CME Options History — July 2009

In July 2009, CME traded between $52.64 and $61.65. ATM implied volatility averaged 46.6%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 4.0% (HV 20d: 42.6%). Max pain ranged from $54.00 to $64.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.98.

Notable Days

2009-07-08: Highest Volume — 200,820 contracts
2009-07-08: Largest IV spike — 23.1% change
2009-07-08: Highest IV Rank — 18.8%
2009-07-08: Largest Expected Move — 16.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.31	$52.64	$61.65	$61.65	$55.77
Max Pain	$58.00	$54.00	$64.00	$64.00	$56.00
ATM IV	46.6%	40.4%	58.3%	41.1%	41.9%
Expected Move	13.4%	11.6%	16.1%	11.8%	12.0%
HV 20d	42.6%	37.8%	48.7%	38.8%	41.0%
HV 60d	55.4%	49.8%	60.7%	59.3%	49.8%
IV Rank	6.5%	0.0%	18.8%	0.5%	1.5%
IV Percentile	13.3%	0.0%	38.1%	0.8%	1.6%
Term Structure	-0.5%	-2.8%	4.2%	3.3%	0.5%
VWIV	46.8%	40.2%	54.1%	41.9%	42.5%
Skew 25d	5.1%	1.0%	8.3%	2.1%	3.4%
Skew 10d	10.1%	3.6%	15.4%	4.0%	6.2%
Call IV 25d	44.5%	40.2%	51.4%	40.4%	40.6%
Put IV 25d	49.5%	41.2%	59.7%	42.5%	44.1%
Bid-Ask Spread %	23.90	13.78	37.13	27.79	23.53
Gamma HHI	0.07	0.06	0.09	0.07	0.07
Net GEX	-228.4K	-6.0M	4.4M	4.3M	4.4M
Net DEX	84.8M	-135.3M	287.1M	-135.3M	-38.7M
Net VEX	-2.8M	-3.2M	-2.6M	-3.2M	-2.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.35	2.14	1.57	0.70
Total Volume	65,643.864	27,780	200,820	48,320	34,260
Total OI	507,064.545	410,240	607,665	464,090	513,040

