CME Options History — December 2008

In December 2008, CME traded between $34.52 and $44.66. ATM implied volatility averaged 88.1%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 24.9%. IV traded below realized volatility by 37.7% (HV 20d: 125.8%). Max pain ranged from $48.00 to $92.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.78.

Notable Days

2008-12-08: Highest Volume — 98,770 contracts
2008-12-05: Largest IV drop — 12.7% change
2008-12-01: Highest IV Rank — 83.1%
2008-12-01: Largest Expected Move — 33.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.11	$34.52	$44.66	$34.53	$41.62
Max Pain	$65.09	$48.00	$92.00	$70.00	$48.00
ATM IV	88.1%	70.1%	117.0%	117.0%	70.1%
Expected Move	24.9%	20.1%	33.5%	33.5%	20.1%
HV 20d	125.8%	91.4%	141.2%	136.3%	92.0%
HV 60d	126.2%	115.1%	132.9%	129.1%	115.1%
IV Rank	56.6%	38.1%	83.1%	83.1%	38.1%
IV Percentile	85.2%	73.8%	98.0%	98.0%	73.8%
Term Structure	-3.0%	-10.3%	4.1%	-10.3%	0.4%
VWIV	86.7%	71.5%	115.4%	115.4%	71.5%
Skew 25d	14.4%	7.1%	22.4%	22.4%	7.7%
Skew 10d	28.7%	13.5%	46.8%	40.0%	14.6%
Call IV 25d	80.3%	67.6%	106.9%	106.9%	67.6%
Put IV 25d	94.7%	75.4%	129.3%	129.3%	75.4%
Bid-Ask Spread %	53.01	14.64	66.74	51.23	14.64
Gamma HHI	0.07	0.03	0.11	0.04	0.10
Net GEX	1.2M	-434.9K	4.0M	-392.8K	2.2M
Net DEX	477.3M	197.2M	798.5M	765.5M	197.2M
Net VEX	-1.4M	-1.8M	-1.1M	-1.2M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.40	1.42	0.93	0.74
Total Volume	42,119.091	12,885	98,770	27,070	47,175
Total OI	582,490.682	432,960	662,720	633,755	453,670

