CME Options History — February 2008 In February 2008, CME traded between $97.05 and $123.80. ATM implied volatility averaged 39.6%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 40.2% (HV 20d: 79.8%). Max pain ranged from $110.00 to $122.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.79.
Notable Days 2008-02-06 : Highest Volume — 232,265 contracts2008-02-06 : Largest IV spike — 76.7% change2008-02-06 : Highest IV Rank — 100.0%2008-02-06 : Largest Expected Move — 17.9%Monthly Statistics Metric Avg Min Max Open Close Price $106.93 $97.05 $123.80 $122.01 $102.66 Max Pain $114.80 $110.00 $122.00 $122.00 $110.00 ATM IV 39.6% 30.4% 78.4% 40.2% 36.2% Expected Move 11.1% 8.7% 17.9% 11.5% 10.4% HV 20d 79.8% 46.8% 90.6% 49.1% 79.6% HV 60d 53.4% 36.0% 57.0% 36.2% 55.8% IV Rank 41.8% 20.5% 100.0% 73.0% 30.2% IV Percentile 87.0% 61.5% 100.0% 96.8% 88.1% Term Structure -0.4% -10.7% 2.8% -2.6% 0.4% VWIV 38.8% 31.4% 60.9% 41.4% 35.6% Skew 25d 7.0% 4.7% 12.0% 7.3% 4.7% Skew 10d 13.1% 7.3% 22.3% 16.3% 10.1% Call IV 25d 35.7% 28.8% 58.4% 38.0% 34.0% Put IV 25d 42.8% 33.8% 65.8% 45.2% 38.7% Bid-Ask Spread % 28.87 10.35 39.39 28.36 33.98 Gamma HHI 0.05 0.05 0.08 0.05 0.05 Net GEX 1.8M -5.4M 20.9M 15.4M -3.1M Net DEX 233.3M -563.9M 761.6M -388.7M 383.9M Net VEX -7.0M -8.0M -6.0M -8.0M -6.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.49 1.56 0.57 0.81 Total Volume 52,475 14,585 232,265 25,620 16,935 Total OI 453,173 377,525 544,200 408,950 423,170
Daily Data (20 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 2008-02-01 $122.01 $122.00 40.2% 11.5% 49.1% 73.0% 41.4% 7.3% -2.6% 15.4M -388.7M -8.0M 0.57 28.36 N/A N/A 16,300 9,320 231,680 177,270 2008-02-04 $123.80 $122.00 42.8% 10.8% 46.8% 81.6% 36.9% 12.0% -3.4% 20.9M -563.9M -8.0M 0.49 10.35 N/A N/A 18,885 9,265 234,565 179,070 2008-02-05 $117.76 $122.00 44.4% 12.3% 49.9% 87.0% 43.5% 10.6% -4.6% 6.7M -117.1M -7.7M 1.07 16.93 N/A N/A 29,975 32,110 240,580 180,905 2008-02-06 $97.05 $122.00 78.4% 17.9% 84.2% 100.0% 60.9% 7.4% -10.7% -5.4M 761.6M -6.0M 0.81 18.80 N/A N/A 128,315 103,950 246,830 191,305 2008-02-07 $105.60 $120.00 47.9% 13.8% 90.6% 49.5% 47.9% 9.1% -3.0% -1.1M 422.9M -7.3M 0.72 27.50 N/A N/A 95,835 68,800 289,930 202,840 2008-02-08 $103.40 $116.00 43.8% 13.1% 90.2% 42.7% 44.5% 8.4% -1.6% -4.5M 516.6M -7.1M 0.65 26.45 N/A N/A 55,150 35,850 307,285 213,975 2008-02-11 $104.30 $114.00 45.3% 12.6% 90.2% 45.1% 42.7% 8.7% -0.8% -52.7K 402.1M -7.3M 0.73 26.76 N/A N/A 28,525 20,905 323,740 215,885 2008-02-12 $106.05 $114.00 40.2% 11.4% 90.4% 36.7% 40.2% 8.4% 0.5% 3.1M 326.4M -7.2M 0.96 30.81 N/A N/A 33,190 31,785 327,370 214,320 2008-02-13 $107.00 $114.00 34.2% 10.9% 89.6% 26.7% 38.6% 8.0% 1.7% 5.7M 225.1M -7.2M 0.67 31.27 N/A N/A 18,585 12,375 327,550 215,700 2008-02-14 $106.19 $114.00 38.3% 11.0% 89.0% 33.6% 37.7% 7.6% 1.2% 4.9M 304.3M -7.0M 0.76 35.61 N/A N/A 23,285 17,615 327,880 214,245 2008-02-15 $105.39 $114.00 36.1% 10.4% 86.8% 30.0% 37.3% 7.4% 2.8% 364.6K 367.0M -6.8M 1.56 36.84 N/A N/A 22,310 34,745 330,005 214,195 2008-02-19 $104.00 $112.00 36.0% 10.3% 86.3% 29.8% 36.4% 5.5% 1.2% -651.6K 258.5M -6.6M 0.74 36.99 N/A N/A 15,510 11,525 212,855 164,670 2008-02-20 $104.30 $112.00 35.7% 10.2% 84.8% 29.3% 35.9% 5.1% 1.6% -1.1M 265.9M -6.6M 0.84 39.39 N/A N/A 20,360 17,085 217,220 169,745 2008-02-21 $103.29 $112.00 34.7% 9.9% 82.4% 27.5% 34.8% 5.2% 0.8% -2.6M 327.2M -6.6M 0.68 37.77 N/A N/A 12,135 8,235 223,320 177,230 2008-02-22 $105.02 $112.00 32.4% 9.3% 80.9% 23.9% 32.8% 5.1% 2.3% -1.0M 212.8M -6.8M 0.60 31.19 N/A N/A 12,820 7,665 226,450 178,875 2008-02-25 $106.20 $112.00 32.0% 9.2% 81.3% 23.1% 32.4% 5.4% 2.0% 215.7K 178.4M -6.8M 0.56 23.93 N/A N/A 14,535 8,200 229,495 179,770 2008-02-26 $105.86 $112.00 30.7% 8.8% 81.3% 21.0% 31.7% 5.0% 1.8% -73.9K 222.9M -6.6M 0.78 29.50 N/A N/A 15,215 11,875 232,600 181,790 2008-02-27 $105.34 $110.00 30.4% 8.7% 81.3% 20.5% 31.4% 4.9% 1.8% -579.3K 238.6M -6.6M 0.98 27.11 N/A N/A 7,375 7,210 234,905 183,680 2008-02-28 $103.46 $110.00 32.5% 9.3% 80.9% 24.0% 32.5% 5.0% 1.8% -2.1M 321.7M -6.5M 0.78 27.90 N/A N/A 8,870 6,875 236,425 184,135 2008-02-29 $102.66 $110.00 36.2% 10.4% 79.6% 30.2% 35.6% 4.7% 0.4% -3.1M 383.9M -6.4M 0.81 33.98 N/A N/A 9,345 7,590 238,120 185,050
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