.1M1.0514.11N/AN/A18,34519,235245,070268,950
2007-06-04$107.05$104.0024.9%7.0%31.8%0.0%24.6%1.9%1.5%4.9M-593.0M-6.0M1.218.65N/AN/A15,66518,945247,425272,615
2007-06-05$107.85$104.0025.3%7.1%31.3%0.0%25.1%2.3%1.5%12.5M-677.3M-6.0M0.728.64N/AN/A31,77023,000250,020279,940
2007-06-06$108.48$104.0027.9%7.2%31.3%0.0%25.2%2.1%1.6%17.8M-754.5M-6.1M0.668.41N/AN/A31,98021,180256,760289,650
2007-06-07$107.89$104.0027.0%7.2%31.3%0.0%25.6%1.5%1.5%14.0M-676.8M-6.1M1.2710.18N/AN/A28,01535,475261,860293,255
2007-06-08$109.93$104.0026.3%7.2%30.8%0.0%26.1%2.6%1.3%37.2M-979.2M-6.1M1.107.53N/AN/A45,70050,190265,920307,630
2007-06-11$111.41$106.0027.0%7.2%17.2%0.0%25.3%2.4%1.1%49.3M-1.18B-6.0M0.6512.02N/AN/A39,69525,825272,875324,285
2007-06-12$109.70$106.0018.4%6.7%17.5%0.0%23.8%1.3%2.0%44.6M-974.3M-5.8M1.1210.85N/AN/A43,38548,670279,865324,170
2007-06-13$110.25$106.0018.0%6.3%16.8%0.0%22.1%1.4%2.0%42.5M-1000.0M-5.7M1.0810.67N/AN/A20,88522,525281,745324,310
2007-06-14$109.50$106.0022.5%6.4%17.0%0.0%22.9%1.2%2.2%29.1M-917.1M-5.7M1.1611.97N/AN/A17,87520,660278,525326,305
2007-06-15$110.54$106.0021.8%6.3%17.2%0.0%22.0%1.2%2.9%42.7M-1.04B-5.8M0.6710.60N/AN/A37,00524,895281,180333,635
2007-06-18$109.20$108.0021.8%6.3%17.7%0.0%21.9%0.9%2.7%5.2M-558.5M-5.8M1.0410.80N/AN/A20,80521,635167,120168,085
2007-06-19$109.26$106.0020.2%5.8%17.1%0.0%20.6%1.1%3.7%5.4M-563.8M-6.0M1.5510.63N/AN/A18,47028,680177,715181,055
2007-06-20$108.78$108.0020.2%5.8%16.8%0.0%20.3%0.5%4.2%180.3K-517.6M-6.2M1.2412.41N/AN/A11,54514,350183,545197,965
2007-06-21$109.85$108.0020.0%5.7%16.8%0.0%20.2%1.2%4.6%3.5M-579.7M-6.3M0.7612.05N/AN/A11,4058,655185,225201,940
2007-06-22$107.99$108.0021.3%6.1%17.2%0.0%21.4%1.0%5.9%-2.4M-468.2M-6.4M1.3117.74N/AN/A26,04033,995189,550204,845
2007-06-25$106.68$108.0022.4%6.4%18.0%0.0%22.1%1.1%4.9%-9.4M-319.2M-7.0M1.0011.85N/AN/A16,70016,655208,025227,880
2007-06-26$106.18$108.0022.4%6.4%16.1%0.0%22.4%1.2%4.9%-11.3M-297.5M-6.7M0.8718.36N/AN/A13,40511,695206,075227,405
2007-06-27$108.43$108.0022.1%6.3%17.7%0.0%22.1%1.1%5.0%-399.4K-486.5M-6.8M0.7611.95N/AN/A15,68511,905210,865230,460
2007-06-28$108.10$108.0022.2%6.4%17.6%0.0%22.5%1.0%4.9%-2.9M-446.6M-6.9M1.1411.58N/AN/A9,85011,265213,730235,010
2007-06-29$106.87$102.0024.0%6.9%17.7%0.0%23.4%2.1%3.9%-6.2M-346.2M-6.2M1.3831.05N/AN/A9,99513,840193,310207,280