CME Options History — December 2009 In December 2009, CME traded between $63.89 and $67.91. ATM implied volatility averaged 26.0%, placing in the 1.4% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 6.2% (HV 20d: 19.8%). Max pain ranged from $62.00 to $68.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.65.
Notable Days 2009-12-07 : Highest Volume — 74,930 contracts2009-12-07 : Largest IV spike — 12.4% change2009-12-07 : Highest IV Rank — 4.7%2009-12-07 : Largest Expected Move — 8.9%Monthly Statistics Metric Avg Min Max Open Close Price $65.98 $63.89 $67.91 $66.17 $67.19 Max Pain $64.36 $62.00 $68.00 $62.00 $64.00 ATM IV 26.0% 22.7% 29.3% 26.7% 23.1% Expected Move 7.6% 6.5% 8.9% 7.7% 6.6% HV 20d 19.8% 18.6% 22.9% 22.9% 18.8% HV 60d 26.5% 22.0% 28.8% 28.2% 22.0% IV Rank 1.4% 0.0% 4.7% 0.8% 0.5% IV Percentile 1.5% 0.0% 3.6% 0.4% 0.8% Term Structure 4.1% 2.7% 5.5% 2.9% 4.4% VWIV 27.6% 23.7% 39.2% 28.2% 24.5% Skew 25d 3.7% 2.5% 4.5% 4.3% 2.8% Skew 10d 7.6% 5.1% 9.7% 9.7% 5.8% Call IV 25d 25.1% 21.7% 29.0% 25.3% 22.5% Put IV 25d 28.7% 24.8% 33.4% 29.7% 25.3% Bid-Ask Spread % 38.69 6.94 52.04 33.34 6.94 Gamma HHI 0.14 0.09 0.21 0.14 0.15 Net GEX 13.6M 5.2M 24.5M 15.9M 11.3M Net DEX -165.1M -244.5M 9.1M -243.9M -185.7M Net VEX -1.8M -2.0M -1.6M -2.0M -1.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.17 1.13 0.64 0.81 Total Volume 27,498.409 11,930 74,930 27,440 14,045 Total OI 381,437.273 283,525 428,640 408,830 338,645
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 2009-12-01 $66.17 $62.00 26.7% 7.7% 22.9% 0.8% 28.2% 4.3% 2.9% 15.9M -243.9M -2.0M 0.64 33.34 N/A N/A 16,730 10,710 239,775 169,055 2009-12-02 $65.67 $62.00 26.4% 7.6% 22.4% 0.5% 27.0% 3.0% 3.1% 16.2M -220.4M -1.9M 0.49 48.50 N/A N/A 25,535 12,390 243,515 171,690 2009-12-03 $66.00 $62.00 26.9% 7.7% 21.0% 1.1% 26.9% 3.4% 2.7% 17.7M -244.5M -2.0M 0.32 30.98 N/A N/A 25,145 8,150 246,415 173,805 2009-12-04 $66.13 $64.00 26.1% 8.4% 18.6% 0.1% 29.3% 4.5% 4.2% 17.8M -233.1M -1.9M 0.64 41.69 N/A N/A 19,315 12,310 250,345 175,625 2009-12-07 $64.74 $64.00 29.3% 8.9% 20.6% 4.7% 39.2% 4.5% 3.1% 11.3M -134.2M -1.9M 0.17 40.60 N/A N/A 63,855 11,075 249,325 177,445 2009-12-08 $63.89 $68.00 28.6% 8.9% 19.9% 3.8% 31.0% 4.4% 3.3% 7.8M 9.1M -1.8M 0.63 45.42 N/A N/A 13,920 8,760 235,830 181,515 2009-12-09 $65.15 $66.00 26.5% 8.3% 19.5% 0.8% 29.9% 4.2% 4.1% 13.3M -122.1M -1.8M 0.52 41.43 N/A N/A 17,135 8,920 236,960 176,125 2009-12-10 $65.58 $66.00 28.2% 8.1% 18.7% 3.5% 29.1% 4.2% 4.4% 15.7M -151.7M -1.8M 0.58 36.96 N/A N/A 11,375 6,555 239,620 177,525 2009-12-11 $66.83 $64.00 27.5% 7.9% 19.6% 2.4% 28.1% 4.2% 5.0% 23.9M -241.0M -1.9M 0.65 37.15 N/A N/A 23,320 15,255 240,995 178,400 2009-12-14 $66.61 $66.00 28.1% 8.0% 19.5% 3.2% 29.6% 4.1% 4.6% 24.5M -229.5M -1.7M 0.90 40.15 N/A N/A 8,925 7,990 244,910 179,570 2009-12-15 $66.25 $66.00 27.5% 7.9% 19.2% 2.4% 28.5% 3.8% 4.7% 20.6M -190.9M -1.7M 0.90 34.74 N/A N/A 7,180 6,495 245,705 179,280 2009-12-16 $66.11 $64.00 26.3% 7.5% 19.0% 0.5% 26.6% 3.5% 5.5% 19.8M -180.6M -1.7M 0.63 34.29 N/A N/A 17,115 10,745 247,110 179,775 2009-12-17 $64.91 $66.00 27.5% 7.9% 20.1% 2.5% 27.6% 3.5% 5.2% 10.3M -95.2M -1.6M 1.05 38.69 N/A N/A 11,660 12,275 246,895 181,265 2009-12-18 $64.90 $64.00 27.2% 7.8% 19.9% 2.0% 27.5% 4.1% 5.0% 5.2M -95.8M -1.6M 0.78 52.04 N/A N/A 18,290 14,185 247,760 180,880 2009-12-21 $64.87 $64.00 26.4% 7.6% 19.9% 0.7% 27.0% 3.3% 3.7% 5.3M -71.0M -1.6M 1.13 34.91 N/A N/A 9,740 11,050 170,360 113,165 2009-12-22 $65.47 $64.00 24.1% 6.9% 20.1% 0.0% 24.7% 3.2% 4.1% 6.8M -108.3M -1.6M 0.60 49.20 N/A N/A 11,255 6,730 176,415 117,285 2009-12-23 $65.60 $64.00 23.1% 6.6% 20.1% 0.0% 24.7% 3.0% 4.1% 7.6M -112.3M -1.6M 0.86 48.70 N/A N/A 7,110 6,150 181,725 121,020 2009-12-24 $66.23 $64.00 22.7% 6.5% 19.1% 0.0% 24.3% 3.2% 4.9% 8.3M -133.2M -1.7M 0.53 38.73 N/A N/A 7,790 4,140 184,665 123,285 2009-12-28 $67.91 $64.00 22.8% 6.5% 19.6% 0.2% 24.0% 3.7% 3.9% 13.3M -219.1M -1.7M 0.42 40.87 N/A N/A 32,025 13,530 188,270 124,490 2009-12-29 $67.68 $64.00 23.2% 6.6% 18.9% 0.7% 23.7% 3.0% 4.1% 13.4M -212.5M -1.8M 0.42 36.21 N/A N/A 23,255 9,740 196,050 127,540 2009-12-30 $67.67 $64.00 23.6% 6.8% 18.8% 1.4% 24.6% 2.5% 3.9% 14.1M -216.9M -1.8M 0.51 39.57 N/A N/A 15,305 7,785 201,335 130,255 2009-12-31 $67.19 $64.00 23.1% 6.6% 18.8% 0.5% 24.5% 2.8% 4.4% 11.3M -185.7M -1.8M 0.81 6.94 N/A N/A 7,740 6,305 205,530 133,115
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