CME Options History — April 2009 In April 2009, CME traded between $43.71 and $53.15. ATM implied volatility averaged 62.2%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded below realized volatility by 25.0% (HV 20d: 87.3%). Max pain ranged from $42.00 to $48.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.60.
Notable Days 2009-04-23 : Highest Volume — 93,620 contracts2009-04-20 : Largest IV spike — 14.9% change2009-04-20 : Highest IV Rank — 39.3%2009-04-20 : Largest Expected Move — 20.7%Monthly Statistics Metric Avg Min Max Open Close Price $47.93 $43.71 $53.15 $47.48 $44.27 Max Pain $46.67 $42.00 $48.00 $42.00 $46.00 ATM IV 62.2% 54.5% 72.2% 66.5% 55.7% Expected Move 18.2% 15.6% 20.7% 19.1% 16.0% HV 20d 87.3% 68.0% 103.1% 97.7% 69.5% HV 60d 79.7% 76.5% 82.7% 81.8% 76.8% IV Rank 29.7% 22.3% 39.3% 33.8% 23.5% IV Percentile 49.7% 34.1% 66.7% 58.7% 35.7% Term Structure -3.3% -7.1% 5.3% 2.7% -0.9% VWIV 63.6% 55.8% 71.7% 66.7% 56.3% Skew 25d 7.0% 1.9% 11.7% 5.5% 1.9% Skew 10d 13.4% 2.5% 25.5% 9.3% 2.5% Call IV 25d 60.4% 53.4% 69.4% 64.3% 55.5% Put IV 25d 67.3% 57.2% 75.3% 69.8% 57.5% Bid-Ask Spread % 29.11 14.94 53.75 53.52 51.51 Gamma HHI 0.08 0.06 0.12 0.07 0.07 Net GEX 5.5M 1.4M 12.2M 5.3M 1.7M Net DEX -172.2M -460.6M 36.9M -191.7M 12.7M Net VEX -2.2M -2.4M -1.8M -2.4M -1.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.33 0.90 0.72 0.33 Total Volume 47,912.143 13,725 93,620 43,595 37,060 Total OI 435,542.143 335,020 496,975 428,605 427,520
Daily Data (21 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 2009-04-01 $47.48 $42.00 66.5% 19.1% 97.7% 33.8% 66.7% 5.5% 2.7% 5.3M -191.7M -2.4M 0.72 53.52 N/A N/A 25,340 18,255 246,765 181,840 2009-04-02 $49.07 $42.00 61.5% 17.6% 96.6% 29.0% 63.1% 5.3% 5.3% 6.6M -256.6M -2.4M 0.55 53.75 N/A N/A 30,680 16,885 249,765 185,365 2009-04-03 $51.18 $48.00 58.4% 18.5% 96.9% 26.1% 65.3% 11.7% -4.4% 8.5M -345.8M -2.4M 0.54 15.66 N/A N/A 35,295 19,120 255,580 188,280 2009-04-06 $49.11 $48.00 63.4% 19.6% 99.1% 30.9% 67.1% 11.1% -6.0% 7.3M -277.3M -2.4M 0.63 14.94 N/A N/A 19,710 12,365 262,080 192,060 2009-04-07 $48.07 $48.00 64.1% 20.1% 98.7% 31.5% 67.3% 10.4% -5.5% 6.3M -223.4M -2.4M 0.52 16.53 N/A N/A 27,935 14,390 267,305 198,165 2009-04-08 $48.71 $48.00 61.5% 19.7% 98.5% 29.0% 68.8% 10.8% -4.8% 7.3M -252.8M -2.4M 0.50 15.54 N/A N/A 16,530 8,220 270,425 199,470 2009-04-09 $51.58 $48.00 61.7% 17.7% 99.4% 29.2% 62.2% 10.0% -3.6% 10.8M -380.6M -2.4M 0.46 18.33 N/A N/A 24,270 11,165 272,775 200,450 2009-04-13 $53.15 $48.00 64.6% 18.5% 99.0% 32.0% 64.4% 10.0% -5.5% 12.2M -460.6M -2.4M 0.33 18.88 N/A N/A 56,115 18,795 271,905 201,145 2009-04-14 $49.50 $48.00 68.2% 19.5% 103.1% 35.4% 67.9% 8.7% -6.3% 7.7M -292.2M -2.3M 0.81 19.30 N/A N/A 34,010 27,410 284,200 204,365 2009-04-15 $50.63 $48.00 66.5% 19.1% 91.6% 33.8% 67.3% 9.7% -5.3% 9.0M -327.5M -2.3M 0.63 16.16 N/A N/A 56,815 35,670 287,070 209,905 2009-04-16 $48.92 $46.00 64.7% 18.6% 90.3% 32.1% 63.7% 7.1% -4.8% 6.7M -228.6M -2.0M 0.58 19.18 N/A N/A 36,475 21,215 278,170 204,380 2009-04-17 $47.48 $48.00 62.8% 18.0% 89.5% 30.3% 62.4% 6.7% -4.7% 3.8M -150.1M -2.0M 0.60 17.32 N/A N/A 30,345 18,310 282,805 207,250 2009-04-20 $44.51 $48.00 72.2% 20.7% 92.6% 39.3% 71.7% 5.9% -6.5% 1.8M 1.1M -1.8M 0.65 15.57 N/A N/A 35,550 23,075 193,780 141,240 2009-04-21 $45.79 $48.00 67.2% 19.3% 75.8% 34.5% 68.6% 6.5% -7.1% 2.2M -1.7M -1.9M 0.88 28.07 N/A N/A 30,155 26,485 206,040 153,205 2009-04-22 $43.71 $46.00 67.3% 19.3% 68.0% 34.6% 67.7% 3.7% -6.1% 1.4M 36.9M -1.9M 0.60 28.22 N/A N/A 25,640 15,340 215,390 161,435 2009-04-23 $48.29 $46.00 57.7% 16.5% 75.4% 25.4% 58.0% 6.1% -1.5% 4.6M -92.5M -2.0M 0.43 35.75 N/A N/A 65,420 28,200 220,995 165,355 2009-04-24 $47.96 $46.00 54.5% 15.6% 74.6% 22.3% 55.9% 5.2% -0.2% 4.8M -117.0M -2.1M 0.60 36.28 N/A N/A 19,990 12,065 239,360 174,565 2009-04-27 $46.16 $46.00 57.5% 16.5% 73.8% 25.2% 57.8% 5.3% -2.1% 3.1M -44.0M -2.0M 0.83 42.73 N/A N/A 7,495 6,230 235,180 177,980 2009-04-28 $45.36 $46.00 56.2% 16.1% 72.6% 24.0% 56.8% 3.0% -1.0% 2.3M -14.0M -1.9M 0.90 42.06 N/A N/A 15,195 13,615 235,520 177,755 2009-04-29 $45.50 $46.00 54.8% 15.7% 70.0% 22.6% 55.8% 2.2% -1.3% 2.4M -11.1M -1.9M 0.45 52.08 N/A N/A 20,190 9,130 238,430 181,115 2009-04-30 $44.27 $46.00 55.7% 16.0% 69.5% 23.5% 56.3% 1.9% -0.9% 1.7M 12.7M -1.9M 0.33 51.51 N/A N/A 27,855 9,205 244,600 182,920
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