CME Options History — November 2009

In November 2009, CME traded between $59.34 and $65.74. ATM implied volatility averaged 32.4%, placing in the 1.0% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 5.4% (HV 20d: 27.0%). Max pain ranged from $60.00 to $62.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.63.

Notable Days

  • 2009-11-09: Highest Volume — 40,800 contracts
  • 2009-11-27: Largest IV spike — 12.0% change
  • 2009-11-02: Highest IV Rank — 3.8%
  • 2009-11-02: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.15$59.34$65.74$61.12$65.65
Max Pain$60.20$60.00$62.00$60.00$62.00
ATM IV32.4%26.0%37.7%37.7%28.7%
Expected Move9.4%7.4%10.8%10.8%8.2%
HV 20d27.0%22.9%28.0%25.7%22.9%
HV 60d30.6%28.2%32.1%31.9%28.2%
IV Rank1.0%0.0%3.8%3.8%3.0%
IV Percentile0.7%0.0%2.4%2.4%1.2%
Term Structure1.5%0.4%3.1%1.0%2.2%
VWIV33.6%26.8%38.7%38.7%29.7%
Skew 25d3.9%2.7%4.5%2.9%4.4%
Skew 10d7.6%5.0%9.6%6.3%7.7%
Call IV 25d31.5%24.6%37.1%37.1%27.7%
Put IV 25d35.3%28.7%40.1%40.1%32.1%
Bid-Ask Spread %31.0317.0349.2917.0349.29
Gamma HHI0.130.080.210.080.13
Net GEX14.0M958.3K26.9M6.5M14.9M
Net DEX-176.6M-316.2M38.6M-74.0M-229.0M
Net VEX-2.2M-2.4M-1.9M-2.4M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.370.950.770.38
Total Volume29,51616,30040,80030,66023,420
Total OI466,677378,080513,415449,105407,360

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$61.12$60.0037.7%10.8%25.7%3.8%38.7%2.9%1.0%6.5M-74.0M-2.4M0.7717.03N/AN/A17,28013,380261,945187,160
2009-11-03$60.31$60.0037.0%10.6%25.2%3.1%37.5%2.8%1.5%4.5M-29.7M-2.4M0.8223.04N/AN/A14,93012,250266,290189,975
2009-11-04$59.34$60.0035.5%10.2%26.0%1.6%36.3%2.7%2.2%958.3K38.6M-2.4M0.4321.90N/AN/A21,4609,195267,580194,055
2009-11-05$61.24$60.0034.2%9.8%27.8%0.4%35.1%2.8%2.3%6.9M-79.7M-2.4M0.5522.10N/AN/A24,82013,610272,395195,870
2009-11-06$61.32$60.0033.3%10.4%26.6%0.0%38.0%4.1%0.9%7.5M-80.7M-2.4M0.6721.77N/AN/A21,08514,090281,025197,680
2009-11-09$62.75$60.0035.0%10.4%27.4%1.7%37.1%4.2%0.5%13.6M-194.5M-2.4M0.4923.00N/AN/A27,43013,370286,750201,615
2009-11-10$61.56$60.0033.6%10.3%27.5%0.4%36.8%3.9%0.7%10.3M-120.4M-2.3M0.9526.54N/AN/A11,09010,555288,950205,630
2009-11-11$62.65$60.0033.7%10.3%28.0%0.4%36.7%4.3%0.4%14.6M-193.6M-2.4M0.4641.26N/AN/A27,12012,535290,310207,260
2009-11-12$63.03$60.0034.3%9.8%28.0%1.0%34.7%4.5%0.8%15.5M-198.0M-2.3M0.3722.25N/AN/A26,9009,890293,545209,445
2009-11-13$62.75$60.0034.5%9.9%27.7%1.2%35.7%4.3%0.8%15.6M-181.7M-2.3M0.6523.74N/AN/A10,7406,930297,060209,975
2009-11-16$63.70$60.0033.1%9.5%27.5%0.0%34.2%4.5%1.0%20.8M-252.1M-2.2M0.6827.93N/AN/A22,17514,990296,810211,425
2009-11-17$64.41$60.0032.8%9.4%27.7%0.0%33.5%4.2%1.0%25.0M-306.7M-2.2M0.5735.90N/AN/A18,34010,545298,060210,910
2009-11-18$64.82$60.0031.8%9.1%27.8%0.0%31.7%4.3%1.2%26.9M-316.2M-2.2M0.6534.11N/AN/A12,3208,030298,405212,835
2009-11-19$64.39$60.0031.3%9.0%27.9%0.0%32.2%4.0%1.5%24.6M-281.3M-2.1M0.7928.66N/AN/A14,16011,175299,600213,705
2009-11-20$64.60$60.0030.9%8.9%27.8%0.0%30.7%4.2%1.5%24.4M-292.4M-2.1M0.5944.21N/AN/A23,82513,940299,495213,920
2009-11-23$64.74$60.0028.4%8.1%27.8%0.0%29.0%3.3%2.4%11.0M-179.9M-1.9M0.8127.50N/AN/A21,59517,550221,090156,990
2009-11-24$64.45$60.0027.5%7.9%27.4%0.0%27.6%3.4%2.8%10.2M-161.4M-2.0M0.4342.84N/AN/A13,9106,010228,315162,465
2009-11-25$65.74$60.0026.0%7.4%26.0%0.0%26.8%4.1%3.1%14.5M-232.8M-2.0M0.7038.91N/AN/A13,7309,645233,310163,885
2009-11-27$64.53$62.0029.1%8.3%26.5%3.4%29.7%4.2%2.5%11.2M-167.0M-2.0M0.9148.68N/AN/A8,5207,780234,700165,745
2009-11-30$65.65$62.0028.7%8.2%22.9%3.0%29.7%4.4%2.2%14.9M-229.0M-2.0M0.3849.29N/AN/A16,9506,470238,345169,015