CME Options History — March 2009 In March 2009, CME traded between $34.66 and $52.89. ATM implied volatility averaged 61.8%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded below realized volatility by 10.6% (HV 20d: 72.5%). Max pain ranged from $36.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.72.
Notable Days 2009-03-18 : Highest Volume — 152,395 contracts2009-03-19 : Largest IV spike — 13.4% change2009-03-02 : Highest IV Rank — 39.6%2009-03-02 : Largest Expected Move — 20.8%Monthly Statistics Metric Avg Min Max Open Close Price $42.92 $34.66 $52.89 $34.66 $49.28 Max Pain $38.73 $36.00 $42.00 $39.00 $42.00 ATM IV 61.8% 53.7% 72.6% 72.6% 65.6% Expected Move 17.9% 15.4% 20.8% 20.8% 18.8% HV 20d 72.5% 56.4% 97.2% 58.3% 97.2% HV 60d 76.1% 69.0% 81.8% 78.6% 81.5% IV Rank 29.4% 21.6% 39.6% 39.6% 32.9% IV Percentile 53.7% 44.4% 67.1% 67.1% 57.9% Term Structure 2.1% -2.5% 5.3% -2.5% 3.0% VWIV 63.4% 56.0% 72.7% 72.7% 67.0% Skew 25d 10.8% 4.5% 14.5% 12.0% 7.1% Skew 10d 20.3% 8.1% 28.3% 23.3% 14.6% Call IV 25d 57.7% 48.6% 69.2% 67.3% 63.6% Put IV 25d 68.4% 60.1% 79.4% 79.4% 70.8% Bid-Ask Spread % 38.79 21.64 60.69 55.36 51.49 Gamma HHI 0.09 0.05 0.16 0.05 0.08 Net GEX 5.2M 197.3K 10.4M 197.3K 6.3M Net DEX -134.9M -472.6M 170.5M 170.5M -258.9M Net VEX -1.8M -2.5M -1.3M -1.3M -2.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.52 1.05 0.94 0.63 Total Volume 60,957.727 20,335 152,395 30,250 33,760 Total OI 423,618.864 332,810 518,200 389,335 423,645
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 2009-03-02 $34.66 $39.00 72.6% 20.8% 58.3% 39.6% 72.7% 12.0% -2.5% 197.3K 170.5M -1.3M 0.94 55.36 N/A N/A 15,580 14,670 213,785 175,550 2009-03-03 $35.57 $39.00 65.3% 18.7% 57.6% 32.6% 65.5% 11.4% 2.9% 642.1K 148.0M -1.3M 0.75 59.22 N/A N/A 14,715 11,005 219,525 179,830 2009-03-04 $37.64 $38.00 61.3% 17.6% 60.5% 28.9% 64.3% 12.1% 2.5% 2.2M 95.5M -1.4M 0.77 59.33 N/A N/A 20,200 15,605 223,790 183,225 2009-03-05 $36.49 $38.00 66.8% 19.2% 61.8% 34.1% 67.8% 12.2% 1.8% 1.5M 123.2M -1.4M 0.60 60.69 N/A N/A 25,565 15,245 230,080 187,035 2009-03-06 $36.49 $36.00 61.9% 19.1% 60.9% 29.4% 64.5% 14.4% 2.1% 1.6M 143.6M -1.4M 0.60 21.64 N/A N/A 12,705 7,630 232,500 193,695 2009-03-09 $36.77 $36.00 62.0% 18.8% 56.9% 29.5% 64.5% 14.4% 1.7% 2.0M 72.1M -1.4M 1.05 23.51 N/A N/A 14,910 15,710 235,725 178,265 2009-03-10 $38.85 $36.00 54.9% 17.3% 60.3% 22.7% 60.8% 14.5% 3.5% 5.2M -32.4M -1.5M 0.52 23.30 N/A N/A 24,475 12,690 241,120 174,260 2009-03-11 $38.64 $36.00 57.5% 17.0% 57.4% 25.2% 61.1% 13.0% 3.6% 5.0M -30.4M -1.4M 0.72 26.73 N/A N/A 34,650 24,885 245,315 175,120 2009-03-12 $40.19 $36.00 55.6% 15.9% 57.8% 23.4% 58.0% 13.2% 5.3% 7.7M -99.7M -1.5M 0.66 29.10 N/A N/A 34,075 22,435 251,750 184,470 2009-03-13 $39.63 $38.00 56.7% 16.3% 56.4% 24.5% 57.8% 11.0% 4.2% 6.5M -76.3M -1.5M 0.66 33.60 N/A N/A 22,835 14,975 256,085 188,530 2009-03-16 $38.95 $38.00 58.7% 16.8% 56.6% 26.3% 59.4% 12.1% 2.8% 5.8M -46.7M -1.4M 0.64 34.23 N/A N/A 18,705 12,050 259,540 191,065 2009-03-17 $44.78 $38.00 54.8% 15.7% 69.8% 22.6% 56.0% 11.5% 1.9% 10.4M -335.2M -1.6M 0.56 32.50 N/A N/A 84,165 47,385 261,395 191,870 2009-03-18 $47.60 $38.00 53.7% 15.4% 71.6% 21.6% 57.4% 12.1% -0.3% 9.3M -472.6M -1.7M 0.58 35.78 N/A N/A 96,310 56,085 271,780 211,565 2009-03-19 $45.59 $38.00 61.0% 17.5% 74.5% 28.5% 61.3% 11.3% 0.5% 8.0M -374.2M -1.9M 0.80 32.51 N/A N/A 56,515 45,255 280,415 226,265 2009-03-20 $45.72 $38.00 62.0% 17.8% 74.5% 29.5% 63.9% 10.0% -0.5% 7.9M -366.9M -2.0M 0.87 33.19 N/A N/A 47,910 41,500 287,250 230,950 2009-03-23 $52.89 $40.00 61.0% 17.5% 84.8% 28.6% 61.3% 9.6% 1.9% 5.8M -351.8M -2.2M 0.54 37.97 N/A N/A 78,965 42,665 194,885 137,925 2009-03-24 $47.57 $40.00 68.1% 19.5% 94.4% 35.3% 68.3% 7.4% 1.6% 4.7M -207.4M -2.3M 0.79 21.72 N/A N/A 44,860 35,455 213,880 152,155 2009-03-25 $49.85 $42.00 64.5% 18.5% 94.6% 31.9% 65.3% 8.6% 2.0% 6.5M -296.7M -2.5M 0.65 40.46 N/A N/A 49,600 32,335 226,705 161,600 2009-03-26 $51.35 $42.00 61.2% 17.5% 94.8% 28.7% 62.0% 9.2% 2.4% 7.0M -339.7M -2.5M 0.71 42.13 N/A N/A 33,675 23,965 232,545 169,260 2009-03-27 $48.90 $42.00 64.4% 18.5% 97.2% 31.8% 64.6% 5.8% 3.3% 5.7M -249.7M -2.5M 0.89 49.96 N/A N/A 21,025 18,725 235,275 174,275 2009-03-30 $46.88 $42.00 71.1% 20.4% 96.4% 38.2% 71.1% 4.5% 1.7% 4.9M -182.3M -2.4M 0.87 49.07 N/A N/A 24,335 21,265 240,310 175,405 2009-03-31 $49.28 $42.00 65.6% 18.8% 97.2% 32.9% 67.0% 7.1% 3.0% 6.3M -258.9M -2.5M 0.63 51.49 N/A N/A 20,725 13,035 243,940 179,705
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