CME Options History — October 2007 In October 2007, CME traded between $120.59 and $134.43. ATM implied volatility averaged 29.1%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 0.4% (HV 20d: 28.7%). Max pain ranged from $114.00 to $126.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.64.
Notable Days 2007-10-24 : Highest Volume — 171,100 contracts2007-10-11 : Largest IV spike — 18.7% change2007-10-19 : Highest IV Rank — 53.9%2007-10-19 : Largest Expected Move — 9.9%Monthly Statistics Metric Avg Min Max Open Close Price $126.20 $120.59 $134.43 $121.66 $133.25 Max Pain $119.22 $114.00 $126.00 $114.00 $126.00 ATM IV 29.1% 23.5% 34.4% 25.7% 29.8% Expected Move 8.5% 7.4% 9.9% 7.4% 8.5% HV 20d 28.7% 24.8% 30.6% 30.0% 25.5% HV 60d 30.9% 29.6% 31.6% 31.4% 29.9% IV Rank 36.7% 18.1% 53.9% 25.3% 38.7% IV Percentile 66.4% 25.7% 96.0% 38.0% 74.2% Term Structure -0.7% -3.6% 4.0% 2.7% 0.4% VWIV 30.2% 26.1% 34.8% 26.1% 30.5% Skew 25d 3.0% -1.4% 5.9% 2.3% -1.4% Skew 10d 6.2% -2.9% 10.9% 4.0% -2.9% Call IV 25d 28.5% 24.7% 32.7% 24.8% 31.3% Put IV 25d 31.5% 27.1% 36.3% 27.1% 30.0% Bid-Ask Spread % 16.42 8.44 33.91 17.39 25.88 Gamma HHI 0.11 0.09 0.14 0.10 0.09 Net GEX 72.5M 51.3M 86.0M 73.4M 79.4M Net DEX -2.54B -3.20B -1.82B -2.23B -3.01B Net VEX -9.9M -10.7M -9.2M -9.4M -10.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.34 1.00 0.47 0.41 Total Volume 68,006.957 28,125 171,100 113,185 52,850 Total OI 665,021.739 556,600 744,370 604,225 692,150
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 2007-10-01 $121.66 $114.00 25.7% 7.4% 30.0% 25.3% 26.1% 2.3% 2.7% 73.4M -2.23B -9.4M 0.47 17.39 N/A N/A 77,060 36,125 358,445 245,780 2007-10-02 $120.59 $114.00 26.1% 7.5% 30.0% 26.7% 26.2% 2.5% 3.2% 67.1M -2.00B -9.7M 0.71 28.42 N/A N/A 39,060 27,865 366,000 254,160 2007-10-03 $122.11 $114.00 26.0% 7.5% 30.1% 26.4% 26.7% 1.6% 3.4% 71.6M -2.23B -9.7M 0.72 23.05 N/A N/A 39,885 28,575 372,635 259,795 2007-10-04 $120.97 $114.00 26.2% 7.5% 29.8% 26.8% 26.5% 2.2% 4.0% 67.9M -2.04B -9.8M 0.97 14.53 N/A N/A 18,645 18,175 379,060 266,380 2007-10-05 $125.83 $118.00 23.5% 7.9% 30.6% 18.1% 29.1% 4.8% -2.2% 86.0M -2.77B -9.2M 0.64 8.44 N/A N/A 67,540 43,475 382,860 271,305 2007-10-08 $125.00 $118.00 27.2% 8.7% 30.4% 30.3% 30.7% 5.9% -3.0% 78.5M -2.66B -9.8M 0.78 9.01 N/A N/A 32,630 25,440 393,335 284,920 2007-10-09 $126.16 $118.00 26.3% 8.5% 30.3% 27.3% 30.4% 5.5% -2.6% 82.6M -2.85B -9.7M 0.54 10.03 N/A N/A 31,300 16,870 397,080 289,105 2007-10-10 $125.20 $118.00 26.5% 8.5% 30.2% 27.8% 29.9% 4.1% -2.8% 80.7M -2.70B -9.7M 0.62 9.32 N/A N/A 26,130 16,075 400,990 293,910 2007-10-11 $124.50 $118.00 31.4% 9.0% 30.4% 44.1% 31.3% 4.5% -2.6% 75.6M -2.51B -9.8M 0.70 10.25 N/A N/A 48,190 33,580 402,195 294,720 2007-10-12 $125.90 $118.00 31.1% 8.9% 30.2% 43.0% 31.0% 4.9% -3.5% 83.9M -2.72B -9.8M 0.52 9.95 N/A N/A 39,310 20,570 401,245 298,305 2007-10-15 $124.54 $118.00 33.8% 9.7% 29.8% 52.1% 33.9% 4.8% -3.6% 73.0M -2.48B -9.9M 0.65 9.43 N/A N/A 23,870 15,595 413,615 303,065 2007-10-16 $124.05 $118.00 31.4% 9.0% 29.4% 44.3% 31.6% 4.3% -2.3% 70.0M -2.45B -9.8M 0.95 11.37 N/A N/A 27,450 25,950 416,960 304,085 2007-10-17 $124.27 $120.00 31.3% 9.0% 29.4% 43.8% 31.7% 4.3% -2.0% 71.5M -2.49B -10.0M 0.66 13.06 N/A N/A 33,725 22,315 425,895 310,620 2007-10-18 $124.59 $120.00 32.0% 9.2% 28.1% 46.0% 32.8% 3.8% -2.2% 78.3M -2.61B -10.0M 0.56 13.18 N/A N/A 32,455 18,270 429,660 311,275 2007-10-19 $122.73 $120.00 34.4% 9.9% 29.1% 53.9% 34.8% 3.0% -2.3% 54.3M -2.29B -10.0M 0.84 19.77 N/A N/A 28,610 24,110 432,390 311,980 2007-10-22 $123.74 $120.00 32.9% 9.4% 28.7% 49.2% 33.8% 4.1% -2.5% 51.3M -1.82B -9.9M 1.00 12.46 N/A N/A 14,080 14,045 339,210 217,390 2007-10-23 $126.92 $120.00 30.5% 8.7% 28.9% 41.1% 30.4% 3.9% -1.3% 60.4M -2.20B -9.8M 0.34 20.72 N/A N/A 45,995 15,605 344,110 222,555 2007-10-24 $130.00 $120.00 28.9% 8.3% 24.8% 35.8% 29.3% 3.6% 0.6% 68.8M -2.63B -9.9M 0.46 22.47 N/A N/A 117,390 53,710 359,225 226,755 2007-10-25 $134.43 $122.00 29.5% 8.4% 26.6% 37.8% 30.0% 1.4% 0.3% 75.4M -3.20B -10.0M 0.47 33.91 N/A N/A 113,365 52,735 381,735 243,090 2007-10-26 $132.60 $124.00 28.4% 8.2% 27.4% 34.4% 29.2% -0.4% 1.1% 71.4M -2.92B -10.6M 0.73 17.21 N/A N/A 38,990 28,270 395,630 262,560 2007-10-29 $132.40 $124.00 28.5% 8.2% 25.3% 34.6% 29.3% 0.0% 1.0% 72.8M -2.79B -10.5M 0.49 15.98 N/A N/A 29,250 14,340 396,135 262,685 2007-10-30 $131.22 $126.00 29.2% 8.4% 25.3% 36.9% 29.9% -0.5% 0.2% 73.8M -2.75B -10.7M 0.40 21.81 N/A N/A 24,765 9,920 408,285 272,215 2007-10-31 $133.25 $126.00 29.8% 8.5% 25.5% 38.7% 30.5% -1.4% 0.4% 79.4M -3.01B -10.7M 0.41 25.88 N/A N/A 37,495 15,355 418,160 273,990
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