CME Options History — January 2009

In January 2009, CME traded between $31.81 and $42.52. ATM implied volatility averaged 76.8%, placing in the 44.0% IV rank vs the trailing year. The 30-day expected move averaged 22.2%. IV traded below realized volatility by 0.3% (HV 20d: 77.1%). Max pain ranged from $34.00 to $48.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2009-01-15: Highest Volume — 79,045 contracts
  • 2009-01-20: Largest IV spike — 18.2% change
  • 2009-01-20: Highest IV Rank — 55.8%
  • 2009-01-20: Largest Expected Move — 25.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.42$31.81$42.52$42.52$34.78
Max Pain$38.20$34.00$48.00$48.00$35.00
ATM IV76.8%65.1%89.2%68.6%75.3%
Expected Move22.2%19.7%25.6%19.7%21.6%
HV 20d77.1%61.0%90.6%90.6%82.9%
HV 60d108.6%104.7%115.3%115.3%105.8%
IV Rank44.0%32.9%55.8%36.2%42.6%
IV Percentile75.9%67.5%88.1%72.6%71.0%
Term Structure-1.6%-4.3%1.3%1.3%-4.3%
VWIV76.7%69.1%88.4%69.3%73.6%
Skew 25d11.7%8.4%16.6%9.8%10.9%
Skew 10d21.9%15.9%32.5%18.9%19.9%
Call IV 25d71.4%63.1%83.1%63.7%69.9%
Put IV 25d83.0%73.5%95.3%73.5%80.8%
Bid-Ask Spread %15.926.1271.5471.5413.33
Gamma HHI0.070.040.180.100.05
Net GEX-125.0K-4.0M2.6M2.6M640.3K
Net DEX204.0M114.4M342.9M184.8M156.8M
Net VEX-1.2M-1.3M-1.0M-1.3M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.481.620.540.90
Total Volume39,054.7524,70579,04537,08024,705
Total OI407,948252,815541,735456,845341,105

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$42.52$48.0068.6%19.7%90.6%36.2%69.3%9.8%1.3%2.6M184.8M-1.3M0.5471.54N/AN/A24,01013,070293,470163,375
2009-01-05$42.07$40.0078.4%21.9%89.9%45.6%74.2%16.6%-2.6%2.2M186.5M-1.3M0.826.12N/AN/A26,17021,520294,385165,465
2009-01-06$40.60$40.0080.8%22.2%85.5%47.8%76.6%15.0%-2.7%1.1M218.9M-1.3M0.918.35N/AN/A27,77025,180299,065172,910
2009-01-07$39.74$40.0077.3%22.2%69.2%44.5%75.1%14.3%-1.4%804.0K228.2M-1.3M0.967.12N/AN/A15,53014,925305,615176,470
2009-01-08$38.44$40.0075.8%22.4%69.5%43.1%76.9%13.1%-0.8%58.8K251.0M-1.3M0.7611.30N/AN/A25,44519,370308,730180,105
2009-01-09$37.65$40.0065.1%22.0%69.2%32.9%76.4%12.3%-1.3%-725.5K266.2M-1.2M0.9810.39N/AN/A13,05012,750314,405184,675
2009-01-12$37.84$40.0073.2%21.8%68.6%40.6%77.2%13.3%-0.7%-1.1M263.7M-1.2M1.1616.10N/AN/A16,61519,285318,630187,740
2009-01-13$37.00$40.0075.0%22.0%68.7%42.3%74.8%10.4%-0.9%-2.2M294.4M-1.2M0.6615.48N/AN/A22,37014,755323,720195,415
2009-01-14$35.16$39.0078.0%22.8%69.9%45.2%77.1%11.6%-1.1%-3.2M327.8M-1.1M0.8616.58N/AN/A26,27522,725327,690195,925
2009-01-15$33.55$39.0083.0%23.8%61.0%49.9%81.9%11.5%-1.3%-4.0M342.9M-1.0M0.9617.56N/AN/A40,34538,700336,585196,040
2009-01-16$34.90$38.0075.5%21.6%63.7%42.8%75.5%8.4%0.8%-1.1M283.7M-1.1M0.7121.78N/AN/A33,20523,665347,085194,650
2009-01-20$31.81$37.0089.2%25.6%69.6%55.8%88.4%12.2%-3.1%-105.0K140.3M-1.0M1.2112.90N/AN/A11,83014,320148,065104,750
2009-01-21$36.12$37.0073.6%21.1%85.4%41.0%74.1%10.7%1.0%400.0K114.4M-1.2M0.4918.11N/AN/A21,10510,330154,230111,440
2009-01-22$33.67$36.0080.9%23.2%82.4%47.9%80.6%10.4%-1.1%231.4K125.5M-1.2M0.9013.55N/AN/A13,60012,180162,565115,045
2009-01-23$33.75$36.0082.1%23.5%81.2%49.0%82.8%11.2%-1.6%136.2K131.8M-1.2M0.849.95N/AN/A17,86515,095165,140119,905
2009-01-26$33.32$35.0081.3%23.3%81.0%48.3%80.0%10.3%-2.9%-13.7K138.0M-1.2M0.7811.03N/AN/A17,12013,275168,715124,930
2009-01-27$33.73$35.0078.0%22.4%80.8%45.2%78.3%9.5%-4.2%171.6K132.9M-1.2M1.6210.15N/AN/A11,80019,110175,800128,980
2009-01-28$37.02$34.0069.7%20.0%87.8%37.3%69.1%12.3%-3.0%1.1M129.3M-1.3M0.5614.68N/AN/A34,88019,575178,355143,515
2009-01-29$34.73$35.0074.1%21.3%84.5%41.5%72.3%9.7%-2.4%420.0K161.7M-1.2M0.4812.50N/AN/A18,6358,940185,855148,415
2009-01-30$34.78$35.0075.3%21.6%82.9%42.6%73.6%10.9%-4.3%640.3K156.8M-1.2M0.9013.33N/AN/A13,00011,705191,545149,560