CME Options History — October 2008 In October 2008, CME traded between $46.64 and $82.29. ATM implied volatility averaged 91.5%, placing in the 78.1% IV rank vs the trailing year. The 30-day expected move averaged 24.9%. IV traded below realized volatility by 44.7% (HV 20d: 136.2%). Max pain ranged from $64.00 to $84.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.72.
Notable Days 2008-10-07 : Highest Volume — 86,005 contracts2008-10-09 : Largest IV spike — 42.9% change2008-10-02 : Highest IV Rank — 100.0%2008-10-27 : Largest Expected Move — 34.6%Monthly Statistics Metric Avg Min Max Open Close Price $68.15 $46.64 $82.29 $79.55 $56.43 Max Pain $75.30 $64.00 $84.00 $72.00 $64.00 ATM IV 91.5% 70.1% 122.6% 70.8% 81.9% Expected Move 24.9% 20.1% 34.6% 20.3% 23.5% HV 20d 136.2% 118.5% 149.7% 132.0% 119.8% HV 60d 100.7% 94.0% 107.5% 94.2% 107.1% IV Rank 78.1% 46.4% 100.0% 81.9% 58.4% IV Percentile 98.0% 93.3% 100.0% 98.4% 93.7% Term Structure -5.5% -13.1% -1.1% -5.5% -2.1% VWIV 86.6% 69.3% 114.1% 75.0% 81.5% Skew 25d 19.8% 8.4% 29.1% 14.6% 17.1% Skew 10d 39.8% 18.7% 58.9% 31.5% 36.2% Call IV 25d 77.7% 62.3% 107.6% 65.2% 74.1% Put IV 25d 97.5% 79.9% 128.6% 79.9% 91.2% Bid-Ask Spread % 23.04 9.83 42.88 26.98 42.88 Gamma HHI 0.04 0.03 0.06 0.05 0.04 Net GEX 4.4M -857.0K 13.3M 8.3M 479.4K Net DEX 210.5M -386.8M 701.6M -199.1M 628.4M Net VEX -4.9M -6.8M -2.5M -6.0M -3.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.46 1.10 0.59 0.66 Total Volume 49,146.304 26,285 86,005 32,490 40,320 Total OI 558,793.261 495,415 630,705 503,380 598,975
Daily Data (23 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 2008-10-01 $79.55 $72.00 70.8% 20.3% 132.0% 81.9% 75.0% 14.6% -5.5% 8.3M -199.1M -6.0M 0.59 26.98 N/A N/A 20,405 12,085 288,745 214,635 2008-10-02 $74.73 $72.00 81.4% 23.3% 132.2% 100.0% 81.5% 8.4% -7.6% 6.1M 13.0M -5.7M 1.10 23.93 N/A N/A 12,875 14,135 292,080 218,280 2008-10-03 $72.46 $72.00 82.9% 23.8% 132.9% 100.0% 81.0% 11.7% -6.0% 5.0M 107.2M -5.5M 0.46 30.18 N/A N/A 26,830 12,435 292,960 220,440 2008-10-06 $80.77 $76.00 85.1% 22.4% 136.4% 100.0% 79.5% 20.0% -7.7% 9.6M -287.2M -6.3M 0.66 14.83 N/A N/A 35,890 23,565 300,220 221,735 2008-10-07 $79.20 $76.00 87.6% 23.2% 133.5% 100.0% 80.2% 17.4% -6.5% 9.5M -292.3M -6.4M 0.79 11.54 N/A N/A 48,010 37,995 306,545 227,575 2008-10-08 $81.13 $84.00 85.8% 23.0% 133.6% 97.1% 81.4% 22.1% -9.2% 10.1M -312.7M -6.5M 0.82 9.83 N/A N/A 