CME Options History — December 2007

In December 2007, CME traded between $132.16 and $142.15. ATM implied volatility averaged 27.8%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 0.9% (HV 20d: 28.8%). Max pain ranged from $112.00 to $124.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2007-12-04: Highest Volume — 68,900 contracts
  • 2007-12-24: Largest IV spike — 12.1% change
  • 2007-12-11: Highest IV Rank — 39.1%
  • 2007-12-17: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$138.26$132.16$142.15$132.16$137.20
Max Pain$116.90$112.00$124.00$120.00$120.00
ATM IV27.8%24.8%29.9%28.3%28.9%
Expected Move8.0%7.1%8.5%8.1%8.3%
HV 20d28.8%24.9%30.8%28.4%24.9%
HV 60d27.8%26.5%29.0%27.7%26.5%
IV Rank32.4%22.4%39.1%34.1%35.8%
IV Percentile53.1%24.9%71.7%57.1%62.4%
Term Structure2.1%0.2%3.5%2.3%3.5%
VWIV28.5%27.1%29.8%28.7%29.5%
Skew 25d3.6%1.5%5.6%3.4%2.9%
Skew 10d7.0%3.2%10.9%4.8%7.8%
Call IV 25d26.3%23.5%28.2%27.0%28.2%
Put IV 25d29.9%26.9%31.9%30.4%31.0%
Bid-Ask Spread %52.3130.6661.7352.2861.73
Gamma HHI0.100.080.160.130.09
Net GEX74.2M45.2M112.2M72.6M48.6M
Net DEX-3.16B-3.93B-2.23B-2.62B-2.35B
Net VEX-8.4M-9.4M-7.7M-9.4M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.391.110.640.39
Total Volume39,71724,96568,90029,64027,605
Total OI666,679.25510,665744,245659,790557,530

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$132.16$120.0028.3%8.1%28.4%34.1%28.7%3.4%2.3%72.6M-2.62B-9.4M0.6452.28N/AN/A18,10011,540387,155272,635
2007-12-04$134.05$120.0027.7%7.9%28.8%31.9%27.9%2.8%3.3%78.9M-2.96B-9.1M0.4043.65N/AN/A49,18019,720391,620276,005
2007-12-05$139.45$120.0028.1%8.1%30.8%33.2%28.8%2.1%0.2%83.2M-3.58B-8.8M0.4830.66N/AN/A43,09020,555395,585283,360
2007-12-06$139.96$124.0027.0%7.8%30.2%29.8%27.7%1.5%0.6%86.4M-3.51B-8.8M1.1146.58N/AN/A16,48018,345396,460291,970
2007-12-07$141.40$112.0027.0%7.7%30.4%29.6%28.2%4.3%2.2%82.2M-3.72B-8.6M0.6046.95N/AN/A25,59515,365396,745299,030
2007-12-10$140.50$114.0028.1%7.8%28.9%33.4%28.3%4.7%1.7%82.7M-3.62B-8.3M0.5151.18N/AN/A29,97015,245400,040303,030
2007-12-11$136.23$114.0029.9%8.4%30.1%39.1%29.1%3.8%1.1%74.1M-3.03B-8.8M0.8750.16N/AN/A22,48019,510402,015305,015
2007-12-12$137.63$114.0028.8%8.2%29.4%35.7%29.8%4.0%1.6%75.7M-3.21B-8.7M0.7953.15N/AN/A21,71517,110403,680310,045
2007-12-13$140.20$114.0028.6%8.2%29.9%34.9%29.5%4.2%1.4%81.9M-3.64B-8.5M0.8049.20N/AN/A19,55515,640406,980311,395
2007-12-14$139.81$114.0028.0%8.0%29.8%33.0%28.2%4.0%1.6%81.6M-3.60B-8.4M0.6251.68N/AN/A21,95513,700408,055313,680
2007-12-17$138.30$114.0029.5%8.5%30.2%37.9%29.8%3.9%1.5%79.4M-3.45B-8.4M0.6954.15N/AN/A18,29512,695414,855318,300
2007-12-18$138.40$116.0028.2%8.1%30.1%33.6%29.1%3.6%1.7%76.3M-3.36B-8.3M0.8255.77N/AN/A19,15015,745416,185319,280
2007-12-19$138.70$116.0027.3%7.8%30.0%30.7%28.2%3.4%2.4%81.1M-3.44B-8.0M1.0054.81N/AN/A13,98014,035416,555320,585
2007-12-20$140.20$116.0026.3%7.5%28.2%27.3%27.7%3.1%2.9%99.9M-3.71B-7.8M0.7156.67N/AN/A19,97514,195417,470321,545
2007-12-21$142.15$116.0024.8%7.1%28.3%22.4%27.1%3.5%3.0%112.2M-3.93B-7.7M0.9255.70N/AN/A33,68031,010419,965324,280
2007-12-24$138.80$116.0027.8%8.0%28.5%32.3%28.9%5.6%2.4%47.9M-2.46B-8.0M0.9359.85N/AN/A31,22029,015303,610207,055
2007-12-26$138.00$118.0026.7%7.6%28.7%28.5%27.5%4.3%2.8%46.6M-2.41B-7.9M0.7558.95N/AN/A14,25510,710309,740221,680
2007-12-27$135.60$120.0028.1%8.1%24.9%33.3%28.7%3.2%2.6%45.2M-2.23B-8.2M0.7657.14N/AN/A14,80511,200313,480226,520
2007-12-28$136.50$120.0027.5%7.9%24.9%31.3%27.8%2.9%3.1%47.3M-2.29B-8.0M0.6055.91N/AN/A17,46010,460319,515230,935
2007-12-31$137.20$120.0028.9%8.3%24.9%35.8%29.5%2.9%3.5%48.6M-2.35B-8.1M0.3961.73N/AN/A19,8457,760322,805234,725