CME Options History — May 2008 In May 2008, CME traded between $86.06 and $97.87. ATM implied volatility averaged 35.8%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 4.8% (HV 20d: 40.6%). Max pain ranged from $96.00 to $104.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.57.
Notable Days 2008-05-28 : Highest Volume — 53,980 contracts2008-05-15 : Largest IV drop — 11.1% change2008-05-28 : Highest IV Rank — 36.5%2008-05-28 : Largest Expected Move — 11.5%Monthly Statistics Metric Avg Min Max Open Close Price $93.33 $86.06 $97.87 $95.96 $86.06 Max Pain $100.86 $96.00 $104.00 $96.00 $98.00 ATM IV 35.8% 31.1% 40.1% 34.0% 38.8% Expected Move 10.3% 8.9% 11.5% 9.7% 11.1% HV 20d 40.6% 30.1% 45.1% 43.6% 30.1% HV 60d 50.6% 48.8% 65.3% 65.3% 50.2% IV Rank 29.4% 21.7% 36.5% 26.4% 34.3% IV Percentile 69.7% 44.4% 82.9% 64.7% 80.6% Term Structure 0.9% -0.9% 3.6% 1.6% -0.9% VWIV 36.1% 31.3% 40.3% 34.9% 39.2% Skew 25d 2.0% 0.7% 3.4% 1.4% 0.7% Skew 10d 3.6% 0.8% 5.4% 2.3% 2.6% Call IV 25d 35.2% 30.4% 39.7% 34.4% 38.7% Put IV 25d 37.2% 32.7% 41.4% 35.7% 39.4% Bid-Ask Spread % 39.77 9.08 53.56 30.53 9.08 Gamma HHI 0.08 0.05 0.47 0.05 0.05 Net GEX 5.5M -4.3M 29.1M 8.5M -1.9M Net DEX 174.5M -60.2M 443.0M 76.6M 443.0M Net VEX -5.3M -5.9M -4.7M -5.7M -4.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.57 0.34 1.20 0.42 0.41 Total Volume 27,680.476 12,740 53,980 42,115 27,090 Total OI 421,111.429 362,550 460,805 418,165 427,845
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 2008-05-01 $95.96 $96.00 34.0% 9.7% 43.6% 26.4% 34.9% 1.4% 1.6% 8.5M 76.6M -5.7M 0.42 30.53 N/A N/A 29,570 12,545 254,820 163,345 2008-05-02 $97.48 $96.00 31.9% 9.1% 44.1% 22.9% 32.8% 1.5% 3.3% 13.1M -22.9M -5.9M 0.34 31.08 N/A N/A 17,380 5,870 258,965 164,635 2008-05-05 $97.87 $104.00 34.1% 10.0% 44.2% 26.6% 35.4% 2.8% 0.3% 14.5M -60.2M -5.8M 0.40 40.61 N/A N/A 16,010 6,435 260,895 165,680 2008-05-06 $97.00 $104.00 34.6% 10.3% 44.2% 27.5% 36.0% 2.0% 0.4% 12.3M -5.7M -5.8M 0.48 42.42 N/A N/A 14,655 7,040 262,600 166,660 2008-05-07 $93.74 $104.00 38.0% 10.9% 45.1% 33.1% 38.3% 1.1% -0.1% 5.0M 152.4M -5.5M 0.57 42.44 N/A N/A 14,840 8,425 265,400 168,035 2008-05-08 $93.06 $104.00 37.3% 11.0% 45.1% 31.9% 38.6% 1.7% -0.2% 3.7M 189.6M -5.4M 0.55 41.18 N/A N/A 14,820 8,140 269,525 169,145 2008-05-09 $92.33 $102.00 36.5% 11.1% 44.6% 30.6% 38.7% 1.7% -0.4% 1.6M 231.6M -5.3M 0.88 41.92 N/A N/A 11,855 10,485 273,620 171,245 2008-05-12 $93.02 $102.00 37.9% 10.7% 44.0% 32.9% 37.4% 2.5% 0.0% 751.7K 234.7M -5.2M 0.40 43.74 N/A N/A 9,075 3,665 274,620 172,325 2008-05-13 $91.53 $102.00 37.4% 10.6% 43.8% 32.1% 37.0% 2.3% 0.8% -4.3M 316.5M -5.0M 0.59 45.40 N/A N/A 12,995 7,640 276,785 172,405 2008-05-14 $95.00 $102.00 38.6% 10.2% 45.0% 34.2% 35.5% 2.1% 1.4% 10.1M 101.3M -5.3M 0.47 41.91 N/A N/A 28,980 13,545 278,590 173,615 2008-05-15 $94.85 $102.00 34.4% 9.9% 45.0% 27.1% 34.5% 2.2% 1.9% 10.4M 111.7M -5.2M 0.57 53.56 N/A N/A 24,485 13,880 282,730 175,640 2008-05-16 $95.60 $102.00 32.0% 9.2% 44.9% 23.2% 32.4% 3.4% 3.6% 29.1M 76.6M -5.3M 0.39 44.49 N/A N/A 25,720 9,965 282,630 178,175 2008-05-19 $96.81 $100.00 31.1% 8.9% 42.6% 21.7% 31.3% 2.3% 2.1% 5.4M 36.1M -5.4M 0.48 45.97 N/A N/A 23,310 11,170 218,250 144,300 2008-05-20 $96.90 $100.00 32.4% 9.3% 31.9% 23.9% 32.5% 2.5% 1.8% 6.3M 22.6M -5.5M 0.54 48.04 N/A N/A 11,930 6,390 225,585 148,040 2008-05-21 $92.80 $100.00 35.1% 10.1% 35.2% 28.3% 35.1% 1.8% 1.4% 2.1M 180.2M -5.3M 1.03 49.05 N/A N/A 14,020 14,440 230,275 150,125 2008-05-22 $92.84 $100.00 36.2% 10.4% 35.2% 30.1% 36.4% 2.6% 1.5% 2.2M 219.0M -5.4M 1.20 46.03 N/A N/A 7,745 9,270 234,240 157,475 2008-05-23 $91.34 $100.00 35.9% 10.3% 35.5% 29.6% 36.2% 2.4% 1.4% 475.7K 265.0M -5.2M 0.74 46.39 N/A N/A 13,030 9,610 235,780 159,440 2008-05-27 $90.83 $100.00 37.1% 10.6% 35.2% 31.6% 36.6% 2.8% 0.5% -624.7K 297.8M -5.1M 0.59 51.56 N/A N/A 14,385 8,540 237,420 163,055 2008-05-28 $87.44 $100.00 40.1% 11.5% 37.3% 36.5% 40.3% 1.7% -0.7% -2.8M 408.6M -4.8M 0.55 19.11 N/A N/A 34,860 19,120 242,085 165,005 2008-05-29 $87.46 $100.00 38.3% 11.0% 35.2% 33.5% 38.8% 1.1% -0.5% -990.3K 389.5M -4.9M 0.37 20.67 N/A N/A 20,680 7,680 252,890 169,445 2008-05-30 $86.06 $98.00 38.8% 11.1% 30.1% 34.3% 39.2% 0.7% -0.9% -1.9M 443.0M -4.7M 0.41 9.08 N/A N/A 19,150 7,940 257,775 170,070
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