CME Options History — February 2009

In February 2009, CME traded between $33.65 and $38.61. ATM implied volatility averaged 67.9%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded below realized volatility by 9.3% (HV 20d: 77.2%). Max pain ranged from $35.00 to $44.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.69.

Notable Days

2009-02-06: Highest Volume — 65,295 contracts
2009-02-11: Largest IV drop — 16.4% change
2009-02-02: Highest IV Rank — 48.5%
2009-02-02: Largest Expected Move — 23.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.19	$33.65	$38.61	$33.65	$36.48
Max Pain	$39.79	$35.00	$44.00	$35.00	$39.00
ATM IV	67.9%	60.7%	81.6%	81.6%	64.0%
Expected Move	19.6%	17.6%	23.4%	23.4%	18.4%
HV 20d	77.2%	55.1%	88.2%	82.5%	55.1%
HV 60d	95.9%	77.8%	104.9%	104.9%	77.8%
IV Rank	35.5%	28.7%	48.5%	48.5%	31.5%
IV Percentile	63.7%	56.0%	80.2%	80.2%	57.9%
Term Structure	0.0%	-6.0%	2.9%	-6.0%	0.8%
VWIV	68.4%	61.7%	80.8%	80.8%	64.2%
Skew 25d	10.6%	7.4%	11.8%	10.0%	11.6%
Skew 10d	18.8%	11.7%	22.0%	16.6%	19.9%
Call IV 25d	63.0%	56.2%	77.2%	77.2%	57.3%
Put IV 25d	73.6%	67.3%	87.2%	87.2%	68.9%
Bid-Ask Spread %	33.27	11.48	53.59	11.48	53.59
Gamma HHI	0.07	0.05	0.11	0.05	0.06
Net GEX	1.7M	80.5K	5.7M	258.1K	1.2M
Net DEX	123.2M	34.3M	173.4M	173.4M	125.6M
Net VEX	-1.3M	-1.4M	-1.1M	-1.2M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.43	0.98	0.71	0.98
Total Volume	41,899.211	17,115	65,295	53,595	17,115
Total OI	397,925.526	324,035	452,570	348,770	384,605

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
2009-02-02	$33.65	$35.00	81.6%	23.4%	82.5%	48.5%	80.8%	10.0%	-6.0%	258.1K	173.4M	-1.2M	0.71	11.48	N/A	N/A	31,290	22,305	195,940	152,830
2009-02-03	$34.30	$35.00	76.0%	21.8%	83.2%	43.3%	75.3%	8.8%	-1.6%	786.1K	160.1M	-1.2M	0.61	12.36	N/A	N/A	39,915	24,465	208,715	164,720
2009-02-04	$34.51	$35.00	67.7%	19.4%	82.8%	35.4%	69.4%	7.4%	0.2%	813.5K	159.9M	-1.2M	0.95	17.10	N/A	N/A	19,005	18,095	212,735	166,665
2009-02-05	$35.61	$35.00	64.4%	18.5%	83.8%	32.2%	64.6%	7.8%	-1.4%	1.6M	133.3M	-1.3M	0.65	23.65	N/A	N/A	23,220	15,115	216,840	170,865
2009-02-06	$37.80	$44.00	61.4%	18.3%	86.2%	29.4%	61.8%	10.8%	2.9%	3.3M	74.5M	-1.4M	0.47	35.66	N/A	N/A	44,270	21,025	221,195	174,000
2009-02-09	$37.60	$44.00	66.1%	19.2%	85.9%	33.8%	69.0%	11.6%	1.5%	3.2M	81.2M	-1.3M	0.67	35.78	N/A	N/A	24,865	16,590	226,710	178,180
2009-02-10	$35.82	$42.00	72.6%	20.5%	87.5%	40.0%	70.0%	11.7%	-0.5%	1.7M	130.5M	-1.3M	0.43	36.68	N/A	N/A	37,720	16,410	233,760	181,200
2009-02-11	$37.06	$42.00	60.7%	19.5%	88.2%	28.7%	68.5%	11.0%	1.0%	3.7M	88.6M	-1.3M	0.53	34.05	N/A	N/A	16,420	8,660	241,895	182,605
2009-02-12	$38.61	$42.00	65.7%	18.8%	87.1%	33.5%	66.7%	11.2%	2.0%	5.7M	34.3M	-1.4M	0.61	37.01	N/A	N/A	29,365	17,950	242,610	184,755
2009-02-13	$38.13	$42.00	64.9%	18.6%	85.3%	32.7%	64.7%	10.1%	2.2%	4.6M	57.6M	-1.4M	0.64	43.89	N/A	N/A	20,925	13,475	245,205	190,245
2009-02-17	$35.70	$42.00	73.2%	21.0%	88.0%	40.6%	75.2%	11.1%	-1.8%	1.1M	146.6M	-1.2M	0.83	34.13	N/A	N/A	27,020	22,465	247,550	194,185
2009-02-18	$35.52	$40.00	71.3%	20.4%	80.8%	38.8%	70.3%	10.6%	-1.0%	930.1K	145.7M	-1.2M	0.50	41.43	N/A	N/A	20,940	10,500	252,260	197,095
2009-02-19	$35.75	$40.00	70.0%	20.1%	67.0%	37.6%	69.6%	11.6%	-0.2%	711.7K	141.5M	-1.2M	0.69	37.38	N/A	N/A	18,970	13,155	253,945	197,380
2009-02-20	$36.37	$40.00	70.1%	20.1%	61.9%	37.7%	69.3%	11.4%	1.6%	631.7K	121.7M	-1.2M	0.71	37.18	N/A	N/A	31,360	22,335	252,920	199,650
2009-02-23	$34.59	$40.00	72.2%	20.7%	64.8%	39.7%	72.2%	11.8%	-2.1%	80.5K	166.1M	-1.1M	0.82	27.37	N/A	N/A	19,010	15,590	177,965	146,070
2009-02-24	$36.85	$40.00	61.5%	17.6%	68.2%	29.5%	62.6%	11.2%	0.6%	624.4K	142.6M	-1.2M	0.64	33.66	N/A	N/A	28,080	18,080	183,310	153,070
2009-02-25	$36.40	$40.00	64.2%	18.4%	68.4%	32.1%	63.8%	10.7%	0.5%	836.4K	135.1M	-1.3M	0.79	40.18	N/A	N/A	22,255	17,475	195,655	159,970
2009-02-26	$36.81	$39.00	61.7%	17.7%	59.8%	29.7%	61.7%	10.5%	1.8%	1.3M	122.0M	-1.3M	0.86	39.53	N/A	N/A	16,475	14,175	205,775	167,510
2009-02-27	$36.48	$39.00	64.0%	18.4%	55.1%	31.5%	64.2%	11.6%	0.8%	1.2M	125.6M	-1.4M	0.98	53.59	N/A	N/A	8,630	8,485	211,855	172,750