CME Options History — September 2007

In September 2007, CME traded between $107.93 and $117.70. ATM implied volatility averaged 30.1%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 3.7% (HV 20d: 26.4%). Max pain ranged from $112.00 to $114.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.78.

Notable Days

  • 2007-09-26: Highest Volume — 131,190 contracts
  • 2007-09-18: Largest IV drop — 12.7% change
  • 2007-09-10: Highest IV Rank — 56.1%
  • 2007-09-10: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.97$107.93$117.70$112.96$117.47
Max Pain$113.47$112.00$114.00$112.00$114.00
ATM IV30.1%25.8%35.0%31.7%25.8%
Expected Move8.6%7.4%9.8%9.1%7.4%
HV 20d26.4%20.3%34.4%34.4%27.8%
HV 60d30.1%29.3%31.9%29.4%31.3%
IV Rank40.0%25.6%56.1%45.2%25.6%
IV Percentile73.5%40.3%95.9%86.9%40.3%
Term Structure0.4%-1.9%4.7%-1.5%3.7%
VWIV30.4%26.4%34.7%32.6%26.4%
Skew 25d4.3%0.4%6.8%6.7%1.5%
Skew 10d8.8%0.3%13.7%13.7%3.1%
Call IV 25d28.2%25.5%31.5%28.4%25.5%
Put IV 25d32.5%27.0%37.1%35.1%27.0%
Bid-Ask Spread %13.085.7622.0420.8014.79
Gamma HHI0.080.070.100.070.09
Net GEX27.2M3.2M63.1M32.6M60.4M
Net DEX-776.6M-1.69B-302.7M-1.05B-1.61B
Net VEX-9.1M-10.5M-7.8M-10.3M-9.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.341.740.751.05
Total Volume51,353.15824,860131,19049,35540,750
Total OI719,020.526499,080808,130747,045593,055

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$112.96$112.0031.7%9.1%34.4%45.2%32.6%6.7%-1.5%32.6M-1.05B-10.3M0.7520.80N/AN/A28,21021,145407,060339,985
2007-09-05$112.90$112.0032.6%9.3%34.2%47.9%32.7%6.8%-1.3%37.8M-1.19B-10.5M0.9316.62N/AN/A21,86020,280415,180343,415
2007-09-06$111.41$112.0032.0%9.2%30.0%46.3%33.0%6.4%-0.5%28.4M-823.1M-10.2M0.7115.54N/AN/A20,70514,670416,305343,890
2007-09-07$108.93$114.0034.2%9.8%30.3%53.3%34.0%6.8%-1.6%16.7M-559.5M-9.9M1.015.76N/AN/A24,43024,570421,565337,745
2007-09-10$107.93$114.0035.0%9.8%30.2%56.1%34.7%5.3%-1.7%9.6M-375.5M-9.5M0.816.25N/AN/A22,48018,105424,720342,530
2007-09-11$109.63$114.0032.8%9.4%30.3%48.7%32.1%6.4%-1.9%19.1M-576.4M-9.5M0.757.60N/AN/A17,78013,280430,020344,865
2007-09-12$108.64$114.0032.2%9.6%28.3%46.8%33.1%6.0%-1.6%14.7M-466.2M-9.3M0.688.84N/AN/A14,81510,045431,890346,600
2007-09-13$110.15$114.0030.6%8.8%24.8%41.6%31.1%6.0%-0.3%27.6M-678.6M-9.1M0.749.31N/AN/A21,57516,065434,315349,780
2007-09-14$109.72$114.0030.2%8.7%23.6%40.2%30.9%5.5%-0.1%16.4M-543.2M-8.9M0.439.49N/AN/A26,38511,270438,550352,430
2007-09-17$108.02$114.0032.8%9.4%22.5%48.7%33.3%5.7%-1.4%4.9M-302.7M-8.5M0.7910.52N/AN/A17,63013,910439,920353,575
2007-09-18$110.50$114.0028.6%8.2%23.5%35.0%28.0%3.8%0.2%30.2M-634.5M-8.4M1.7422.04N/AN/A31,53054,980443,840355,195
2007-09-19$110.38$114.0028.0%8.0%20.9%32.8%28.0%3.9%-0.4%42.8M-691.9M-8.2M0.8118.89N/AN/A28,51023,095447,095350,515
2007-09-20$108.45$114.0029.7%8.5%21.3%38.5%29.8%3.0%0.6%3.2M-334.5M-8.0M0.6310.40N/AN/A31,32019,730447,540351,660
2007-09-21$108.85$114.0027.7%7.9%20.5%31.8%28.7%2.6%2.0%12.0M-396.9M-8.1M1.009.11N/AN/A27,13027,070452,550355,580
2007-09-24$108.02$114.0027.2%7.8%20.3%30.4%27.8%1.8%4.7%18.5M-502.2M-7.8M0.7913.35N/AN/A27,72021,965300,245198,835
2007-09-25$110.48$112.0026.6%7.6%22.0%28.2%26.7%1.8%4.7%28.2M-790.8M-8.4M0.4219.46N/AN/A33,44014,030313,500212,040
2007-09-26$116.22$112.0028.2%8.1%28.3%33.4%28.3%0.4%2.1%50.3M-1.54B-9.2M0.3413.70N/AN/A97,87533,315326,215217,370
2007-09-27$117.70$114.0026.8%7.7%28.4%29.0%27.3%0.4%2.8%63.1M-1.69B-9.5M0.4516.12N/AN/A57,93026,110352,965228,850
2007-09-28$117.47$114.0025.8%7.4%27.8%25.6%26.4%1.5%3.7%60.4M-1.61B-9.5M1.0514.79N/AN/A19,84020,910357,075235,980