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
2009-07-01	$61.65	$64.00	41.1%	11.8%	38.8%	0.5%	41.9%	2.1%	3.3%	4.3M	-135.3M	-3.2M	1.57	27.79	N/A	N/A	18,790	29,530	253,910	210,180
2009-07-02	$60.29	$62.00	40.4%	11.6%	37.8%	0.0%	40.2%	1.0%	4.2%	2.5M	-84.3M	-3.2M	1.61	13.78	N/A	N/A	17,615	28,310	259,325	217,220
2009-07-06	$59.45	$62.00	44.2%	12.8%	37.9%	4.0%	43.4%	5.8%	-0.5%	-523.4K	-1.7M	-3.0M	0.96	26.24	N/A	N/A	30,210	29,055	263,920	222,895
2009-07-07	$56.41	$62.00	47.3%	14.0%	41.3%	7.3%	48.4%	6.3%	-1.5%	-4.1M	138.9M	-2.8M	1.27	25.91	N/A	N/A	41,195	52,270	267,960	222,945
2009-07-08	$52.78	$62.00	58.3%	16.1%	45.9%	18.8%	54.1%	8.3%	-2.8%	-6.0M	287.1M	-2.8M	1.40	37.13	N/A	N/A	83,810	117,010	280,710	236,815
2009-07-09	$53.47	$60.00	51.6%	15.1%	46.7%	11.7%	52.8%	8.0%	-2.3%	-3.8M	229.9M	-2.9M	0.86	19.99	N/A	N/A	54,475	47,060	302,295	247,315
2009-07-10	$52.64	$58.00	48.4%	14.5%	42.3%	8.4%	50.2%	6.7%	-1.9%	-4.8M	280.2M	-2.7M	1.15	19.91	N/A	N/A	44,910	51,535	308,005	249,375
2009-07-13	$54.49	$58.00	53.1%	14.5%	45.5%	13.3%	50.9%	7.8%	-1.7%	-1.1M	156.4M	-2.8M	2.14	20.92	N/A	N/A	28,115	60,070	316,110	252,990
2009-07-14	$53.75	$58.00	46.3%	13.9%	45.1%	6.1%	51.0%	7.4%	-1.6%	-3.2M	223.8M	-2.7M	1.50	21.45	N/A	N/A	23,495	35,240	316,650	273,855
2009-07-15	$55.58	$58.00	46.7%	13.5%	47.7%	6.6%	47.3%	6.3%	-1.5%	1.0M	104.1M	-2.9M	0.50	22.89	N/A	N/A	56,875	28,390	318,270	281,780
2009-07-16	$54.50	$58.00	48.6%	13.9%	47.9%	8.6%	48.2%	6.5%	-2.1%	-2.0M	179.4M	-2.8M	1.02	19.33	N/A	N/A	27,595	28,075	327,330	280,335
2009-07-17	$54.91	$56.00	47.6%	13.6%	47.8%	7.5%	47.3%	6.0%	-1.6%	1.2M	105.9M	-2.6M	0.84	22.78	N/A	N/A	35,415	29,600	320,615	266,895
2009-07-20	$55.85	$56.00	48.0%	13.8%	48.7%	7.9%	48.4%	5.5%	-1.5%	1.6M	16.8M	-2.7M	0.71	22.91	N/A	N/A	24,410	17,280	214,170	196,070
2009-07-21	$54.83	$56.00	48.6%	13.9%	41.8%	8.6%	49.2%	5.1%	-2.0%	954.4K	44.1M	-2.7M	1.11	20.51	N/A	N/A	14,435	16,020	221,580	203,110
2009-07-22	$54.54	$56.00	47.2%	13.5%	41.7%	7.1%	46.9%	4.2%	-0.6%	581.2K	52.0M	-2.6M	0.63	17.97	N/A	N/A	31,930	20,040	225,160	207,705
2009-07-23	$55.20	$56.00	42.6%	12.2%	39.7%	2.3%	43.5%	3.5%	0.9%	1.2M	30.7M	-2.7M	0.89	31.83	N/A	N/A	37,660	33,370	231,440	215,900
2009-07-24	$54.17	$56.00	43.5%	12.5%	39.7%	3.3%	43.9%	2.7%	1.1%	31.2K	67.5M	-2.7M	0.73	27.30	N/A	N/A	18,990	13,920	241,220	229,295
2009-07-27	$54.02	$56.00	45.5%	13.0%	39.4%	5.3%	45.5%	3.6%	0.4%	-157.7K	76.6M	-2.7M	0.41	29.38	N/A	N/A	19,710	8,070	245,105	232,630
2009-07-28	$53.31	$56.00	44.6%	12.8%	39.2%	4.4%	45.1%	3.9%	0.6%	-1.1M	105.4M	-2.6M	0.63	29.67	N/A	N/A	36,615	22,940	248,070	233,705
2009-07-29	$53.85	$56.00	44.5%	12.7%	39.4%	4.3%	44.8%	3.8%	0.7%	412.1K	60.2M	-2.7M	0.65	19.97	N/A	N/A	17,950	11,705	257,180	240,205
2009-07-30	$55.36	$54.00	44.6%	12.8%	41.3%	4.4%	44.7%	3.4%	-0.5%	3.5M	-32.4M	-2.8M	0.35	24.72	N/A	N/A	49,225	16,990	260,865	241,270
2009-07-31	$55.77	$56.00	41.9%	12.0%	41.0%	1.5%	42.5%	3.4%	0.5%	4.4M	-38.7M	-2.8M	0.70	23.53	N/A	N/A	20,115	14,145	267,915	245,125