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
2008-12-01	$34.53	$70.00	117.0%	33.5%	136.3%	83.1%	115.4%	22.4%	-10.3%	-392.8K	765.5M	-1.2M	0.93	51.23	N/A	N/A	14,005	13,065	335,725	298,030
2008-12-02	$34.52	$68.00	111.1%	31.9%	132.5%	77.8%	112.8%	19.2%	-8.4%	-434.9K	776.7M	-1.2M	0.98	43.61	N/A	N/A	23,685	23,195	338,305	298,860
2008-12-03	$36.46	$68.00	106.2%	30.5%	132.2%	73.3%	106.9%	16.8%	-7.0%	-257.6K	786.2M	-1.3M	0.87	42.26	N/A	N/A	15,270	13,315	343,125	303,830
2008-12-04	$35.49	$66.00	110.6%	31.7%	127.2%	77.3%	109.7%	17.3%	-7.9%	-308.7K	777.4M	-1.2M	0.80	43.09	N/A	N/A	15,100	12,115	346,370	306,405
2008-12-05	$38.91	$92.00	96.6%	26.7%	131.4%	64.7%	93.7%	21.0%	-4.3%	150.6K	798.5M	-1.4M	0.47	42.31	N/A	N/A	22,350	10,500	349,895	309,180
2008-12-08	$44.66	$90.00	95.4%	23.4%	141.2%	63.6%	78.0%	17.7%	-2.4%	1.7M	762.5M	-1.7M	0.53	61.42	N/A	N/A	64,670	34,100	351,755	310,965
2008-12-09	$43.58	$70.00	92.5%	25.1%	137.1%	61.0%	85.8%	18.0%	-5.9%	2.6M	446.9M	-1.8M	1.21	55.78	N/A	N/A	40,765	49,405	377,040	250,510
2008-12-10	$44.27	$74.00	86.2%	23.9%	137.0%	55.3%	85.2%	16.1%	-2.1%	2.3M	488.5M	-1.8M	0.67	57.47	N/A	N/A	19,900	13,350	376,410	264,470
2008-12-11	$42.74	$74.00	85.1%	24.4%	136.4%	54.3%	82.9%	16.2%	-4.0%	1.8M	502.1M	-1.7M	0.65	57.84	N/A	N/A	27,065	17,665	379,390	262,565
2008-12-12	$42.06	$70.00	86.2%	24.7%	136.5%	55.3%	85.0%	16.4%	-4.6%	1.5M	464.7M	-1.6M	0.59	50.21	N/A	N/A	29,755	17,705	380,945	251,650
2008-12-15	$40.68	$70.00	90.5%	26.0%	134.4%	59.2%	91.6%	15.0%	-5.6%	927.7K	477.8M	-1.5M	1.04	42.48	N/A	N/A	25,005	26,055	385,675	250,115
2008-12-16	$44.51	$66.00	84.4%	24.2%	133.2%	53.6%	84.4%	15.4%	-4.7%	3.7M	378.5M	-1.7M	0.79	57.98	N/A	N/A	31,935	25,160	399,410	259,565
2008-12-17	$44.60	$64.00	83.5%	24.0%	133.0%	52.9%	83.2%	13.5%	-4.7%	3.8M	357.2M	-1.7M	0.72	58.75	N/A	N/A	21,070	15,125	401,140	260,260
2008-12-18	$44.53	$62.00	80.0%	22.9%	127.9%	49.7%	81.8%	12.1%	-3.8%	4.0M	321.5M	-1.7M	0.79	50.62	N/A	N/A	23,610	18,755	404,340	253,605
2008-12-19	$42.65	$62.00	73.5%	21.1%	124.2%	43.9%	73.1%	11.0%	0.5%	1.3M	355.4M	-1.5M	0.75	60.95	N/A	N/A	29,700	22,350	407,435	250,195
2008-12-22	$38.76	$60.00	80.0%	22.9%	124.2%	49.7%	80.4%	13.7%	0.3%	288.4K	355.0M	-1.2M	1.42	59.14	N/A	N/A	18,940	26,800	263,300	169,660
2008-12-23	$37.08	$58.00	82.0%	23.5%	115.6%	50.7%	81.3%	10.8%	-2.0%	-82.4K	352.3M	-1.2M	0.60	60.59	N/A	N/A	17,715	10,550	269,465	171,800
2008-12-24	$37.49	$52.00	78.1%	22.4%	115.7%	47.1%	75.7%	11.7%	1.5%	110.9K	302.1M	-1.2M	0.40	65.10	N/A	N/A	14,700	5,850	277,405	161,835
2008-12-26	$36.42	$50.00	76.5%	21.9%	113.8%	45.3%	75.7%	10.4%	4.1%	-73.5K	303.1M	-1.1M	0.75	66.74	N/A	N/A	7,370	5,515	282,780	162,515
2008-12-29	$36.75	$50.00	78.0%	22.4%	113.9%	46.6%	78.0%	7.1%	1.7%	45.6K	296.0M	-1.1M	0.85	61.82	N/A	N/A	15,390	13,095	284,980	162,630
2008-12-30	$40.03	$48.00	73.5%	21.1%	91.4%	41.8%	75.1%	7.1%	2.4%	1.3M	234.5M	-1.2M	0.61	62.28	N/A	N/A	17,295	10,480	288,495	159,095
2008-12-31	$41.62	$48.00	70.1%	20.1%	92.0%	38.1%	71.5%	7.7%	0.4%	2.2M	197.2M	-1.3M	0.74	14.64	N/A	N/A	27,145	20,030	292,245	161,425