CME Options History — April 2008 In April 2008, CME traded between $91.49 and $104.70. ATM implied volatility averaged 40.0%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 12.9% (HV 20d: 52.8%). Max pain ranged from $96.00 to $100.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.61.
Notable Days 2008-04-22 : Highest Volume — 118,875 contracts2008-04-21 : Largest IV spike — 22.4% change2008-04-21 : Highest IV Rank — 55.7%2008-04-21 : Largest Expected Move — 14.8%Monthly Statistics Metric Avg Min Max Open Close Price $98.79 $91.49 $104.70 $100.00 $91.49 Max Pain $98.82 $96.00 $100.00 $96.00 $96.00 ATM IV 40.0% 32.9% 51.7% 42.0% 35.9% Expected Move 11.8% 9.4% 14.8% 12.1% 10.3% HV 20d 52.8% 37.7% 71.8% 71.8% 39.7% HV 60d 65.6% 63.6% 67.1% 67.1% 65.1% IV Rank 36.4% 24.7% 55.7% 39.8% 29.7% IV Percentile 83.0% 62.7% 98.8% 90.5% 73.0% Term Structure -0.6% -9.6% 4.9% 1.6% 0.3% VWIV 41.3% 33.4% 51.4% 43.2% 36.7% Skew 25d 6.8% -0.0% 10.5% 8.8% -0.0% Skew 10d 13.1% -0.5% 20.9% 18.7% -0.5% Call IV 25d 38.1% 32.1% 50.3% 38.2% 36.8% Put IV 25d 44.9% 34.8% 54.4% 47.0% 36.8% Bid-Ask Spread % 21.00 10.77 37.68 31.83 35.96 Gamma HHI 0.06 0.04 0.14 0.05 0.05 Net GEX 9.4M 719.3K 15.6M 10.2M 759.5K Net DEX -26.0M -238.0M 261.7M -100.8M 261.7M Net VEX -6.2M -7.0M -5.2M -6.7M -5.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.31 0.95 0.60 0.55 Total Volume 33,711.364 18,385 118,875 38,090 28,340 Total OI 400,073.409 329,785 421,660 374,515 412,945
Daily Data (22 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 2008-04-01 $100.00 $96.00 42.0% 12.1% 71.8% 39.8% 43.2% 8.8% 1.6% 10.2M -100.8M -6.7M 0.60 31.83 N/A N/A 23,770 14,320 219,685 154,830 2008-04-02 $101.62 $98.00 39.7% 11.4% 71.3% 35.9% 40.9% 8.9% 3.3% 14.3M -214.2M -6.9M 0.82 36.58 N/A N/A 18,800 15,450 226,140 158,930 2008-04-03 $102.78 $98.00 37.6% 10.8% 70.6% 32.5% 38.6% 8.4% 4.9% 13.7M -211.0M -7.0M 0.89 25.83 N/A N/A 12,915 11,460 226,230 164,595 2008-04-04 $102.12 $100.00 36.5% 12.2% 70.0% 30.6% 41.4% 10.1% -1.4% 15.6M -214.9M -6.9M 0.85 11.01 N/A N/A 12,725 10,755 231,520 166,620 2008-04-07 $101.80 $100.00 36.2% 12.2% 69.2% 30.1% 41.5% 9.7% -1.6% 14.8M -189.1M -6.8M 0.39 11.59 N/A N/A 24,965 9,760 234,190 169,855 2008-04-08 $102.14 $100.00 36.0% 12.3% 64.8% 29.8% 43.9% 10.0% -1.9% 14.9M -178.6M -6.8M 0.95 11.90 N/A N/A 10,170 9,710 240,475 171,505 2008-04-09 $99.82 $100.00 37.7% 12.8% 57.2% 32.6% 45.5% 10.1% -2.2% 10.5M -59.1M -6.6M 0.84 10.91 N/A N/A 14,120 11,895 241,690 173,050 2008-04-10 $99.92 $100.00 44.2% 12.7% 57.1% 43.3% 42.8% 10.5% -2.4% 10.8M -56.0M -6.5M 0.62 14.41 N/A N/A 14,825 9,155 244,510 173,970 2008-04-11 $97.78 $100.00 46.2% 13.3% 57.2% 46.7% 45.5% 10.2% -2.6% 6.5M 29.1M -6.3M 0.73 13.11 N/A N/A 12,075 8,815 247,070 173,805 2008-04-14 $95.40 $100.00 49.3% 14.1% 55.9% 51.8% 48.8% 10.1% -3.8% 719.3K 161.8M -5.9M 0.82 10.77 N/A N/A 14,165 11,680 244,930 172,565 2008-04-15 $96.90 $100.00 47.3% 13.6% 47.9% 48.5% 45.8% 9.3% -2.7% 3.0M 97.9M -5.9M 0.51 13.06 N/A N/A 16,075 8,230 245,595 173,735 2008-04-16 $99.38 $100.00 42.3% 12.1% 45.3% 40.2% 42.6% 9.1% -1.4% 10.8M -15.3M -6.0M 0.51 12.46 N/A N/A 12,935 6,630 247,085 174,575 2008-04-17 $99.68 $100.00 41.7% 12.0% 40.8% 39.2% 42.4% 9.2% -1.1% 11.4M -47.8M -6.0M 0.47 21.26 N/A N/A 13,725 6,520 245,280 173,610 2008-04-18 $100.75 $100.00 42.2% 12.1% 37.7% 40.1% 41.7% 6.0% -1.7% 14.0M -128.9M -6.0M 0.45 20.43 N/A N/A 37,070 16,620 244,845 174,320 2008-04-21 $104.70 $100.00 51.7% 14.8% 38.3% 55.7% 51.4% 3.4% -9.6% 9.7M -238.0M -6.4M 0.31 26.02 N/A N/A 55,505 17,280 192,855 136,945 2008-04-22 $96.70 $100.00 41.0% 11.7% 46.9% 38.0% 41.5% 3.1% -0.4% 4.3M 110.7M -5.4M 0.46 20.99 N/A N/A 81,200 37,675 192,850 136,935 2008-04-23 $97.52 $96.00 35.6% 10.2% 45.9% 29.1% 36.2% 3.7% 1.5% 10.0M 2.3M -6.0M 0.39 20.32 N/A N/A 34,805 13,420 237,435 156,740 2008-04-24 $97.00 $98.00 34.9% 10.0% 46.0% 28.0% 35.5% 2.4% 2.6% 10.2M 39.1M -6.0M 0.41 22.97 N/A N/A 13,035 5,350 244,350 157,390 2008-04-25 $96.18 $98.00 32.9% 9.4% 45.4% 24.7% 33.4% 2.7% 3.4% 8.4M 83.7M -5.8M 0.63 24.82 N/A N/A 14,250 9,035 244,845 157,510 2008-04-28 $94.68 $98.00 34.4% 9.9% 45.1% 27.1% 34.6% 1.7% 1.1% 5.3M 165.6M -5.5M 0.57 28.06 N/A N/A 13,065 7,475 245,170 159,880 2008-04-29 $95.00 $96.00 34.3% 9.8% 38.5% 26.9% 34.7% 2.1% 0.7% 6.8M 130.6M -5.5M 0.54 37.68 N/A N/A 14,180 7,700 248,965 161,590 2008-04-30 $91.49 $96.00 35.9% 10.3% 39.7% 29.7% 36.7% -0.0% 0.3% 759.5K 261.7M -5.2M 0.55 35.96 N/A N/A 18,310 10,030 252,330 160,615
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