26,250 21,595 318,080 240,970 2008-10-09 $71.08 $84.00 122.6% 28.3% 142.5% 100.0% 95.5% 22.8% -7.3% 4.0M 178.7M -5.6M 0.53 15.26 N/A N/A 43,390 23,110 319,875 247,565 2008-10-10 $78.62 $84.00 103.9% 26.9% 146.6% 81.0% 94.9% 26.5% -8.3% 9.2M -274.6M -6.8M 0.66 15.54 N/A N/A 38,280 25,195 330,235 252,095 2008-10-13 $82.29 $82.00 92.4% 22.0% 146.3% 69.2% 80.5% 24.6% -2.1% 13.3M -386.8M -6.6M 0.55 14.21 N/A N/A 33,570 18,490 335,880 254,275 2008-10-14 $79.68 $82.00 85.8% 21.0% 146.9% 62.4% 75.7% 23.5% -3.7% 13.0M -202.0M -6.1M 0.99 13.59 N/A N/A 20,020 19,820 345,485 259,830 2008-10-15 $71.97 $80.00 111.1% 24.5% 149.7% 88.3% 87.9% 20.7% -4.5% 3.3M 184.6M -5.5M 0.94 17.12 N/A N/A 29,985 28,125 339,430 260,040 2008-10-16 $74.67 $80.00 81.7% 23.4% 144.9% 58.2% 81.8% 29.1% -3.3% 5.9M 130.4M -5.7M 0.74 12.63 N/A N/A 28,975 21,380 353,015 275,005 2008-10-17 $73.04 $80.00 76.9% 22.0% 138.4% 53.3% 77.4% 20.8% -2.9% 2.8M 237.1M -5.3M 0.92 17.01 N/A N/A 26,580 24,485 355,130 275,575 2008-10-20 $72.06 $80.00 70.1% 20.1% 138.3% 46.4% 69.3% 18.7% -1.1% 2.6M 332.6M -4.8M 0.68 17.86 N/A N/A 15,685 10,600 276,200 219,215 2008-10-21 $65.74 $78.00 77.3% 22.2% 140.1% 53.7% 76.9% 17.6% -2.0% 647.5K 495.6M -4.2M 0.66 22.95 N/A N/A 26,300 17,445 280,750 223,020 2008-10-22 $60.83 $76.00 88.8% 25.5% 142.4% 65.5% 85.4% 19.3% -1.4% 306.7K 556.7M -4.0M 0.61 27.80 N/A N/A 22,180 13,560 292,015 229,625 2008-10-23 $55.53 $74.00 96.4% 27.6% 144.3% 73.2% 95.0% 20.5% -1.4% -204.9K 626.7M -3.5M 0.77 25.42 N/A N/A 42,670 33,005 298,150 233,235 2008-10-24 $50.24 $70.00 108.7% 31.2% 145.0% 85.8% 106.6% 24.8% -7.8% -794.3K 691.8M -2.9M 0.89 33.89 N/A N/A 30,970 27,670 305,395 241,405 2008-10-27 $46.64 $68.00 120.8% 34.6% 126.7% 98.2% 114.1% 21.0% -13.1% -857.0K 701.6M -2.5M 0.60 33.79 N/A N/A 19,805 11,900 315,475 246,765 2008-10-28 $52.73 $68.00 104.8% 30.1% 122.4% 81.9% 103.9% 23.8% -8.3% -375.4K 642.2M -3.1M 0.80 31.97 N/A N/A 31,915 25,605 321,880 247,690 2008-10-29 $53.00 $66.00 99.9% 28.6% 118.5% 76.8% 98.6% 13.5% -8.9% 61.0K 629.2M -3.1M 0.51 32.56 N/A N/A 35,630 18,125 332,985 250,425 2008-10-30 $55.13 $64.00 87.2% 25.0% 119.2% 63.9% 88.2% 16.6% -4.7% 175.6K 639.5M -3.1M 0.56 38.05 N/A N/A 21,475 12,030 338,855 254,485 2008-10-31 $56.43 $64.00 81.9% 23.5% 119.8% 58.4% 81.5% 17.1% -2.1% 479.4K 628.4M -3.2M 0.66 42.88 N/A N/A 24,345 15,975 342,755 256,220
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