CME Options History — August 2008 In August 2008, CME traded between $64.45 and $71.53. ATM implied volatility averaged 48.1%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded below realized volatility by 25.1% (HV 20d: 73.2%). Max pain ranged from $70.00 to $74.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.79.
Notable Days 2008-08-15 : Highest Volume — 67,525 contracts2008-08-08 : Largest IV drop — 16.9% change2008-08-04 : Highest IV Rank — 69.2%2008-08-01 : Largest Expected Move — 16.9%Monthly Statistics Metric Avg Min Max Open Close Price $67.84 $64.45 $71.53 $66.59 $67.08 Max Pain $72.57 $70.00 $74.00 $70.00 $72.00 ATM IV 48.1% 41.9% 61.5% 58.8% 44.3% Expected Move 14.0% 12.0% 16.9% 16.9% 12.7% HV 20d 73.2% 57.4% 84.2% 82.7% 57.4% HV 60d 62.7% 59.7% 64.9% 59.7% 63.3% IV Rank 44.8% 33.5% 69.2% 64.2% 37.8% IV Percentile 82.1% 66.7% 96.0% 95.6% 73.4% Term Structure -0.1% -3.4% 3.7% -2.8% 3.0% VWIV 49.7% 42.9% 60.2% 60.2% 45.1% Skew 25d 4.6% 1.3% 6.9% 3.3% 4.4% Skew 10d 9.9% 3.7% 15.4% 7.1% 7.8% Call IV 25d 47.8% 40.4% 58.4% 58.4% 43.2% Put IV 25d 52.4% 45.0% 61.8% 61.8% 47.6% Bid-Ask Spread % 56.49 47.07 65.85 47.78 63.62 Gamma HHI 0.07 0.04 0.21 0.05 0.06 Net GEX 5.6M 1.7M 14.2M 3.7M 5.1M Net DEX 277.4M 49.9M 476.2M 287.9M 384.0M Net VEX -3.9M -4.2M -3.4M -4.2M -3.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.37 1.62 0.73 1.62 Total Volume 36,545 9,540 67,525 54,605 20,490 Total OI 531,213.571 438,470 590,580 525,720 538,205
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 2008-08-01 $66.59 $70.00 58.8% 16.9% 82.7% 64.2% 60.2% 3.3% -2.8% 3.7M 287.9M -4.2M 0.73 47.78 N/A N/A 31,615 22,990 328,445 197,275 2008-08-04 $64.45 $74.00 61.5% 16.2% 82.6% 69.2% 57.0% 4.4% -3.4% 1.7M 370.2M -3.9M 0.87 47.07 N/A N/A 21,450 18,685 340,250 201,105 2008-08-05 $67.70 $74.00 51.7% 14.9% 84.2% 51.3% 53.2% 5.7% -1.7% 4.2M 268.6M -4.1M 0.63 49.58 N/A N/A 19,555 12,375 346,005 207,315 2008-08-06 $68.55 $74.00 47.9% 14.4% 80.6% 44.4% 51.7% 6.3% -1.2% 6.5M 218.9M -4.1M 0.49 49.65 N/A N/A 22,110 10,895 350,565 208,560 2008-08-07 $65.70 $74.00 50.4% 15.1% 81.2% 48.9% 53.6% 6.1% -2.4% 2.3M 340.2M -3.8M 0.97 51.30 N/A N/A 11,025 10,640 354,465 209,855 2008-08-08 $68.43 $74.00 41.9% 13.8% 82.1% 33.5% 48.0% 6.4% -0.2% 5.5M 251.7M -3.9M 0.83 55.58 N/A N/A 19,475 16,190 355,715 211,550 2008-08-11 $70.04 $74.00 44.8% 13.8% 80.8% 38.7% 49.1% 6.5% -0.4% 8.7M 148.3M -4.1M 0.38 54.12 N/A N/A 28,605 10,745 359,515 214,030 2008-08-12 $67.53 $74.00 45.3% 14.5% 81.3% 39.6% 50.9% 5.7% -2.5% 5.4M 269.6M -3.8M 0.96 56.49 N/A N/A 15,280 14,690 364,015 214,415 2008-08-13 $67.70 $74.00 46.5% 14.3% 77.5% 41.8% 50.7% 6.2% -0.7% 5.5M 258.6M -3.8M 0.79 55.05 N/A N/A 22,450 17,685 367,490 216,030 2008-08-14 $68.78 $74.00 49.2% 14.1% 77.6% 46.8% 49.2% 5.9% -0.9% 6.2M 243.5M -3.8M 0.64 55.40 N/A N/A 19,535 12,435 368,450 218,710 2008-08-15 $71.53 $72.00 48.0% 13.8% 78.7% 44.5% 49.4% 6.9% -0.4% 14.2M 49.9M -4.1M 0.89 55.69 N/A N/A 35,775 31,750 371,575 219,005 2008-08-18 $67.33 $72.00 50.8% 14.6% 81.5% 49.6% 51.3% 1.3% -1.5% 4.8M 275.6M -3.7M 0.85 55.74 N/A N/A 26,960 23,035 275,260 163,210 2008-08-19 $67.31 $72.00 51.1% 14.7% 69.0% 50.3% 51.6% 3.6% -1.4% 4.6M 288.5M -3.8M 0.48 58.93 N/A N/A 17,095 8,135 288,035 174,345 2008-08-20 $68.40 $72.00 49.6% 14.2% 64.6% 47.5% 50.5% 4.7% -0.0% 5.3M 270.1M -3.9M 0.50 61.51 N/A N/A 8,855 4,410 296,830 179,150 2008-08-21 $68.42 $72.00 47.9% 13.7% 61.4% 44.4% 48.0% 3.9% 0.9% 5.4M 267.2M -3.9M 0.64 57.86 N/A N/A 5,830 3,710 299,800 180,140 2008-08-22 $71.44 $70.00 42.3% 12.1% 63.6% 34.2% 43.7% 3.3% 2.2% 8.3M 152.9M -4.2M 0.37 65.85 N/A N/A 35,560 13,090 302,445 181,780 2008-08-25 $68.13 $70.00 43.8% 12.6% 63.4% 36.9% 43.8% 1.9% 2.4% 6.2M 263.1M -3.8M 1.60 62.34 N/A N/A 15,100 24,215 307,550 183,635 2008-08-26 $64.49 $72.00 47.4% 13.6% 61.1% 43.6% 48.0% 2.5% 2.7% 2.5M 476.2M -3.4M 0.78 65.02 N/A N/A 30,330 23,660 308,350 197,985 2008-08-27 $66.10 $72.00 44.8% 12.8% 62.2% 38.7% 45.7% 3.6% 3.7% 4.2M 430.4M -3.6M 0.74 58.58 N/A N/A 25,950 19,140 318,125 206,760 2008-08-28 $68.90 $72.00 42.0% 12.0% 63.3% 33.7% 42.9% 4.6% 3.1% 7.3M 310.1M -3.9M 0.88 59.21 N/A N/A 19,140 16,785 322,110 207,430 2008-08-29 $67.08 $72.00 44.3% 12.7% 57.4% 37.8% 45.1% 4.4% 3.0% 5.1M 384.0M -3.8M 1.62 63.62 N/A N/A 7,820 12,670 325,660 212,545
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