CME Options History — May 2009

In May 2009, CME traded between $44.52 and $64.33. ATM implied volatility averaged 53.2%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 17.7% (HV 20d: 70.9%). Max pain ranged from $40.00 to $52.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.67.

Notable Days

2009-05-14: Highest Volume — 237,395 contracts
2009-05-14: Largest IV drop — 22.9% change
2009-05-13: Highest IV Rank — 39.0%
2009-05-13: Largest Expected Move — 16.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.37	$44.52	$64.33	$44.52	$64.33
Max Pain	$45.80	$40.00	$52.00	$46.00	$52.00
ATM IV	53.2%	47.5%	72.0%	55.1%	48.6%
Expected Move	14.8%	13.6%	16.7%	15.8%	13.9%
HV 20d	70.9%	63.2%	77.7%	68.2%	64.2%
HV 60d	78.6%	76.8%	79.7%	76.8%	78.6%
IV Rank	19.6%	10.6%	39.0%	22.9%	10.6%
IV Percentile	28.2%	14.3%	65.9%	34.9%	15.9%
Term Structure	-0.9%	-3.8%	1.0%	-0.5%	0.8%
VWIV	52.0%	47.5%	58.2%	55.7%	49.8%
Skew 25d	5.5%	0.0%	8.2%	0.0%	4.4%
Skew 10d	9.8%	0.1%	14.3%	0.1%	8.4%
Call IV 25d	49.0%	44.9%	55.8%	55.8%	47.1%
Put IV 25d	54.6%	49.3%	61.4%	55.8%	51.5%
Bid-Ask Spread %	48.44	34.94	58.20	40.59	52.80
Gamma HHI	0.10	0.07	0.16	0.08	0.08
Net GEX	10.0M	2.2M	20.0M	2.2M	12.5M
Net DEX	-349.1M	-686.5M	3.8M	3.8M	-679.7M
Net VEX	-2.4M	-3.1M	-1.9M	-1.9M	-3.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.34	1.27	0.73	1.27
Total Volume	81,011	33,730	237,395	33,730	62,895
Total OI	477,324	409,210	593,255	434,275	510,875

Daily Data (20 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
2009-05-01	$44.52	$46.00	55.1%	15.8%	68.2%	22.9%	55.7%	0.0%	-0.5%	2.2M	3.8M	-1.9M	0.73	40.59	N/A	N/A	19,475	14,255	249,555	184,720
2009-05-04	$46.87	$40.00	56.3%	15.4%	69.2%	24.1%	53.0%	7.5%	1.0%	5.0M	-74.2M	-1.9M	0.37	34.94	N/A	N/A	30,145	11,130	251,990	190,740
2009-05-05	$49.45	$40.00	55.1%	15.0%	70.7%	22.9%	53.9%	8.2%	0.8%	9.1M	-200.4M	-2.1M	0.34	38.67	N/A	N/A	68,425	23,590	258,050	193,040
2009-05-06	$50.78	$42.00	53.6%	14.7%	70.8%	21.5%	54.0%	7.2%	0.4%	10.9M	-256.3M	-2.1M	0.48	40.72	N/A	N/A	43,600	20,900	266,720	199,290
2009-05-07	$46.99	$42.00	58.2%	15.9%	76.1%	25.8%	54.9%	6.3%	-0.4%	4.4M	-77.0M	-2.0M	0.87	39.21	N/A	N/A	40,860	35,380	266,265	205,735
2009-05-08	$49.67	$44.00	49.1%	14.2%	75.9%	17.1%	50.3%	6.2%	0.4%	10.0M	-196.3M	-2.1M	0.44	44.94	N/A	N/A	38,970	16,985	276,465	213,450
2009-05-11	$48.31	$42.00	57.4%	15.0%	75.5%	25.1%	51.9%	6.8%	-1.0%	7.3M	-124.7M	-1.9M	0.94	41.55	N/A	N/A	18,640	17,615	278,255	213,065
2009-05-12	$51.70	$42.00	58.8%	15.4%	75.4%	26.4%	54.1%	6.1%	-2.3%	14.3M	-328.0M	-2.1M	0.51	37.58	N/A	N/A	70,055	35,500	281,535	214,870
2009-05-13	$54.82	$42.00	72.0%	16.7%	77.7%	39.0%	58.2%	6.4%	-3.8%	16.6M	-514.3M	-2.4M	0.44	39.37	N/A	N/A	164,980	72,380	289,350	224,755
2009-05-14	$56.87	$44.00	55.5%	15.9%	77.2%	23.2%	55.4%	5.9%	-1.6%	20.0M	-638.5M	-2.5M	0.56	52.70	N/A	N/A	151,695	85,700	304,270	250,760
2009-05-15	$55.46	$48.00	51.9%	14.9%	76.9%	19.9%	52.8%	5.6%	0.8%	10.9M	-477.8M	-2.6M	0.84	54.33	N/A	N/A	52,665	44,415	321,010	272,245
2009-05-18	$57.59	$48.00	48.2%	13.8%	72.6%	16.3%	49.1%	7.3%	-1.6%	8.6M	-380.3M	-2.6M	0.65	55.18	N/A	N/A	33,355	21,715	231,015	178,195
2009-05-19	$56.19	$48.00	48.7%	14.0%	73.5%	16.8%	48.8%	5.6%	-1.3%	7.9M	-324.9M	-2.6M	0.81	57.28	N/A	N/A	26,465	21,530	240,895	187,675
2009-05-20	$54.75	$48.00	47.5%	13.6%	71.8%	14.5%	47.5%	3.8%	-1.4%	6.9M	-253.9M	-2.5M	0.87	58.20	N/A	N/A	24,455	21,225	246,110	195,290
2009-05-21	$56.02	$48.00	50.0%	14.3%	64.0%	14.8%	50.0%	4.0%	-1.8%	8.0M	-316.3M	-2.6M	0.53	57.50	N/A	N/A	37,760	20,140	249,395	197,525
2009-05-22	$58.65	$50.00	47.9%	13.7%	65.1%	12.0%	47.9%	5.1%	-0.2%	10.9M	-452.1M	-2.8M	0.60	56.73	N/A	N/A	43,665	26,230	260,550	203,860
2009-05-26	$60.91	$50.00	52.0%	14.9%	63.2%	16.1%	52.2%	5.1%	-2.6%	11.4M	-534.4M	-2.9M	0.69	54.60	N/A	N/A	29,105	20,020	259,660	210,890
2009-05-27	$59.65	$50.00	49.2%	14.1%	63.4%	12.3%	49.9%	3.9%	-1.3%	10.5M	-470.0M	-2.8M	0.69	56.27	N/A	N/A	33,220	22,865	263,035	218,035
2009-05-28	$63.87	$50.00	49.1%	14.1%	66.2%	11.1%	50.3%	5.1%	-1.9%	13.4M	-686.5M	-2.9M	0.70	55.61	N/A	N/A	57,935	40,280	265,345	221,995
2009-05-29	$64.33	$52.00	48.6%	13.9%	64.2%	10.6%	49.8%	4.4%	0.8%	12.5M	-679.7M	-3.1M	1.27	52.80	N/A	N/A	27,690	35,205	271,725	239,150