CME Options History — November 2008

In November 2008, CME traded between $31.31 and $63.87. ATM implied volatility averaged 99.1%, placing in the 72.9% IV rank vs the trailing year. The 30-day expected move averaged 27.9%. IV traded below realized volatility by 16.2% (HV 20d: 115.2%). Max pain ranged from $64.00 to $74.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.85.

Notable Days

2008-11-24: Highest Volume — 109,610 contracts
2008-11-10: Largest IV spike — 25.8% change
2008-11-20: Highest IV Rank — 100.0%
2008-11-20: Largest Expected Move — 38.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.99	$31.31	$63.87	$60.24	$42.39
Max Pain	$69.26	$64.00	$74.00	$64.00	$70.00
ATM IV	99.1%	67.0%	135.8%	77.5%	87.4%
Expected Move	27.9%	19.2%	38.9%	22.2%	25.1%
HV 20d	115.2%	108.3%	127.6%	114.9%	119.2%
HV 60d	115.4%	107.6%	123.1%	107.6%	122.6%
IV Rank	72.9%	43.2%	100.0%	53.9%	56.4%
IV Percentile	95.2%	87.3%	100.0%	91.3%	90.1%
Term Structure	-4.9%	-10.3%	-1.0%	-3.9%	-2.0%
VWIV	97.4%	70.1%	131.5%	77.8%	91.4%
Skew 25d	17.3%	13.7%	24.2%	13.7%	18.6%
Skew 10d	35.4%	23.6%	49.4%	31.4%	37.7%
Call IV 25d	89.3%	61.7%	125.4%	72.1%	79.6%
Put IV 25d	106.7%	75.4%	142.1%	85.8%	98.2%
Bid-Ask Spread %	42.36	32.87	55.82	39.78	55.82
Gamma HHI	0.08	0.04	0.49	0.04	0.04
Net GEX	-778.1K	-4.0M	3.1M	1.6M	281.3K
Net DEX	716.1M	445.6M	821.9M	554.4M	821.9M
Net VEX	-2.0M	-3.7M	-1.2M	-3.4M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.47	2.38	0.68	1.08
Total Volume	52,792.105	11,695	109,610	41,055	11,695
Total OI	651,153.947	541,685	740,330	607,540	630,115

Daily Data (19 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
2008-11-03	$60.24	$64.00	77.5%	22.2%	114.9%	53.9%	77.8%	13.7%	-3.9%	1.6M	554.4M	-3.4M	0.68	39.78	N/A	N/A	24,490	16,565	347,285	260,255
2008-11-04	$63.87	$64.00	67.0%	19.2%	117.8%	43.2%	70.1%	13.7%	-1.0%	3.1M	445.6M	-3.7M	0.63	40.78	N/A	N/A	26,310	16,490	350,860	263,195
2008-11-05	$56.41	$64.00	78.3%	22.4%	123.6%	54.7%	76.7%	14.0%	-3.0%	217.3K	659.1M	-2.9M	0.70	48.02	N/A	N/A	17,860	12,425	355,465	265,125
2008-11-06	$51.93	$64.00	90.4%	25.9%	118.7%	67.1%	91.8%	15.0%	-6.9%	-867.2K	737.8M	-2.5M	1.06	43.55	N/A	N/A	22,545	24,010	357,960	265,330
2008-11-07	$53.81	$74.00	81.2%	23.2%	112.3%	57.7%	82.9%	17.3%	-2.7%	-372.8K	712.1M	-2.7M	0.78	32.87	N/A	N/A	18,400	14,295	363,470	269,700
2008-11-10	$48.59	$74.00	102.1%	25.7%	113.3%	79.1%	88.2%	16.7%	-3.5%	-1.6M	777.0M	-2.2M	0.83	34.49	N/A	N/A	31,060	25,750	362,765	270,700
2008-11-11	$47.28	$74.00	97.5%	25.5%	113.3%	74.4%	90.0%	16.6%	-4.9%	-1.8M	787.9M	-2.0M	0.97	34.40	N/A	N/A	31,980	30,900	370,165	274,575
2008-11-12	$44.93	$72.00	113.5%	29.8%	110.1%	90.7%	102.2%	18.4%	-7.8%	-1.5M	767.5M	-2.0M	0.71	36.01	N/A	N/A	23,575	16,735	376,295	276,215
2008-11-13	$45.04	$72.00	100.2%	28.7%	108.3%	77.2%	103.3%	23.4%	-7.8%	-1.5M	778.1M	-1.9M	0.70	42.17	N/A	N/A	56,510	39,660	384,100	276,855
2008-11-14	$41.81	$72.00	103.1%	29.6%	109.7%	80.1%	100.1%	19.8%	-5.9%	-1.3M	762.3M	-1.7M	0.72	41.11	N/A	N/A	27,910	19,965	398,065	283,525
2008-11-17	$37.98	$70.00	114.9%	33.0%	112.1%	92.2%	112.3%	16.4%	-10.3%	-1.3M	750.1M	-1.5M	0.52	38.08	N/A	N/A	35,460	18,325	407,390	283,795
2008-11-18	$37.38	$70.00	115.5%	33.1%	110.0%	92.7%	115.7%	15.0%	-7.3%	-1.4M	754.2M	-1.4M	0.98	42.56	N/A	N/A	36,025	35,315	415,205	285,985
2008-11-19	$34.18	$68.00	119.8%	34.4%	110.8%	97.2%	116.1%	13.7%	-8.5%	-2.5M	745.4M	-1.3M	0.58	43.08	N/A	N/A	28,780	16,815	428,890	299,055
2008-11-20	$31.31	$68.00	135.8%	38.9%	110.5%	100.0%	131.5%	16.8%	-8.2%	-1.6M	692.4M	-1.2M	0.98	49.44	N/A	N/A	38,820	38,045	438,085	291,745
2008-11-21	$35.16	$66.00	117.2%	33.6%	118.3%	83.3%	116.5%	24.2%	-2.7%	-4.0M	688.4M	-1.4M	0.82	51.74	N/A	N/A	40,790	33,325	449,755	290,575
2008-11-24	$40.14	$66.00	96.9%	27.8%	127.6%	65.0%	99.1%	21.6%	-1.2%	-274.6K	557.7M	-1.6M	2.38	44.30	N/A	N/A	32,405	77,205	316,865	224,820
2008-11-25	$39.99	$72.00	95.8%	27.5%	118.1%	64.0%	96.0%	17.4%	-3.6%	-57.8K	801.9M	-1.6M	0.66	40.58	N/A	N/A	19,800	13,000	325,295	290,185
2008-11-26	$42.35	$72.00	88.0%	25.2%	120.6%	56.9%	88.6%	17.1%	-1.1%	157.2K	812.2M	-1.7M	0.47	46.10	N/A	N/A	20,275	9,535	327,905	294,355
2008-11-28	$42.39	$70.00	87.4%	25.1%	119.2%	56.4%	91.4%	18.6%	-2.0%	281.3K	821.9M	-1.6M	1.08	55.82	N/A	N/A	5,620	6,075	334,240	295,875