CME Options History — October 2009

In October 2009, CME traded between $57.46 and $64.20. ATM implied volatility averaged 40.8%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 7.3% (HV 20d: 33.5%). Max pain ranged from $58.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.63.

Notable Days

2009-10-16: Highest Volume — 120,910 contracts
2009-10-14: Largest IV spike — 16.2% change
2009-10-14: Highest IV Rank — 12.6%
2009-10-07: Largest Expected Move — 13.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.11	$57.46	$64.20	$58.50	$60.52
Max Pain	$59.18	$58.00	$60.00	$58.00	$60.00
ATM IV	40.8%	33.8%	49.5%	42.1%	39.3%
Expected Move	11.9%	9.7%	13.7%	12.1%	11.3%
HV 20d	33.5%	21.3%	37.7%	37.2%	25.5%
HV 60d	32.7%	31.9%	34.1%	34.1%	33.1%
IV Rank	4.9%	0.0%	12.6%	5.1%	5.4%
IV Percentile	11.4%	0.0%	39.7%	11.9%	4.8%
Term Structure	-0.8%	-2.4%	3.1%	3.1%	0.4%
VWIV	42.0%	34.3%	48.1%	42.8%	40.4%
Skew 25d	2.8%	1.7%	4.4%	1.8%	2.8%
Skew 10d	5.4%	3.0%	8.8%	3.7%	4.3%
Call IV 25d	40.7%	33.2%	46.9%	42.3%	38.6%
Put IV 25d	43.5%	35.9%	50.4%	44.1%	41.3%
Bid-Ask Spread %	18.75	9.42	36.75	36.75	16.97
Gamma HHI	0.09	0.07	0.17	0.07	0.07
Net GEX	10.2M	1.3M	22.4M	5.9M	5.9M
Net DEX	-166.7M	-377.3M	17.6M	-48.5M	-61.4M
Net VEX	-2.6M	-2.7M	-2.5M	-2.7M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.35	1.12	0.63	1.12
Total Volume	52,215.909	23,335	120,910	65,820	45,485
Total OI	467,617.955	384,470	558,955	463,570	443,625

