CME Options History — January 2008

In January 2008, CME traded between $108.95 and $134.80. ATM implied volatility averaged 37.3%, placing in the 63.6% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 0.8% (HV 20d: 36.5%). Max pain ranged from $120.00 to $130.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.76.

Notable Days

2008-01-17: Highest Volume — 112,565 contracts
2008-01-10: Largest IV drop — 17.0% change
2008-01-17: Highest IV Rank — 87.6%
2008-01-17: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$121.91	$108.95	$134.80	$134.80	$123.48
Max Pain	$122.86	$120.00	$130.00	$120.00	$122.00
ATM IV	37.3%	29.6%	44.6%	29.6%	38.1%
Expected Move	10.7%	8.5%	12.8%	8.5%	10.9%
HV 20d	36.5%	25.8%	50.3%	25.8%	50.3%
HV 60d	31.5%	25.6%	36.2%	25.6%	36.2%
IV Rank	63.6%	38.2%	87.6%	38.2%	66.1%
IV Percentile	93.8%	70.9%	99.2%	70.9%	95.2%
Term Structure	-2.1%	-4.5%	4.1%	4.1%	-1.9%
VWIV	37.6%	29.7%	43.8%	29.7%	39.5%
Skew 25d	5.2%	1.1%	9.8%	2.0%	7.5%
Skew 10d	9.3%	2.3%	19.6%	4.0%	15.4%
Call IV 25d	35.3%	28.9%	43.3%	28.9%	36.0%
Put IV 25d	40.5%	30.9%	47.1%	30.9%	43.5%
Bid-Ask Spread %	28.43	12.81	57.75	57.75	28.52
Gamma HHI	0.09	0.04	0.17	0.11	0.06
Net GEX	18.2M	-17.8M	50.4M	50.4M	19.7M
Net DEX	-597.5M	-2.19B	547.1M	-2.19B	-500.0M
Net VEX	-7.6M	-8.4M	-6.2M	-8.1M	-8.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.45	1.11	0.59	0.84
Total Volume	60,785.714	25,685	112,565	37,470	32,155
Total OI	531,820	311,645	672,825	569,330	404,240

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
2008-01-02	$134.80	$120.00	29.6%	8.5%	25.8%	38.2%	29.7%	2.0%	4.1%	50.4M	-2.19B	-8.1M	0.59	57.75	N/A	N/A	23,585	13,885	331,665	237,665
2008-01-03	$130.07	$120.00	31.3%	9.0%	28.4%	43.8%	32.2%	1.1%	3.6%	46.7M	-1.67B	-8.3M	0.74	42.85	N/A	N/A	55,255	40,795	340,960	241,065
2008-01-04	$124.30	$130.00	32.7%	10.4%	28.1%	48.4%	35.9%	3.6%	-2.3%	31.6M	-1.02B	-8.4M	0.71	12.81	N/A	N/A	45,755	32,680	353,160	254,000
2008-01-07	$122.81	$128.00	38.2%	10.7%	28.0%	66.6%	37.3%	2.8%	-3.0%	23.2M	-696.1M	-8.1M	0.67	16.24	N/A	N/A	43,745	29,155	359,695	257,080
2008-01-08	$119.60	$126.00	38.9%	11.1%	28.1%	68.9%	38.0%	3.0%	-3.5%	12.6M	-324.7M	-7.8M	0.62	19.95	N/A	N/A	31,350	19,485	368,375	260,075
2008-01-09	$120.07	$126.00	43.1%	11.0%	28.4%	82.7%	39.0%	4.3%	-2.9%	16.5M	-420.5M	-7.8M	0.83	20.74	N/A	N/A	50,115	41,595	375,535	258,145
2008-01-10	$122.34	$124.00	35.8%	10.3%	28.5%	58.6%	36.0%	3.8%	-2.3%	24.8M	-719.2M	-7.9M	0.82	20.56	N/A	N/A	35,040	28,675	382,515	269,415
2008-01-11	$123.53	$124.00	35.0%	10.0%	28.5%	56.2%	35.9%	5.1%	-2.0%	41.0M	-1.01B	-8.0M	0.76	26.24	N/A	N/A	28,045	21,385	387,070	269,550
2008-01-14	$124.67	$124.00	35.0%	10.0%	27.7%	56.0%	35.2%	5.0%	-2.0%	46.7M	-1.07B	-7.7M	0.66	25.12	N/A	N/A	18,925	12,520	389,375	271,705
2008-01-15	$119.35	$124.00	37.2%	10.7%	30.7%	63.1%	36.8%	3.9%	-2.4%	11.1M	-428.2M	-7.3M	0.89	25.97	N/A	N/A	26,260	23,270	392,350	271,275
2008-01-16	$115.35	$124.00	40.6%	11.6%	32.1%	74.4%	40.8%	3.5%	-3.7%	604.3K	-5.7M	-7.0M	1.11	28.72	N/A	N/A	35,930	39,910	396,075	267,765
2008-01-17	$108.95	$122.00	44.6%	12.8%	36.0%	87.6%	43.8%	3.8%	-4.5%	-17.2M	547.1M	-6.2M	1.09	26.57	N/A	N/A	53,975	58,590	402,085	268,715
2008-01-18	$111.68	$120.00	40.2%	11.5%	38.1%	73.0%	39.8%	6.5%	-2.9%	-17.8M	198.9M	-6.5M	0.62	31.62	N/A	N/A	41,485	25,590	413,305	259,520
2008-01-22	$116.20	$120.00	40.9%	11.7%	41.5%	75.3%	41.8%	8.7%	-4.5%	4.4M	-141.1M	-6.8M	0.83	31.74	N/A	N/A	30,135	24,995	175,490	136,155
2008-01-23	$122.00	$120.00	36.8%	10.6%	45.7%	62.0%	39.4%	9.8%	-1.8%	10.6M	-430.5M	-7.3M	0.81	37.99	N/A	N/A	26,095	21,200	182,935	142,435
2008-01-24	$127.03	$120.00	34.0%	9.8%	48.3%	52.7%	36.1%	8.3%	-2.0%	17.3M	-745.7M	-7.6M	0.50	26.19	N/A	N/A	50,815	25,530	188,575	149,175
2008-01-25	$125.80	$120.00	37.1%	10.6%	48.3%	62.8%	37.9%	6.8%	-1.9%	17.2M	-686.5M	-7.9M	0.79	25.27	N/A	N/A	28,620	22,700	198,250	155,650
2008-01-28	$125.00	$122.00	37.1%	10.6%	48.1%	62.8%	36.5%	5.6%	-2.8%	14.3M	-525.1M	-7.8M	0.45	29.93	N/A	N/A	49,905	22,565	204,495	163,515
2008-01-29	$123.40	$122.00	37.9%	10.9%	48.0%	65.6%	38.5%	7.2%	-3.7%	18.3M	-496.9M	-8.0M	0.63	27.93	N/A	N/A	15,765	9,920	223,575	168,075
2008-01-30	$119.65	$122.00	39.7%	11.4%	48.7%	71.5%	40.3%	6.6%	-2.2%	10.3M	-218.1M	-7.8M	1.03	34.37	N/A	N/A	19,275	19,825	227,255	170,260
2008-01-31	$123.48	$122.00	38.1%	10.9%	50.3%	66.1%	39.5%	7.5%	-1.9%	19.7M	-500.0M	-8.1M	0.84	28.52	N/A	N/A	17,500	14,655	230,075	174,165