CME Options History — July 2007

In July 2007, CME traded between $106.50 and $117.56. ATM implied volatility averaged 29.5%, placing in the 77.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 4.0% (HV 20d: 25.4%). Max pain ranged from $108.00 to $110.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.63.

Notable Days

2007-07-06: Highest Volume — 121,890 contracts
2007-07-10: Largest IV drop — 18.8% change
2007-07-09: Highest IV Rank — 100.0%
2007-07-23: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$112.78	$106.50	$117.56	$106.50	$110.50
Max Pain	$109.14	$108.00	$110.00	$108.00	$110.00
ATM IV	29.5%	23.8%	33.5%	23.8%	29.1%
Expected Move	8.5%	6.8%	9.6%	6.8%	8.3%
HV 20d	25.4%	17.7%	32.9%	17.7%	32.9%
HV 60d	25.6%	23.1%	27.9%	23.1%	27.9%
IV Rank	77.9%	53.4%	100.0%	53.4%	71.8%
IV Percentile	85.6%	65.1%	100.0%	65.1%	79.2%
Term Structure	-0.4%	-3.8%	4.3%	4.3%	1.7%
VWIV	30.0%	23.8%	33.6%	23.8%	29.8%
Skew 25d	1.8%	-0.2%	3.0%	0.5%	0.2%
Skew 10d	3.3%	-0.9%	7.3%	1.4%	-0.3%
Call IV 25d	29.1%	23.5%	33.0%	23.5%	29.7%
Put IV 25d	30.9%	24.0%	33.9%	24.0%	29.9%
Bid-Ask Spread %	11.27	5.78	30.12	8.73	17.66
Gamma HHI	0.09	0.07	0.15	0.09	0.07
Net GEX	19.7M	-14.2M	54.4M	-11.7M	6.9M
Net DEX	-923.3M	-1.62B	-307.5M	-307.5M	-579.5M
Net VEX	-7.0M	-8.0M	-4.8M	-6.7M	-7.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.43	0.91	0.72	0.91
Total Volume	71,763.571	16,480	121,890	16,480	55,965
Total OI	517,813.571	421,100	609,290	466,370	536,855

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-07-02	$106.50	$108.00	23.8%	6.8%	17.7%	0.0%	23.8%	0.5%	4.3%	-11.7M	-307.5M	-6.7M	0.72	8.73	N/A	N/A	9,575	6,905	222,270	244,100
2007-07-03	$107.87	$108.00	24.9%	7.1%	18.1%	0.0%	24.9%	1.0%	3.3%	-2.3M	-426.0M	-6.9M	0.43	14.52	N/A	N/A	17,570	7,575	227,000	246,425
2007-07-05	$111.14	$108.00	26.3%	7.5%	20.9%	53.4%	26.9%	1.5%	2.8%	18.5M	-796.2M	-6.9M	0.45	14.16	N/A	N/A	35,010	15,625	232,995	243,435
2007-07-06	$114.96	$108.00	29.1%	8.5%	23.7%	72.2%	29.6%	2.9%	-1.6%	33.2M	-1.28B	-6.9M	0.43	6.36	N/A	N/A	85,380	36,510	239,370	246,730
2007-07-09	$114.12	$108.00	33.5%	9.2%	23.3%	100.0%	32.1%	2.9%	-3.8%	31.5M	-1.19B	-7.0M	0.60	5.78	N/A	N/A	67,615	40,535	249,150	257,115
2007-07-10	$112.16	$108.00	27.2%	9.0%	23.8%	59.2%	30.8%	2.5%	-2.2%	26.7M	-956.3M	-7.1M	0.49	6.53	N/A	N/A	45,870	22,490	259,750	269,260
2007-07-11	$116.01	$108.00	26.4%	8.5%	25.8%	54.6%	30.3%	2.6%	-2.2%	50.4M	-1.49B	-7.0M	0.58	7.20	N/A	N/A	67,315	39,180	267,585	275,065
2007-07-12	$117.56	$108.00	29.6%	8.5%	26.0%	75.2%	29.9%	2.5%	-1.3%	54.4M	-1.62B	-7.0M	0.60	7.22	N/A	N/A	51,130	30,745	272,730	284,300
2007-07-13	$116.90	$110.00	30.8%	8.8%	26.0%	82.6%	31.2%	2.7%	-1.7%	48.8M	-1.49B	-7.1M	0.68	6.21	N/A	N/A	27,820	18,835	276,315	291,605
2007-07-16	$117.26	$110.00	31.5%	9.0%	25.9%	87.1%	31.3%	2.3%	-2.0%	47.2M	-1.06B	-4.8M	0.70	6.90	N/A	N/A	62,730	43,685	205,060	238,775
2007-07-17	$116.75	$110.00	32.5%	9.3%	25.4%	93.8%	32.3%	2.4%	-2.4%	44.3M	-1.41B	-7.0M	0.56	5.92	N/A	N/A	44,630	24,905	285,880	301,860
2007-07-18	$115.53	$110.00	32.6%	9.3%	25.9%	94.5%	32.8%	2.1%	-2.3%	30.0M	-1.24B	-7.1M	0.75	10.48	N/A	N/A	37,745	28,400	290,480	306,670
2007-07-19	$114.40	$110.00	32.4%	9.3%	26.2%	93.3%	32.6%	1.7%	-2.2%	17.0M	-1.09B	-7.0M	0.49	6.47	N/A	N/A	38,370	18,815	296,630	309,650
2007-07-20	$112.40	$110.00	33.0%	9.5%	26.9%	97.3%	33.1%	1.5%	-2.4%	-14.2M	-768.9M	-7.0M	0.78	6.96	N/A	N/A	49,165	38,250	297,310	311,980
2007-07-23	$111.92	$110.00	33.3%	9.6%	26.2%	99.1%	33.6%	0.9%	-3.3%	3.9M	-632.4M	-6.8M	0.83	7.21	N/A	N/A	34,615	28,885	209,670	211,430
2007-07-24	$109.80	$110.00	29.0%	8.3%	26.8%	71.2%	29.4%	-0.1%	0.1%	-323.4K	-481.3M	-6.9M	0.73	20.79	N/A	N/A	47,560	34,495	222,870	223,035
2007-07-25	$109.50	$110.00	28.3%	8.1%	26.7%	67.0%	28.8%	-0.2%	0.9%	555.7K	-481.7M	-7.3M	0.67	8.78	N/A	N/A	33,835	22,825	239,670	236,320
2007-07-26	$107.50	$110.00	30.9%	8.9%	26.6%	83.6%	31.4%	3.0%	1.5%	-3.8M	-342.9M	-7.5M	0.69	30.12	N/A	N/A	54,840	37,700	247,280	242,825
2007-07-27	$111.30	$108.00	27.8%	8.0%	29.3%	63.5%	28.4%	1.7%	1.7%	11.7M	-758.0M	-8.0M	0.57	23.31	N/A	N/A	61,515	35,060	267,535	257,625
2007-07-30	$114.31	$110.00	27.3%	7.8%	30.2%	60.2%	27.9%	2.7%	2.2%	21.4M	-991.2M	-7.8M	0.59	15.37	N/A	N/A	29,755	17,605	270,200	259,275
2007-07-31	$110.50	$110.00	29.1%	8.3%	32.9%	71.8%	29.8%	0.2%	1.7%	6.9M	-579.5M	-7.9M	0.91	17.66	N/A	N/A	29,290	26,675	274,280	262,575