CME Options History — August 2007 In August 2007, CME traded between $105.90 and $121.00. ATM implied volatility averaged 33.7%, placing in the 59.2% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 1.7% (HV 20d: 35.4%). Max pain ranged from $110.00 to $112.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.83.
Notable Days 2007-08-16 : Highest Volume — 221,990 contracts2007-08-08 : Largest IV spike — 89.1% change2007-08-08 : Highest IV Rank — 100.0%2007-08-16 : Largest Expected Move — 13.9%Monthly Statistics Metric Avg Min Max Open Close Price $112.28 $105.90 $121.00 $112.27 $110.96 Max Pain $111.74 $110.00 $112.00 $110.00 $112.00 ATM IV 33.7% 25.1% 48.4% 29.2% 32.0% Expected Move 9.8% 7.2% 13.9% 8.4% 9.2% HV 20d 35.4% 29.0% 40.7% 33.1% 35.4% HV 60d 28.0% 23.9% 29.5% 27.9% 29.4% IV Rank 59.2% 26.2% 100.0% 72.2% 46.1% IV Percentile 85.3% 41.6% 100.0% 80.0% 88.6% Term Structure -1.9% -8.0% 3.8% 3.7% -1.6% VWIV 34.7% 24.9% 48.3% 30.4% 32.4% Skew 25d 6.9% 0.3% 11.1% 1.8% 6.5% Skew 10d 13.1% 1.1% 20.9% 4.2% 12.4% Call IV 25d 31.0% 24.9% 43.5% 29.3% 28.6% Put IV 25d 38.0% 28.6% 54.7% 31.1% 35.1% Bid-Ask Spread % 21.91 13.24 32.83 16.55 30.39 Gamma HHI 0.08 0.07 0.11 0.07 0.07 Net GEX 20.4M -19.9M 62.3M 13.1M 20.1M Net DEX -898.6M -2.07B 80.9M -779.2M -704.1M Net VEX -9.7M -10.8M -6.7M -8.2M -10.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.41 1.42 0.78 0.64 Total Volume 70,587.174 18,240 221,990 63,695 32,305 Total OI 677,191.304 553,735 808,405 553,735 738,730
Daily Data (23 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 2007-08-01 $112.27 $110.00 29.2% 8.4% 33.1% 72.2% 30.4% 1.8% 3.7% 13.1M -779.2M -8.2M 0.78 16.55 N/A N/A 35,715 27,980 281,105 272,630 2007-08-02 $111.20 $110.00 29.4% 8.4% 31.6% 73.5% 30.0% 1.1% 1.5% 10.1M -706.5M -8.1M 1.07 13.36 N/A N/A 19,305 20,725 290,095 280,180 2007-08-03 $111.58 $110.00 30.0% 8.6% 29.0% 77.4% 30.6% 0.3% 3.8% 13.4M -809.6M -8.3M 0.85 20.98 N/A N/A 37,845 32,275 293,490 283,590 2007-08-06 $114.84 $112.00 28.9% 9.3% 30.9% 70.5% 33.8% 5.4% -1.2% 26.8M -1.09B -8.2M 0.87 17.46 N/A N/A 31,540 27,550 302,780 294,205 2007-08-07 $115.80 $112.00 25.1% 8.4% 30.3% 46.2% 30.2% 5.6% -0.7% 34.0M -1.32B -8.1M 0.68 13.24 N/A N/A 42,860 28,935 308,215 302,895 2007-08-08 $121.00 $112.00 47.5% 7.2% 31.9% 100.0% 24.9% 3.7% 1.6% 62.3M -2.07B -6.7M 0.41 14.81 N/A N/A 58,395 24,145 312,655 309,400 2007-08-09 $118.75 $112.00 25.7% 8.7% 32.4% 26.2% 30.6% 6.7% -0.7% 57.3M -2.07B -8.8M 0.55 21.78 N/A N/A 82,595 45,675 346,055 315,195 2007-08-10 $118.85 $112.00 27.5% 9.3% 32.3% 32.3% 32.5% 7.5% -1.8% 44.7M -1.82B -9.3M 0.68 20.36 N/A N/A 62,110 42,265 352,650 326,770 2007-08-13 $116.21 $112.00 28.5% 9.6% 33.3% 35.4% 33.6% 7.5% -3.3% 34.7M -1.48B -9.5M 0.46 15.35 N/A N/A 63,800 29,500 373,885 336,830 2007-08-14 $112.46 $112.00 29.1% 10.6% 35.3% 37.5% 36.4% 7.8% -4.5% 15.9M -990.1M -10.4M 1.42 16.29 N/A N/A 38,835 55,120 415,520 345,145 2007-08-15 $107.98 $112.00 37.2% 11.8% 37.8% 64.9% 40.0% 6.1% -6.7% -13.6M -102.7M -10.1M 1.12 14.92 N/A N/A 65,290 72,995 419,500 352,755 2007-08-16 $105.90 $112.00 48.4% 13.9% 38.1% 100.0% 48.3% 11.1% -8.0% -19.9M 80.9M -10.3M 1.41 30.23 N/A N/A 92,035 129,955 427,815 351,610 2007-08-17 $108.77 $112.00 43.1% 12.4% 39.2% 82.8% 43.8% 9.9% -3.9% 9.0M -298.3M -10.7M 0.64 22.92 N/A N/A 73,215 46,605 443,345 365,060 2007-08-20 $107.52 $112.00 42.1% 12.1% 39.4% 79.4% 42.6% 8.9% -3.9% 8.4M -401.7M -10.2M 0.79 24.07 N/A N/A 24,465 19,360 342,500 281,505 2007-08-21 $110.80 $112.00 37.8% 10.8% 40.4% 65.1% 37.7% 10.5% -2.8% 16.2M -718.0M -10.6M 0.92 28.69 N/A N/A 25,570 23,515 352,610 283,565 2007-08-22 $109.32 $112.00 36.6% 10.5% 40.7% 61.3% 37.6% 7.5% -3.3% 12.9M -566.7M -10.5M 0.72 28.78 N/A N/A 20,645 14,885 360,905 295,110 2007-08-23 $111.01 $112.00 34.2% 9.8% 40.4% 53.3% 35.0% 9.7% -3.4% 19.2M -760.0M -10.6M 0.67 17.97 N/A N/A 17,390 11,595 367,135 301,360 2007-08-24 $112.07 $112.00 31.6% 9.1% 38.7% 44.7% 31.9% 8.4% -2.1% 22.2M -860.7M -10.5M 0.60 25.44 N/A N/A 14,630 8,785 372,965 306,550 2007-08-27 $111.72 $112.00 32.3% 9.3% 37.4% 47.2% 33.7% 8.7% -2.4% 23.3M -886.2M -10.3M 0.97 21.42 N/A N/A 27,050 26,375 376,130 309,405 2007-08-28 $110.84 $112.00 34.1% 9.8% 35.5% 52.9% 34.2% 8.3% -1.8% 18.9M -743.8M -10.8M 0.97 32.83 N/A N/A 9,240 9,000 394,290 329,095 2007-08-29 $112.02 $112.00 31.9% 9.1% 35.2% 45.6% 33.3% 8.0% -1.4% 23.1M -877.5M -10.8M 1.09 27.57 N/A N/A 10,915 11,890 395,330 331,680 2007-08-30 $110.45 $112.00 32.6% 9.4% 35.4% 48.2% 33.3% 7.8% -1.1% 18.2M -692.5M -10.6M 0.78 28.58 N/A N/A 16,065 12,560 397,775 335,385 2007-08-31 $110.96 $112.00 32.0% 9.2% 35.4% 46.1% 32.4% 6.5% -1.6% 20.1M -704.1M -10.5M 0.64 30.39 N/A N/A 19,705 12,600 400,345 338,385
« Jul 2007 | All History | Sep 2007 » Home CME History August 2007