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
2009-10-01	$58.50	$58.00	42.1%	12.1%	37.2%	5.1%	42.8%	1.8%	3.1%	5.9M	-48.5M	-2.7M	0.63	36.75	N/A	N/A	40,490	25,330	268,910	194,660
2009-10-02	$58.56	$58.00	43.6%	12.5%	35.9%	6.6%	44.2%	2.6%	2.2%	6.3M	-55.0M	-2.7M	0.76	34.64	N/A	N/A	35,525	26,995	272,380	196,370
2009-10-05	$58.59	$58.00	44.0%	12.9%	35.8%	7.0%	45.2%	4.4%	-1.1%	4.9M	-37.7M	-2.7M	0.72	9.42	N/A	N/A	18,490	13,340	278,525	203,410
2009-10-06	$57.52	$58.00	44.1%	13.3%	36.7%	7.1%	47.0%	3.6%	-1.7%	2.7M	17.6M	-2.6M	1.03	10.08	N/A	N/A	34,485	35,650	282,260	205,005
2009-10-07	$57.93	$58.00	45.4%	13.7%	36.7%	8.4%	48.1%	3.7%	-2.2%	2.6M	-1.8M	-2.6M	0.65	10.87	N/A	N/A	36,520	23,775	287,900	212,275
2009-10-08	$57.46	$58.00	43.7%	13.6%	36.9%	6.7%	47.6%	2.3%	-1.8%	1.3M	14.2M	-2.7M	0.37	10.20	N/A	N/A	32,080	11,745	297,245	219,890
2009-10-09	$58.95	$58.00	39.2%	13.2%	37.7%	2.1%	45.9%	3.3%	-1.1%	9.7M	-122.8M	-2.7M	0.41	12.80	N/A	N/A	26,735	10,915	304,210	219,215
2009-10-12	$59.56	$58.00	43.5%	13.0%	37.7%	6.5%	46.1%	2.7%	-1.4%	12.8M	-162.5M	-2.6M	0.52	14.99	N/A	N/A	26,520	13,760	304,730	221,570
2009-10-13	$60.84	$58.00	42.6%	12.7%	37.6%	5.6%	44.5%	3.2%	-1.7%	19.1M	-257.7M	-2.6M	0.47	17.12	N/A	N/A	43,620	20,635	305,380	222,080
2009-10-14	$61.46	$60.00	49.5%	12.8%	36.8%	12.6%	45.2%	3.8%	-2.2%	22.4M	-314.8M	-2.6M	0.89	20.87	N/A	N/A	60,345	53,580	311,740	226,130
2009-10-15	$61.78	$60.00	42.1%	12.1%	36.8%	5.0%	42.4%	3.8%	-1.7%	14.0M	-268.8M	-2.6M	1.11	28.04	N/A	N/A	25,550	28,340	310,175	245,180
2009-10-16	$62.57	$60.00	41.3%	11.8%	34.9%	4.2%	41.3%	3.0%	-1.7%	13.2M	-377.3M	-2.5M	0.35	21.23	N/A	N/A	89,600	31,310	311,695	247,260
2009-10-19	$63.72	$60.00	37.7%	10.8%	35.4%	0.7%	38.4%	3.1%	-1.2%	10.9M	-236.7M	-2.5M	0.44	14.49	N/A	N/A	27,535	12,220	229,880	154,590
2009-10-20	$63.61	$60.00	36.5%	10.5%	34.7%	0.0%	36.6%	3.2%	-0.7%	11.5M	-234.3M	-2.6M	0.43	23.43	N/A	N/A	21,725	9,345	238,600	159,395
2009-10-21	$63.49	$60.00	34.7%	10.0%	34.1%	0.0%	35.2%	2.2%	0.1%	11.3M	-225.9M	-2.5M	0.41	17.97	N/A	N/A	17,780	7,220	237,285	160,980
2009-10-22	$63.50	$60.00	33.8%	9.7%	32.5%	0.0%	34.3%	2.7%	0.4%	11.8M	-229.3M	-2.5M	0.58	17.83	N/A	N/A	14,755	8,580	241,285	163,435
2009-10-23	$63.99	$60.00	36.8%	10.5%	31.7%	2.9%	37.0%	1.8%	-0.3%	12.8M	-259.1M	-2.6M	0.51	20.17	N/A	N/A	22,970	11,635	245,480	165,685
2009-10-26	$64.20	$60.00	38.3%	11.0%	26.3%	4.4%	38.5%	2.0%	-1.4%	13.4M	-272.3M	-2.6M	0.48	13.54	N/A	N/A	31,395	15,105	248,560	169,460
2009-10-27	$63.30	$60.00	40.2%	11.5%	26.5%	6.3%	40.8%	1.7%	-1.5%	11.8M	-220.5M	-2.7M	0.46	21.74	N/A	N/A	18,405	8,555	252,680	170,965
2009-10-28	$61.60	$60.00	42.6%	12.2%	28.3%	8.6%	43.0%	2.1%	-2.4%	8.7M	-131.5M	-2.6M	0.62	20.63	N/A	N/A	25,240	15,685	254,100	171,800
2009-10-29	$62.75	$60.00	37.2%	10.7%	21.3%	3.3%	38.2%	2.3%	-0.1%	10.6M	-180.6M	-2.6M	0.80	18.65	N/A	N/A	38,785	30,995	256,470	175,125
2009-10-30	$60.52	$60.00	39.3%	11.3%	25.5%	5.4%	40.4%	2.8%	0.4%	5.9M	-61.4M	-2.5M	1.12	16.97	N/A	N/A	21,500	23,985	261,205	182,420