CME Options History — June 2008 In June 2008, CME traded between $75.60 and $88.36. ATM implied volatility averaged 45.2%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 1.7% (HV 20d: 46.9%). Max pain ranged from $80.00 to $98.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.63.
Notable Days 2008-06-17 : Highest Volume — 137,125 contracts2008-06-26 : Largest IV spike — 10.2% change2008-06-04 : Highest IV Rank — 54.8%2008-06-04 : Largest Expected Move — 14.6%Monthly Statistics Metric Avg Min Max Open Close Price $81.99 $75.60 $88.36 $82.42 $76.64 Max Pain $83.90 $80.00 $98.00 $98.00 $82.00 ATM IV 45.2% 38.7% 51.1% 44.1% 48.7% Expected Move 12.8% 11.1% 14.6% 12.6% 14.0% HV 20d 46.9% 31.8% 54.4% 31.8% 52.7% HV 60d 45.6% 41.6% 50.7% 50.7% 43.2% IV Rank 43.1% 29.6% 54.8% 43.2% 45.9% IV Percentile 89.4% 73.4% 98.4% 91.7% 95.6% Term Structure 0.6% -5.8% 5.8% -2.6% 2.6% VWIV 44.7% 39.2% 51.9% 44.3% 48.3% Skew 25d 3.7% -0.3% 5.9% 2.3% 3.5% Skew 10d 6.2% -2.4% 11.6% 3.8% 7.8% Call IV 25d 43.3% 37.7% 51.7% 43.5% 46.8% Put IV 25d 46.9% 41.3% 51.4% 45.9% 50.3% Bid-Ask Spread % 22.45 7.35 34.54 13.63 34.47 Gamma HHI 0.09 0.05 0.40 0.06 0.06 Net GEX 8.1M -3.4M 28.1M -3.4M 2.5M Net DEX 169.7M -374.0M 674.4M 547.5M 228.7M Net VEX -5.0M -5.8M -4.0M -4.3M -4.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.27 1.23 0.62 0.51 Total Volume 53,827.619 20,175 137,125 88,015 31,955 Total OI 480,955 346,860 567,980 436,285 402,175
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 2008-06-02 $82.42 $98.00 44.1% 12.6% 31.8% 43.2% 44.3% 2.3% -2.6% -3.4M 547.5M -4.3M 0.62 13.63 N/A N/A 54,280 33,735 263,760 172,525 2008-06-03 $80.06 $96.00 47.3% 13.6% 32.3% 48.5% 47.9% 2.0% -4.0% -2.0M 583.8M -4.3M 0.49 16.31 N/A N/A 54,330 26,885 284,215 178,725 2008-06-04 $75.60 $92.00 51.1% 14.6% 36.4% 54.8% 51.9% -0.3% -5.8% -1.2M 674.4M -4.0M 0.64 12.89 N/A N/A 51,530 32,820 306,240 183,310 2008-06-05 $80.51 $90.00 46.5% 13.3% 44.2% 47.1% 47.3% 3.8% -3.3% 3.9M 471.4M -4.7M 0.45 7.35 N/A N/A 65,285 29,245 324,305 189,545 2008-06-06 $77.52 $82.00 46.7% 12.8% 45.4% 47.4% 44.5% 3.4% 0.5% 2.5M 548.1M -4.6M 0.72 26.73 N/A N/A 26,070 18,865 339,035 197,145 2008-06-09 $77.87 $82.00 50.9% 13.4% 45.7% 54.4% 46.3% 4.0% -0.7% 2.5M 426.0M -4.6M 1.23 23.97 N/A N/A 21,720 26,785 342,005 183,010 2008-06-10 $78.05 $80.00 48.3% 13.2% 45.5% 50.2% 45.9% 3.6% -0.3% 2.1M 405.1M -4.6M 0.72 25.13 N/A N/A 17,990 13,025 345,615 183,775 2008-06-11 $77.20 $80.00 49.3% 13.4% 45.4% 51.7% 47.2% 4.3% -0.4% 1.6M 394.9M -4.6M 0.92 23.71 N/A N/A 12,500 11,490 347,920 180,095 2008-06-12 $79.32 $80.00 47.9% 13.7% 44.2% 49.5% 47.5% 4.7% -0.8% 3.8M 310.6M -4.8M 0.36 21.40 N/A N/A 36,480 13,225 349,565 180,515 2008-06-13 $82.98 $80.00 44.5% 12.7% 48.2% 41.9% 44.3% 5.4% 1.5% 12.7M 73.8M -5.2M 0.42 20.67 N/A N/A 30,430 12,720 358,835 179,945 2008-06-16 $83.88 $80.00 44.3% 12.7% 48.3% 41.5% 44.4% 5.2% 0.9% 13.9M 21.7M -5.2M 0.73 23.46 N/A N/A 28,610 20,845 358,430 180,000 2008-06-17 $88.36 $80.00 42.9% 12.3% 52.2% 39.2% 43.2% 3.9% 0.8% 24.7M -374.0M -5.8M 0.47 15.94 N/A N/A 93,495 43,630 364,320 183,460 2008-06-18 $88.33 $80.00 44.1% 12.6% 52.2% 41.2% 43.9% 4.0% -0.3% 22.6M -347.8M -5.8M 0.69 15.94 N/A N/A 28,655 19,755 369,820 193,000 2008-06-19 $88.21 $80.00 40.8% 11.7% 50.2% 35.6% 41.0% 3.6% 2.9% 18.4M -321.6M -5.7M 0.48 18.90 N/A N/A 35,740 17,210 370,015 196,255 2008-06-20 $85.85 $82.00 41.7% 11.9% 50.9% 37.1% 41.9% 3.0% 1.9% 28.1M -115.0M -5.5M 0.87 21.99 N/A N/A 30,980 26,865 371,195 196,785 2008-06-23 $87.39 $82.00 41.1% 11.8% 51.3% 34.7% 41.3% 3.9% 4.3% 9.1M -119.5M -5.5M 0.27 22.45 N/A N/A 24,655 6,685 209,620 137,240 2008-06-24 $86.75 $84.00 41.6% 11.9% 51.3% 34.7% 41.9% 4.5% 3.7% 9.7M -96.8M -5.6M 0.81 26.28 N/A N/A 11,155 9,020 220,000 140,630 2008-06-25 $85.51 $84.00 38.7% 11.1% 49.8% 29.6% 39.2% 3.6% 3.9% 9.1M -43.6M -5.4M 0.46 34.54 N/A N/A 15,830 7,250 223,830 142,135 2008-06-26 $81.39 $84.00 42.7% 12.2% 52.6% 36.6% 42.8% 3.0% 2.6% 5.6M 92.9M -5.1M 0.88 34.35 N/A N/A 16,750 14,715 230,640 144,890 2008-06-27 $77.90 $84.00 45.4% 13.0% 54.4% 41.3% 44.7% 5.9% 5.8% 3.0M 202.5M -4.7M 0.59 31.36 N/A N/A 35,920 21,250 230,640 144,890 2008-06-30 $76.64 $82.00 48.7% 14.0% 52.7% 45.9% 48.3% 3.5% 2.6% 2.5M 228.7M -4.8M 0.51 34.47 N/A N/A 21,145 10,810 247,395 154,780
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