CME Options History — September 2008 In September 2008, CME traded between $64.00 and $81.00. ATM implied volatility averaged 57.4%, placing in the 61.2% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 17.9% (HV 20d: 75.2%). Max pain ranged from $66.00 to $72.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.80.
Notable Days 2008-09-22 : Highest Volume — 134,420 contracts2008-09-29 : Largest IV spike — 37.1% change2008-09-29 : Highest IV Rank — 100.0%2008-09-29 : Largest Expected Move — 23.3%Monthly Statistics Metric Avg Min Max Open Close Price $70.62 $64.00 $81.00 $67.62 $74.30 Max Pain $68.38 $66.00 $72.00 $72.00 $72.00 ATM IV 57.4% 43.5% 81.3% 46.5% 78.4% Expected Move 16.3% 12.5% 23.3% 13.3% 22.5% HV 20d 75.2% 54.3% 130.3% 56.1% 130.3% HV 60d 71.1% 63.0% 93.3% 63.0% 93.3% IV Rank 61.2% 36.4% 100.0% 41.8% 95.1% IV Percentile 90.7% 70.2% 100.0% 79.0% 99.2% Term Structure -1.6% -7.8% 2.9% 0.8% -6.5% VWIV 57.1% 45.0% 74.7% 47.1% 74.7% Skew 25d 9.6% 1.1% 28.9% 5.2% 28.9% Skew 10d 23.4% 9.4% 42.3% 9.4% 41.7% Call IV 25d 52.8% 43.1% 71.7% 45.0% 59.0% Put IV 25d 62.5% 47.4% 87.9% 50.2% 87.9% Bid-Ask Spread % 27.93 12.50 63.91 63.91 41.99 Gamma HHI 0.06 0.04 0.14 0.06 0.04 Net GEX 7.7M 1.6M 30.0M 5.6M 6.8M Net DEX 128.1M -683.1M 505.2M 368.9M -96.6M Net VEX -4.3M -5.6M -3.7M -3.8M -5.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.17 1.44 0.81 0.56 Total Volume 56,432.857 33,635 134,420 33,635 36,935 Total OI 540,270.952 387,680 618,170 541,575 489,060
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 2008-09-02 $67.62 $72.00 46.5% 13.3% 56.1% 41.8% 47.1% 5.2% 0.8% 5.6M 368.9M -3.8M 0.81 63.91 N/A N/A 18,610 15,025 326,930 214,645 2008-09-03 $69.57 $72.00 43.5% 12.5% 54.3% 36.4% 45.0% 4.3% 2.7% 8.4M 284.6M -3.9M 0.59 60.42 N/A N/A 24,765 14,610 331,830 219,630 2008-09-04 $65.53 $72.00 49.7% 14.3% 58.2% 47.7% 50.4% 6.3% 0.2% 3.4M 447.4M -3.7M 1.32 58.78 N/A N/A 21,595 28,495 338,245 221,775 2008-09-05 $65.79 $66.00 47.7% 14.0% 56.3% 44.0% 49.5% 8.6% 2.1% 4.1M 505.2M -3.7M 1.12 17.86 N/A N/A 28,495 32,050 343,775 232,800 2008-09-08 $70.17 $66.00 49.1% 13.5% 59.1% 46.5% 47.0% 8.7% 2.1% 10.7M 284.4M -4.1M 0.71 14.93 N/A N/A 43,970 31,165 346,545 238,245 2008-09-09 $65.24 $66.00 57.2% 15.3% 64.0% 61.3% 53.2% 8.7% 0.1% 3.6M 366.4M -3.8M 1.44 15.71 N/A N/A 29,880 43,055 356,475 225,570 2008-09-10 $66.44 $66.00 58.4% 15.8% 63.2% 63.5% 55.3% 9.0% -0.9% 5.7M 293.5M -4.0M 0.92 14.81 N/A N/A 20,200 18,510 363,995 225,705 2008-09-11 $68.40 $66.00 54.4% 15.6% 64.1% 56.2% 56.1% 12.1% -0.3% 8.1M 199.3M -4.1M 0.86 18.21 N/A N/A 27,215 23,320 364,185 226,420 2008-09-12 $70.05 $66.00 52.4% 15.0% 64.4% 52.7% 53.6% 11.1% -0.2% 10.0M 117.8M -4.2M 0.79 12.50 N/A N/A 27,230 21,380 365,065 229,815 2008-09-15 $67.36 $66.00 61.4% 17.6% 64.3% 68.9% 61.6% 11.5% -4.4% 4.6M 257.7M -4.0M 0.90 16.23 N/A N/A 21,620 19,400 369,225 234,550 2008-09-16 $68.85 $66.00 56.2% 16.1% 61.0% 59.4% 56.0% 11.2% 0.6% 6.2M 188.2M -4.1M 1.11 20.60 N/A N/A 18,825 20,860 368,475 235,335 2008-09-17 $64.34 $66.00 67.3% 19.3% 65.8% 79.8% 67.0% 7.9% -5.9% 1.6M 370.1M -3.9M 0.93 29.85 N/A N/A 24,570 22,950 371,790 237,200 2008-09-18 $72.00 $66.00 52.5% 15.1% 77.3% 52.8% 54.3% 13.0% 2.9% 15.8M -16.8M -4.2M 0.79 29.75 N/A N/A 32,365 25,565 373,620 237,935 2008-09-19 $81.00 $66.00 48.1% 13.8% 87.4% 44.7% 45.7% 10.5% -4.1% 30.0M -683.1M -4.5M 0.48 39.56 N/A N/A 74,545 35,540 376,785 241,385 2008-09-22 $79.20 $66.00 54.9% 15.7% 87.0% 57.1% 62.4% 11.7% -4.5% 6.3M -137.9M -4.6M 0.17 20.85 N/A N/A 114,730 19,690 225,975 161,705 2008-09-23 $74.13 $70.00 61.8% 17.7% 88.8% 69.7% 60.5% 8.2% -6.8% 5.0M 113.8M -4.7M 0.78 17.46 N/A N/A 43,300 33,950 239,455 180,745 2008-09-24 $73.35 $70.00 66.5% 19.1% 86.2% 78.4% 66.2% 7.8% -7.8% 5.1M 74.2M -4.9M 0.57 21.14 N/A N/A 26,180 14,970 255,000 186,035 2008-09-25 $75.77 $72.00 58.5% 16.8% 86.5% 63.7% 59.9% 6.4% -2.2% 6.6M -22.1M -5.1M 0.78 21.40 N/A N/A 20,340 15,885 261,790 190,555 2008-09-26 $79.80 $72.00 59.3% 17.0% 87.1% 65.1% 60.6% 10.2% -1.8% 8.5M -189.6M -5.6M 0.48 26.03 N/A N/A 27,865 13,375 266,790 195,330 2008-09-29 $64.00 $72.00 81.3% 23.3% 118.6% 100.0% 73.1% 1.1% 1.6% 5.5M -35.5M -4.8M 0.74 24.56 N/A N/A 29,930 22,130 273,950 201,350 2008-09-30 $74.30 $72.00 78.4% 22.5% 130.3% 95.1% 74.7% 28.9% -6.5% 6.8M -96.6M -5.6M 0.56 41.99 N/A N/A 23,625 13,310 281,770 207,290
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