CME Options History — November 2007 In November 2007, CME traded between $124.60 and $133.82. ATM implied volatility averaged 30.7%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 3.9% (HV 20d: 26.7%). Max pain ranged from $118.00 to $126.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.66.
Notable Days 2007-11-06 : Highest Volume — 63,545 contracts2007-11-13 : Largest IV drop — 25.1% change2007-11-26 : Highest IV Rank — 56.4%2007-11-26 : Largest Expected Move — 10.1%Monthly Statistics Metric Avg Min Max Open Close Price $129.64 $124.60 $133.82 $129.79 $131.72 Max Pain $119.24 $118.00 $126.00 $126.00 $120.00 ATM IV 30.7% 24.7% 35.1% 33.2% 26.7% Expected Move 9.0% 7.6% 10.1% 9.5% 7.6% HV 20d 26.7% 23.6% 30.4% 27.3% 28.4% HV 60d 27.3% 26.1% 29.2% 29.2% 28.2% IV Rank 41.7% 22.1% 56.4% 50.1% 28.5% IV Percentile 73.6% 27.4% 96.9% 92.4% 44.3% Term Structure 2.2% 0.5% 3.9% 0.5% 3.2% VWIV 32.2% 27.6% 35.3% 34.2% 27.6% Skew 25d 3.3% -0.4% 5.7% -0.4% 3.6% Skew 10d 6.9% -2.0% 13.1% -2.0% 8.6% Call IV 25d 30.5% 25.9% 34.8% 34.4% 25.9% Put IV 25d 33.7% 29.5% 37.7% 34.0% 29.5% Bid-Ask Spread % 27.27 8.39 52.11 22.71 52.11 Gamma HHI 0.11 0.08 0.14 0.09 0.13 Net GEX 67.6M 44.7M 90.0M 68.6M 70.4M Net DEX -2.40B -3.21B -1.57B -2.59B -2.51B Net VEX -10.2M -11.4M -9.3M -11.2M -9.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.66 0.39 1.16 0.50 0.79 Total Volume 39,993.571 10,680 63,545 56,670 32,220 Total OI 681,235.952 584,470 738,870 703,310 659,830
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 2007-11-01 $129.79 $126.00 33.2% 9.5% 27.3% 50.1% 34.2% -0.4% 0.5% 68.6M -2.59B -11.2M 0.50 22.71 N/A N/A 37,690 18,980 425,500 277,810 2007-11-02 $129.95 $126.00 31.2% 8.9% 23.8% 43.4% 32.2% 0.2% 2.5% 70.2M -2.55B -11.4M 0.52 28.39 N/A N/A 29,100 14,995 430,820 281,685 2007-11-05 $130.55 $118.00 33.0% 9.6% 23.6% 49.5% 34.9% 0.4% 1.6% 76.0M -2.76B -11.1M 0.62 8.39 N/A N/A 27,455 17,150 433,275 283,795 2007-11-06 $133.82 $118.00 29.5% 9.0% 24.8% 37.9% 32.2% 2.7% 1.5% 90.0M -3.21B -10.6M 0.39 19.56 N/A N/A 45,835 17,710 434,350 289,130 2007-11-07 $132.00 $118.00 34.4% 9.8% 25.3% 54.1% 34.8% 1.4% 0.8% 77.9M -2.89B -10.9M 0.48 19.21 N/A N/A 32,960 15,750 435,390 290,985 2007-11-08 $132.46 $118.00 32.1% 10.0% 25.1% 46.4% 35.3% 1.9% 1.4% 84.6M -2.90B -11.0M 0.45 19.35 N/A N/A 36,165 16,430 439,665 292,585 2007-11-09 $129.34 $118.00 31.2% 10.0% 26.6% 43.5% 35.2% 2.3% 1.1% 64.1M -2.38B -10.9M 0.62 16.30 N/A N/A 15,675 9,675 437,930 296,505 2007-11-12 $126.56 $118.00 34.2% 9.8% 27.5% 53.4% 33.9% 3.1% 1.5% 47.6M -1.92B -10.5M 0.55 16.32 N/A N/A 29,020 15,885 437,450 297,040 2007-11-13 $129.50 $118.00 25.6% 8.7% 28.6% 25.1% 31.1% 3.4% 2.3% 71.4M -2.40B -10.1M 0.69 24.56 N/A N/A 21,190 14,685 436,715 296,055 2007-11-14 $130.29 $118.00 24.7% 8.2% 28.6% 22.1% 29.0% 3.3% 2.4% 86.7M -2.64B -9.7M 0.73 27.95 N/A N/A 23,100 16,840 436,445 295,205 2007-11-15 $129.60 $118.00 29.2% 8.4% 28.7% 37.0% 31.1% 4.1% 2.9% 85.0M -2.55B -9.9M 0.96 12.69 N/A N/A 17,245 16,525 439,550 298,245 2007-11-16 $130.55 $118.00 28.2% 8.1% 28.1% 33.6% 28.7% 4.4% 3.9% 88.8M -2.63B -9.8M 0.62 27.00 N/A N/A 24,415 15,150 439,510 299,360 2007-11-19 $130.20 $118.00 30.7% 8.8% 28.1% 41.7% 30.7% 4.0% 3.3% 56.8M -2.36B -9.6M 0.63 36.52 N/A N/A 18,555 11,750 353,585 230,885 2007-11-20 $129.78 $118.00 31.2% 8.9% 26.8% 43.4% 32.0% 4.5% 2.8% 55.4M -2.18B -9.8M 0.83 25.91 N/A N/A 22,865 19,090 359,375 234,570 2007-11-21 $126.56 $118.00 32.8% 9.4% 26.9% 48.8% 33.4% 4.1% 2.2% 49.0M -1.81B -9.9M 1.16 36.13 N/A N/A 15,150 17,565 365,670 240,470 2007-11-23 $127.75 $118.00 32.4% 9.3% 23.9% 47.4% 33.2% 5.7% 2.6% 50.4M -1.90B -9.9M 0.84 30.67 N/A N/A 5,815 4,865 366,945 249,240 2007-11-26 $124.93 $120.00 35.1% 10.1% 24.7% 56.4% 34.9% 5.7% 1.3% 45.4M -1.68B -9.7M 0.63 34.20 N/A N/A 12,650 8,025 367,910 250,575 2007-11-27 $124.60 $120.00 32.9% 9.4% 24.7% 49.1% 32.7% 5.1% 2.1% 44.7M -1.57B -9.5M 0.55 30.45 N/A N/A 23,025 12,555 369,435 252,925 2007-11-28 $130.68 $120.00 27.9% 8.0% 30.4% 32.7% 28.4% 4.7% 2.7% 67.6M -2.36B -9.3M 0.48 44.79 N/A N/A 41,100 19,875 375,945 255,655 2007-11-29 $131.80 $120.00 27.8% 8.0% 30.0% 32.3% 29.6% 4.1% 2.7% 68.9M -2.57B -9.7M 0.75 39.37 N/A N/A 25,785 19,350 385,745 262,195 2007-11-30 $131.72 $120.00 26.7% 7.6% 28.4% 28.5% 27.6% 3.6% 3.2% 70.4M -2.51B -9.8M 0.79 52.11 N/A N/A 18,040 14,180 390,800 269,030
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