CME Options History — July 2008 In July 2008, CME traded between $59.17 and $78.12. ATM implied volatility averaged 57.1%, placing in the 61.1% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 3.7% (HV 20d: 60.8%). Max pain ranged from $66.00 to $82.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.62.
Notable Days 2008-07-01 : Highest Volume — 106,130 contracts2008-07-22 : Largest IV drop — 33.2% change2008-07-14 : Highest IV Rank — 86.6%2008-07-14 : Largest Expected Move — 20.4%Monthly Statistics Metric Avg Min Max Open Close Price $68.64 $59.17 $78.12 $71.88 $72.03 Max Pain $71.64 $66.00 $82.00 $82.00 $70.00 ATM IV 57.1% 45.9% 71.1% 51.2% 53.2% Expected Move 16.3% 13.2% 20.4% 14.7% 15.3% HV 20d 60.8% 46.9% 80.7% 56.3% 77.8% HV 60d 50.2% 44.9% 58.1% 44.9% 58.1% IV Rank 61.1% 40.8% 86.6% 50.3% 54.1% IV Percentile 96.2% 84.5% 99.6% 98.4% 94.8% Term Structure -3.4% -12.6% 2.5% 1.2% -0.4% VWIV 56.9% 48.5% 69.7% 51.0% 54.1% Skew 25d 5.6% 1.6% 13.3% 3.9% 3.7% Skew 10d 9.8% 0.8% 23.1% 4.5% 7.1% Call IV 25d 54.5% 43.9% 68.9% 49.8% 52.2% Put IV 25d 60.1% 50.7% 76.8% 53.7% 55.9% Bid-Ask Spread % 39.96 29.12 51.14 36.95 51.14 Gamma HHI 0.06 0.04 0.09 0.06 0.07 Net GEX 5.6M -1.1M 15.3M -1.1M 9.9M Net DEX 248.3M -282.5M 573.6M 418.0M 36.3M Net VEX -4.3M -5.4M -2.2M -4.1M -4.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.62 0.39 1.33 0.54 1.33 Total Volume 58,575.227 23,750 106,130 106,130 23,750 Total OI 493,413.864 403,445 562,140 412,540 523,345
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 2008-07-01 $71.88 $82.00 51.2% 14.7% 56.3% 50.3% 51.0% 3.9% 1.2% -1.1M 418.0M -4.1M 0.54 36.95 N/A N/A 68,820 37,310 253,705 158,835 2008-07-02 $70.22 $80.00 49.7% 14.2% 53.3% 47.6% 49.9% 2.2% 2.2% 232.5K 411.4M -4.3M 0.45 39.08 N/A N/A 34,880 15,780 279,495 164,435 2008-07-03 $69.17 $80.00 50.1% 14.4% 47.3% 48.5% 50.0% 1.7% 2.5% -92.9K 440.3M -4.4M 0.47 32.35 N/A N/A 28,970 13,640 292,265 171,055 2008-07-07 $66.86 $76.00 59.5% 16.0% 47.0% 65.5% 55.8% 2.6% -3.5% 22.4K 502.3M -4.0M 0.65 41.12 N/A N/A 34,805 22,590 302,350 171,545 2008-07-08 $68.50 $76.00 52.9% 15.1% 48.1% 53.6% 52.5% 7.4% -3.7% 1.8M 475.6M -4.1M 0.65 32.06 N/A N/A 40,560 26,395 315,435 173,105 2008-07-09 $64.15 $74.00 62.0% 16.8% 52.3% 70.1% 58.0% 4.5% -5.0% 1.4M 519.2M -3.7M 0.68 38.36 N/A N/A 35,615 24,205 325,395 173,675 2008-07-10 $61.94 $72.00 62.7% 18.0% 53.1% 71.4% 62.2% 6.6% -5.8% 466.1K 573.6M -3.5M 0.54 37.73 N/A N/A 52,290 28,195 334,755 179,355 2008-07-11 $61.30 $70.00 67.5% 19.4% 51.2% 80.2% 66.5% 8.0% -9.3% 1.6M 537.8M -3.5M 0.60 37.54 N/A N/A 48,545 29,295 349,380 180,905 2008-07-14 $59.17 $70.00 71.1% 20.4% 46.9% 86.6% 69.7% 5.1% -10.6% 1.9M 381.5M -2.2M 0.58 30.38 N/A N/A 33,290 19,270 281,765 121,680 2008-07-15 $61.71 $70.00 68.9% 19.8% 50.5% 82.7% 69.4% 10.8% -8.9% 2.7M 499.1M -3.6M 0.62 29.12 N/A N/A 53,235 33,115 359,685 182,875 2008-07-16 $66.20 $70.00 63.1% 18.1% 54.0% 72.1% 64.1% 12.0% -4.7% 5.8M 318.3M -4.1M 0.56 31.99 N/A N/A 37,395 21,115 368,315 186,255 2008-07-17 $66.96 $68.00 62.0% 17.8% 54.6% 70.1% 61.3% 8.9% -6.1% 7.9M 280.3M -4.2M 0.44 35.63 N/A N/A 39,200 17,380 374,370 187,065 2008-07-18 $66.53 $68.00 58.5% 16.8% 54.5% 63.8% 58.3% 9.4% -5.1% 5.7M 301.0M -4.0M 0.75 40.44 N/A N/A 29,020 21,680 375,380 186,760 2008-07-21 $65.11 $68.00 68.8% 19.7% 54.3% 82.4% 68.2% 13.3% -12.6% 3.4M 274.9M -3.8M 0.66 42.60 N/A N/A 44,050 29,185 268,575 151,840 2008-07-22 $73.25 $66.00 45.9% 13.2% 71.1% 40.8% 48.5% 6.8% 0.1% 10.1M 4.7M -4.7M 0.45 47.93 N/A N/A 50,470 22,515 292,965 169,135 2008-07-23 $78.12 $68.00 48.9% 14.0% 75.7% 46.2% 49.6% 4.5% -1.0% 15.3M -282.5M -5.4M 0.39 43.37 N/A N/A 60,915 23,610 303,950 173,230 2008-07-24 $73.54 $68.00 52.2% 15.0% 78.2% 52.2% 52.6% 2.5% -2.3% 11.1M -68.5M -5.2M 0.66 46.55 N/A N/A 30,815 20,325 307,530 181,490 2008-07-25 $73.77 $70.00 51.8% 14.8% 76.6% 51.5% 52.5% 2.2% -1.1% 11.3M -75.9M -5.2M 0.58 38.60 N/A N/A 20,100 11,725 312,810 186,480 2008-07-28 $70.21 $70.00 52.6% 15.1% 77.0% 52.9% 53.6% 2.8% 0.2% 7.6M 104.9M -4.8M 0.94 48.78 N/A N/A 15,150 14,170 315,730 189,040 2008-07-29 $74.84 $70.00 51.0% 14.6% 80.7% 50.1% 51.7% 2.4% -0.5% 12.7M -92.4M -5.1M 0.46 46.74 N/A N/A 25,010 11,495 319,170 192,270 2008-07-30 $74.66 $70.00 52.0% 14.9% 77.2% 51.9% 52.6% 1.6% -0.3% 12.9M -97.5M -5.1M 0.54 50.67 N/A N/A 25,110 13,665 324,465 193,240 2008-07-31 $72.03 $70.00 53.2% 15.3% 77.8% 54.1% 54.1% 3.7% -0.4% 9.9M 36.3M -4.9M 1.33 51.14 N/A N/A 10,190 13,560 327,885 195,460
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