CME Options History — March 2008

In March 2008, CME traded between $89.84 and $103.69. ATM implied volatility averaged 44.5%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 14.0% (HV 20d: 58.5%). Max pain ranged from $96.00 to $110.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2008-03-17: Highest Volume — 118,415 contracts
  • 2008-03-17: Largest IV spike — 29.6% change
  • 2008-03-17: Highest IV Rank — 72.0%
  • 2008-03-17: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.54$89.84$103.69$103.41$93.82
Max Pain$101.50$96.00$110.00$110.00$98.00
ATM IV44.5%35.1%61.5%36.7%48.9%
Expected Move12.8%10.1%17.6%10.5%14.0%
HV 20d58.5%25.7%79.8%79.8%67.6%
HV 60d61.3%55.2%65.9%55.7%65.9%
IV Rank43.8%28.3%72.0%30.9%51.1%
IV Percentile94.7%84.9%99.6%88.5%98.4%
Term Structure0.3%-7.5%2.1%1.3%0.9%
VWIV44.9%36.0%62.0%37.1%49.7%
Skew 25d8.5%5.0%12.2%5.0%8.3%
Skew 10d16.0%9.5%24.3%9.5%15.1%
Call IV 25d40.8%33.3%56.8%34.8%46.1%
Put IV 25d49.4%38.5%68.1%39.8%54.4%
Bid-Ask Spread %25.9314.5136.4024.7831.15
Gamma HHI0.060.040.140.050.04
Net GEX444.5K-8.1M8.9M-1.2M3.0M
Net DEX287.9M-88.3M674.0M306.2M144.7M
Net VEX-6.4M-6.8M-5.7M-6.5M-6.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.421.380.680.85
Total Volume42,49513,150118,41513,44022,195
Total OI437,720.25338,575523,070425,590369,475

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$103.41$110.0036.7%10.5%79.8%30.9%37.1%5.0%1.3%-1.2M306.2M-6.5M0.6824.78N/AN/A7,9805,460238,880186,710
2008-03-04$100.60$110.0040.7%11.7%79.6%37.5%39.7%5.3%-0.5%-3.5M435.8M-6.2M0.7021.17N/AN/A18,66513,125240,500187,800
2008-03-05$103.69$110.0035.1%10.1%79.4%28.3%36.0%5.2%1.7%-327.0K277.7M-6.6M0.4219.34N/AN/A34,62014,600247,455190,925
2008-03-06$101.09$110.0039.7%11.4%39.1%35.9%39.7%5.4%0.7%921.8K353.1M-6.8M0.7320.86N/AN/A7,5855,565266,755195,915
2008-03-07$98.28$104.0042.4%12.4%25.7%40.3%42.8%7.1%-0.2%-2.3M414.3M-6.4M1.1314.51N/AN/A31,39535,480268,225186,760
2008-03-10$92.25$104.0050.4%13.9%32.9%53.7%47.0%8.6%-1.6%-5.1M616.5M-5.7M1.1120.19N/AN/A17,04518,990272,395187,315
2008-03-11$100.90$102.0039.5%11.7%47.1%35.6%41.6%9.1%1.1%1.6M249.4M-6.5M0.6422.92N/AN/A29,52518,805277,005186,315
2008-03-12$99.68$102.0042.4%11.9%46.7%40.4%42.2%10.5%0.8%2.1M254.4M-6.5M1.0618.99N/AN/A19,47520,565281,735189,295
2008-03-13$101.37$102.0041.2%11.8%47.1%38.4%43.2%7.4%1.7%3.1M177.4M-6.8M1.3817.24N/AN/A25,07034,560282,700191,760
2008-03-14$97.21$102.0047.5%13.6%49.1%48.8%47.7%7.8%1.0%-2.1M364.9M-6.8M0.7519.54N/AN/A30,11522,550287,440200,215
2008-03-17$89.84$102.0061.5%17.6%55.8%72.0%62.0%11.3%-7.5%-5.5M672.1M-5.9M0.7936.40N/AN/A66,16552,250291,225200,145
2008-03-18$94.60$96.0048.7%14.0%59.6%50.8%50.0%11.7%-0.4%-5.1M500.1M-6.2M1.0135.14N/AN/A27,96528,220308,995203,500
2008-03-19$89.98$96.0053.3%15.3%61.6%58.4%52.8%10.1%-3.1%-8.1M674.0M-5.9M1.0132.16N/AN/A29,49529,745312,985205,940
2008-03-20$94.40$96.0046.2%13.2%64.6%46.6%47.2%12.2%2.0%-1.9M377.2M-6.2M1.1631.73N/AN/A32,47537,780318,690204,380
2008-03-24$97.60$96.0041.9%12.0%65.6%39.5%43.1%9.3%2.1%5.4M24.4M-6.4M0.8434.21N/AN/A13,45511,330198,250140,325
2008-03-25$100.64$96.0040.6%11.7%66.6%37.4%41.7%10.8%1.6%8.9M-88.3M-6.6M0.5727.51N/AN/A17,3159,825204,060142,950
2008-03-26$97.79$98.0042.7%12.2%67.2%40.8%43.4%9.0%1.6%7.0M-19.6M-6.5M1.0529.26N/AN/A10,73511,280209,835146,635
2008-03-27$97.88$98.0044.4%12.7%67.2%43.6%44.7%8.4%1.7%7.0M-26.8M-6.6M0.6131.35N/AN/A12,6107,630212,715150,070
2008-03-28$95.86$98.0046.4%13.3%67.3%47.0%45.9%8.4%1.4%5.0M51.1M-6.5M0.8630.17N/AN/A9,7908,465215,720152,410
2008-03-31$93.82$98.0048.9%14.0%67.6%51.1%49.7%8.3%0.9%3.0M144.7M-6.2M0.8531.15N/AN/A11,97510,220217,075152,400