CME Options History — June 2009 In June 2009, CME traded between $60.70 and $68.42. ATM implied volatility averaged 44.6%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 3.7% (HV 20d: 48.4%). Max pain ranged from $52.00 to $64.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.77.
Notable Days 2009-06-05 : Highest Volume — 695,415 contracts2009-06-22 : Largest IV spike — 11.8% change2009-06-23 : Highest IV Rank — 10.7%2009-06-23 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $65.16 $60.70 $68.42 $65.94 $62.22 Max Pain $61.64 $52.00 $64.00 $52.00 $64.00 ATM IV 44.6% 40.6% 49.1% 48.8% 42.5% Expected Move 12.9% 11.6% 14.1% 14.0% 12.2% HV 20d 48.4% 39.4% 64.0% 64.0% 39.4% HV 60d 69.6% 59.9% 78.5% 78.2% 59.9% IV Rank 5.8% 0.0% 10.7% 10.4% 2.0% IV Percentile 7.3% 0.0% 19.4% 16.7% 2.4% Term Structure 2.0% -1.7% 4.0% -0.5% 4.0% VWIV 45.3% 40.7% 49.8% 49.8% 42.5% Skew 25d 3.8% 2.1% 5.5% 5.2% 2.1% Skew 10d 7.2% 3.9% 10.3% 9.9% 3.9% Call IV 25d 43.5% 39.3% 47.7% 47.2% 41.6% Put IV 25d 47.3% 42.5% 52.4% 52.4% 43.8% Bid-Ask Spread % 30.50 14.80 56.89 52.75 22.72 Gamma HHI 0.10 0.05 0.28 0.09 0.07 Net GEX 11.4M 2.1M 19.1M 13.8M 5.0M Net DEX -487.1M -852.7M -108.4M -763.3M -177.9M Net VEX -3.2M -3.4M -3.0M -3.1M -3.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.05 1.13 0.62 0.62 Total Volume 84,022.273 29,585 695,415 67,950 48,330 Total OI 513,603.409 364,675 586,610 526,010 451,215
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 2009-06-01 $65.94 $52.00 48.8% 14.0% 64.0% 10.4% 49.8% 5.2% -0.5% 13.8M -763.3M -3.1M 0.62 52.75 N/A N/A 42,050 25,900 278,980 247,030 2009-06-02 $67.07 $52.00 48.4% 13.9% 62.9% 10.0% 49.4% 4.1% -1.7% 13.9M -827.0M -3.2M 0.70 49.75 N/A N/A 60,135 42,310 281,375 254,365 2009-06-03 $65.61 $54.00 47.2% 13.5% 63.0% 8.8% 48.2% 3.3% -0.2% 12.7M -725.5M -3.2M 0.91 56.69 N/A N/A 26,075 23,780 287,590 265,145 2009-06-04 $67.34 $54.00 45.2% 13.0% 62.9% 6.7% 46.4% 2.9% -0.0% 15.7M -852.7M -3.3M 0.56 56.89 N/A N/A 32,375 18,145 294,920 266,515 2009-06-05 $66.98 $62.00 44.2% 13.0% 53.5% 5.6% 45.1% 5.5% 1.6% 15.9M -838.7M -3.3M 0.05 23.44 N/A N/A 663,470 31,945 298,780 269,215 2009-06-08 $66.27 $62.00 47.1% 13.7% 52.5% 8.6% 48.1% 5.1% 0.5% 14.2M -531.0M -3.3M 0.77 20.48 N/A N/A 24,060 18,500 262,065 274,075 2009-06-09 $66.60 $62.00 44.0% 13.3% 50.2% 5.4% 46.9% 5.2% 1.7% 16.0M -585.9M -3.3M 0.83 24.35 N/A N/A 18,460 15,405 266,890 274,490 2009-06-10 $65.55 $62.00 42.1% 13.2% 47.5% 3.5% 45.9% 3.9% 1.9% 14.7M -522.8M -3.3M 0.57 31.71 N/A N/A 30,640 17,520 269,000 276,720 2009-06-11 $68.42 $64.00 44.5% 12.7% 45.7% 5.9% 45.0% 4.2% 2.7% 19.1M -715.4M -3.3M 0.73 26.82 N/A N/A 51,115 37,305 274,810 279,205 2009-06-12 $68.19 $64.00 43.6% 12.5% 44.9% 5.0% 43.7% 3.6% 2.5% 16.5M -649.1M -3.3M 0.80 27.94 N/A N/A 26,970 21,525 275,985 288,820 2009-06-15 $66.32 $64.00 44.7% 12.8% 45.2% 6.1% 45.0% 2.9% 1.5% 13.9M -535.5M -3.2M 0.99 20.79 N/A N/A 24,170 23,860 277,270 291,200 2009-06-16 $65.98 $64.00 43.3% 12.4% 44.1% 4.7% 43.2% 3.3% 2.0% 13.9M -507.1M -3.1M 0.75 28.40 N/A N/A 24,110 18,160 282,340 293,410 2009-06-17 $65.30 $64.00 43.2% 12.4% 43.1% 4.6% 43.7% 3.5% 2.0% 11.3M -442.2M -3.1M 0.85 34.07 N/A N/A 29,915 25,575 283,350 295,940 2009-06-18 $65.81 $64.00 42.5% 12.2% 41.2% 3.9% 43.0% 3.2% 2.7% 13.1M -487.5M -3.1M 0.67 33.60 N/A N/A 23,415 15,725 286,445 297,110 2009-06-19 $65.51 $64.00 43.0% 12.3% 41.2% 4.4% 43.6% 4.0% 3.4% 13.3M -454.6M -3.1M 1.13 33.80 N/A N/A 27,675 31,225 287,555 299,055 2009-06-22 $60.70 $64.00 48.1% 13.8% 48.4% 9.7% 47.8% 2.7% 3.5% 2.1M -108.4M -3.0M 1.08 35.45 N/A N/A 36,555 39,625 195,105 169,570 2009-06-23 $60.71 $64.00 49.1% 14.1% 46.5% 10.7% 49.3% 3.2% 2.3% 2.7M -119.8M -3.2M 0.98 14.80 N/A N/A 42,785 41,735 208,505 180,465 2009-06-24 $62.79 $64.00 46.1% 13.2% 47.3% 7.6% 45.2% 4.6% 3.0% 4.9M -207.7M -3.3M 0.68 16.96 N/A N/A 44,095 29,800 219,030 189,740 2009-06-25 $63.11 $64.00 43.3% 12.4% 40.5% 4.7% 44.1% 4.2% 3.0% 5.7M -201.5M -3.4M 1.00 16.70 N/A N/A 17,075 17,015 230,245 196,285 2009-06-26 $63.49 $64.00 40.7% 11.7% 40.5% 0.0% 41.0% 3.5% 4.0% 6.1M -220.1M -3.3M 0.70 21.42 N/A N/A 17,840 12,535 233,250 200,355 2009-06-29 $63.64 $64.00 40.6% 11.6% 39.4% 0.0% 40.7% 3.1% 3.9% 6.9M -242.2M -3.4M 0.93 21.36 N/A N/A 15,360 14,225 241,630 204,230 2009-06-30 $62.22 $64.00 42.5% 12.2% 39.4% 2.0% 42.5% 2.1% 4.0% 5.0M -177.9M -3.3M 0.62 22.72 N/A N/A 29,835 18,495 244,660 206,555
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