CME Options History — August 2009

In August 2009, CME traded between $53.61 and $58.21. ATM implied volatility averaged 41.9%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 9.3% (HV 20d: 32.6%). Max pain ranged from $52.00 to $56.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2009-08-07: Highest Volume — 87,225 contracts
  • 2009-08-17: Largest IV spike — 12.2% change
  • 2009-08-17: Highest IV Rank — 5.9%
  • 2009-08-17: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.52$53.61$58.21$56.55$58.21
Max Pain$53.43$52.00$56.00$54.00$54.00
ATM IV41.9%37.1%46.0%43.2%41.2%
Expected Move12.0%10.6%13.2%12.4%11.8%
HV 20d32.6%27.9%41.3%41.3%34.9%
HV 60d41.0%37.3%47.1%47.1%37.8%
IV Rank2.1%0.0%5.9%3.0%4.2%
IV Percentile4.8%0.0%16.3%5.6%4.0%
Term Structure0.5%-1.2%2.9%-0.9%1.0%
VWIV42.7%38.9%46.9%43.7%41.9%
Skew 25d4.1%2.7%5.7%3.5%2.7%
Skew 10d7.8%4.1%10.5%7.0%4.1%
Call IV 25d40.7%36.8%44.3%41.7%40.8%
Put IV 25d44.8%39.9%48.8%45.2%43.4%
Bid-Ask Spread %24.6810.1637.4728.0310.16
Gamma HHI0.090.060.120.080.08
Net GEX3.9M-3.8M9.8M6.2M9.8M
Net DEX-25.8M-192.6M107.5M-91.5M-192.6M
Net VEX-2.5M-2.8M-2.2M-2.8M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.361.070.890.47
Total Volume45,754.04823,71587,22539,66066,155
Total OI532,786.905426,010582,610515,970486,285

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$56.55$54.0043.2%12.4%41.3%3.0%43.7%3.5%-0.9%6.2M-91.5M-2.8M0.8928.03N/AN/A20,95018,710268,945247,025
2009-08-04$55.79$56.0043.1%12.4%37.2%2.8%43.5%3.5%-0.8%4.3M-31.4M-2.7M0.5326.64N/AN/A22,32011,880272,555252,375
2009-08-05$55.81$54.0042.5%12.2%27.9%2.2%43.1%2.9%-0.3%4.9M-39.8M-2.7M0.5322.31N/AN/A15,5158,200275,080254,870
2009-08-06$54.63$54.0043.0%12.3%28.8%2.7%43.0%3.5%-0.4%1.5M45.3M-2.7M0.6130.25N/AN/A24,17514,720281,635260,425
2009-08-07$57.19$54.0041.3%11.9%32.2%1.0%42.2%4.2%0.6%8.4M-133.4M-2.8M0.3637.47N/AN/A64,29022,935281,330261,855
2009-08-10$56.59$54.0044.3%12.4%30.5%4.1%42.9%4.0%-0.1%8.2M-99.7M-2.8M0.4736.22N/AN/A20,1159,460295,450263,760
2009-08-11$55.20$54.0041.5%12.2%31.5%1.2%43.4%4.6%0.1%3.4M8.3M-2.6M0.6627.50N/AN/A27,82518,470297,390265,395
2009-08-12$56.40$52.0041.3%12.2%30.1%1.0%42.9%3.8%0.3%8.1M-85.2M-2.7M0.5925.48N/AN/A38,31022,545298,360270,220
2009-08-13$57.02$54.0041.6%11.9%29.3%1.3%42.8%4.4%0.8%9.6M-110.8M-2.7M0.8619.86N/AN/A27,15023,320300,750271,925
2009-08-14$56.20$54.0041.0%11.8%29.8%0.7%42.1%4.2%1.5%6.3M-51.4M-2.6M0.7923.86N/AN/A19,84015,770301,590274,610
2009-08-17$53.93$54.0046.0%13.2%32.8%5.9%46.9%4.5%-1.2%-3.1M100.0M-2.4M0.8222.19N/AN/A29,74524,280304,165274,830
2009-08-18$53.79$52.0044.9%12.9%32.2%4.8%45.1%5.1%-0.3%-3.2M106.9M-2.4M0.9522.94N/AN/A24,29522,985306,385276,030
2009-08-19$53.70$54.0043.7%12.5%32.1%3.5%44.2%5.7%0.7%-3.8M107.5M-2.3M1.0719.27N/AN/A17,82019,070306,030274,130
2009-08-20$54.38$54.0043.3%12.4%32.1%3.1%44.0%5.1%1.0%-3.3M60.1M-2.3M0.5623.36N/AN/A25,99514,580305,810275,325
2009-08-21$55.22$52.0039.8%11.4%31.9%0.0%41.0%5.4%2.9%3.4M-12.4M-2.3M0.5132.02N/AN/A26,37013,415313,280269,330
2009-08-24$53.61$52.0041.5%11.9%33.7%1.7%42.5%4.2%0.5%533.6K66.0M-2.2M0.6219.41N/AN/A50,23031,110223,070202,940
2009-08-25$53.71$52.0040.2%11.5%33.3%0.4%40.9%4.0%1.0%2.4M44.3M-2.3M0.6123.50N/AN/A15,4659,405243,765212,425
2009-08-26$55.25$52.0039.6%11.4%34.7%0.0%40.9%4.2%0.7%5.4M-46.1M-2.4M0.6221.47N/AN/A26,63016,530250,090214,380
2009-08-27$55.58$52.0039.0%11.2%33.3%0.0%40.6%3.5%1.2%5.5M-53.2M-2.4M0.8123.37N/AN/A16,16013,160254,095219,990
2009-08-28$57.12$54.0037.1%10.6%34.6%0.0%38.9%3.1%1.3%8.1M-133.2M-2.5M0.6223.03N/AN/A31,37019,565255,695224,930
2009-08-31$58.21$54.0041.2%11.8%34.9%4.2%41.9%2.7%1.0%9.8M-192.6M-2.5M0.4710.16N/AN/A45,12521,030258,140228,145