CME Options History — September 2009 In September 2009, CME traded between $54.10 and $62.25. ATM implied volatility averaged 42.5%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 9.9% (HV 20d: 32.5%). Max pain ranged from $54.00 to $58.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.63.
Notable Days 2009-09-18 : Highest Volume — 188,555 contracts2009-09-09 : Largest IV drop — 8.6% change2009-09-03 : Highest IV Rank — 12.4%2009-09-03 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $57.94 $54.10 $62.25 $55.83 $61.64 Max Pain $56.29 $54.00 $58.00 $54.00 $58.00 ATM IV 42.5% 38.2% 49.3% 43.3% 40.0% Expected Move 12.2% 11.0% 14.1% 12.4% 11.5% HV 20d 32.5% 28.6% 37.9% 37.8% 31.2% HV 60d 36.6% 34.8% 38.7% 38.6% 35.1% IV Rank 5.5% 1.1% 12.4% 6.3% 3.0% IV Percentile 9.2% 0.4% 29.8% 11.5% 2.8% Term Structure 1.8% -0.3% 4.9% 0.8% 3.3% VWIV 43.0% 39.3% 50.3% 43.7% 40.8% Skew 25d 3.0% 1.1% 5.1% 2.7% 1.1% Skew 10d 6.0% 2.0% 10.6% 5.5% 2.0% Call IV 25d 41.6% 38.0% 48.1% 42.7% 40.3% Put IV 25d 44.7% 40.3% 52.4% 45.4% 41.4% Bid-Ask Spread % 19.36 9.09 38.08 9.09 38.08 Gamma HHI 0.10 0.07 0.21 0.08 0.09 Net GEX 8.7M -922.1K 24.1M 5.4M 12.7M Net DEX -119.7M -504.3M 78.4M -51.0M -237.0M Net VEX -2.7M -2.9M -2.4M -2.5M -2.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.25 1.96 0.52 0.56 Total Volume 71,159.524 30,375 188,555 78,990 51,885 Total OI 526,335.952 388,800 622,835 498,955 456,900
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 2009-09-01 $55.83 $54.00 43.3% 12.4% 37.8% 6.3% 43.7% 2.7% 0.8% 5.4M -51.0M -2.5M 0.52 9.09 N/A N/A 51,980 27,010 264,730 234,225 2009-09-02 $55.55 $54.00 45.9% 13.2% 37.8% 8.9% 47.4% 4.3% 0.2% 5.2M -36.9M -2.7M 1.96 14.35 N/A N/A 20,255 39,785 278,335 242,770 2009-09-03 $54.29 $54.00 49.3% 14.1% 37.9% 12.4% 50.3% 4.3% -0.3% 49.8K 69.8M -2.7M 1.00 13.87 N/A N/A 40,135 40,335 281,915 260,190 2009-09-04 $54.10 $56.00 47.4% 13.8% 33.8% 10.5% 48.5% 5.1% 0.4% -922.1K 72.1M -2.8M 0.37 9.81 N/A N/A 84,640 31,435 299,235 280,750 2009-09-08 $54.53 $54.00 48.4% 13.5% 33.8% 11.4% 46.9% 4.4% 0.2% 971.7K 75.5M -2.7M 0.81 10.07 N/A N/A 33,240 26,770 297,635 284,210 2009-09-09 $54.81 $56.00 44.2% 12.8% 32.8% 7.2% 45.2% 4.4% 1.1% 614.1K 78.4M -2.7M 0.77 16.52 N/A N/A 27,760 21,480 301,045 291,880 2009-09-10 $55.13 $56.00 43.0% 12.3% 31.9% 6.0% 43.5% 4.0% 1.3% 1.4M 49.9M -2.7M 0.98 15.70 N/A N/A 15,365 15,010 304,305 298,265 2009-09-11 $54.96 $56.00 42.3% 12.1% 31.6% 5.3% 41.4% 3.9% 2.2% 1.9M 40.5M -2.5M 0.55 14.30 N/A N/A 25,735 14,040 308,230 296,175 2009-09-14 $55.59 $56.00 41.1% 11.8% 31.5% 4.1% 42.6% 3.6% 1.9% 4.6M -4.5M -2.4M 0.78 17.83 N/A N/A 20,030 15,710 311,275 296,295 2009-09-15 $56.87 $56.00 41.3% 11.8% 28.6% 4.3% 42.3% 3.3% 2.0% 14.5M -131.0M -2.5M 0.59 25.53 N/A N/A 42,020 24,775 313,480 300,210 2009-09-16 $58.31 $56.00 42.1% 12.1% 29.6% 5.1% 42.6% 3.6% 1.3% 23.9M -269.4M -2.5M 0.33 19.69 N/A N/A 80,345 26,415 316,375 302,675 2009-09-17 $58.66 $56.00 41.0% 11.8% 29.5% 4.0% 41.0% 2.8% 1.4% 24.1M -290.8M -2.5M 0.36 17.72 N/A N/A 64,930 23,515 312,350 304,365 2009-09-18 $60.80 $56.00 42.5% 12.2% 31.5% 5.5% 43.0% 2.4% -0.1% 13.3M -504.3M -2.6M 0.25 20.69 N/A N/A 150,595 37,960 315,880 306,955 2009-09-21 $60.92 $56.00 41.4% 11.9% 31.3% 4.4% 41.5% 2.6% 2.7% 10.0M -200.7M -2.7M 0.42 16.10 N/A N/A 41,325 17,285 228,670 160,130 2009-09-22 $62.25 $58.00 40.3% 11.5% 29.0% 3.2% 41.1% 1.4% 2.3% 13.2M -281.8M -2.8M 0.27 11.87 N/A N/A 63,020 16,950 242,355 165,600 2009-09-23 $61.22 $58.00 38.5% 11.0% 30.2% 1.4% 39.3% 1.8% 3.6% 11.9M -214.5M -2.8M 0.39 21.13 N/A N/A 45,960 18,110 250,525 172,615 2009-09-24 $59.68 $58.00 38.2% 11.0% 31.1% 1.1% 39.4% 2.4% 4.9% 8.0M -123.2M -2.8M 0.61 34.29 N/A N/A 51,750 31,570 250,920 179,465 2009-09-25 $58.69 $58.00 40.0% 11.5% 31.9% 2.9% 40.2% 1.9% 4.0% 7.3M -71.4M -2.8M 0.52 37.55 N/A N/A 32,970 17,285 257,760 182,395 2009-09-28 $61.82 $58.00 40.7% 11.7% 35.4% 3.6% 41.5% 2.5% 2.9% 13.2M -264.7M -2.9M 0.57 24.66 N/A N/A 33,900 19,395 261,045 187,445 2009-09-29 $61.14 $58.00 41.2% 11.8% 35.3% 4.2% 41.8% 1.4% 2.5% 11.6M -219.6M -2.8M 0.51 17.72 N/A N/A 34,320 17,355 261,895 191,580 2009-09-30 $61.64 $58.00 40.0% 11.5% 31.2% 3.0% 40.8% 1.1% 3.3% 12.7M -237.0M -2.8M 0.56 38.08 N/A N/A 33,360 18,525 263,735 193,165
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