CME Options History — January 2010

In January 2010, CME traded between $57.24 and $69.86. ATM implied volatility averaged 30.2%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 5.6% (HV 20d: 24.6%). Max pain ranged from $62.00 to $68.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.66.

Notable Days

2010-01-21: Highest Volume — 102,215 contracts
2010-01-11: Largest IV spike — 31.2% change
2010-01-26: Highest IV Rank — 31.9%
2010-01-26: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.09	$57.24	$69.86	$68.48	$57.36
Max Pain	$66.84	$62.00	$68.00	$68.00	$62.00
ATM IV	30.2%	22.7%	41.4%	24.8%	38.2%
Expected Move	8.9%	7.5%	11.9%	7.9%	11.0%
HV 20d	24.6%	17.2%	38.0%	19.8%	37.9%
HV 60d	24.1%	21.6%	29.4%	22.2%	28.6%
IV Rank	12.3%	0.0%	31.9%	3.1%	26.4%
IV Percentile	13.3%	0.0%	36.5%	2.8%	25.8%
Term Structure	-0.6%	-3.8%	0.8%	0.6%	-2.0%
VWIV	31.1%	26.5%	41.5%	27.2%	38.6%
Skew 25d	3.4%	1.8%	4.9%	4.3%	3.8%
Skew 10d	6.6%	3.4%	10.1%	9.1%	7.4%
Call IV 25d	29.6%	24.5%	40.2%	25.6%	37.3%
Put IV 25d	32.9%	27.9%	44.1%	29.9%	41.1%
Bid-Ask Spread %	25.31	14.68	32.01	32.01	22.61
Gamma HHI	0.13	0.07	0.22	0.20	0.08
Net GEX	7.1M	-3.6M	21.7M	14.5M	33.0K
Net DEX	-88.6M	-318.2M	185.2M	-237.2M	152.8M
Net VEX	-1.8M	-2.0M	-1.7M	-1.8M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.48	0.91	0.49	0.63
Total Volume	43,231.842	15,415	102,215	27,730	23,845
Total OI	313,729.474	198,255	398,360	341,670	315,575

Daily Data (19 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
2010-01-04	$68.48	$68.00	24.8%	7.9%	19.8%	3.1%	27.2%	4.3%	0.6%	14.5M	-237.2M	-1.8M	0.49	32.01	N/A	N/A	18,620	9,110	207,095	134,575
2010-01-05	$68.43	$68.00	24.8%	7.9%	19.8%	3.2%	28.4%	4.1%	0.7%	15.6M	-230.6M	-1.8M	0.78	29.52	N/A	N/A	13,750	10,785	208,870	135,125
2010-01-06	$67.96	$68.00	24.2%	7.7%	18.2%	2.2%	27.5%	4.1%	0.8%	13.4M	-200.7M	-1.7M	0.56	27.39	N/A	N/A	9,880	5,535	209,335	137,490
2010-01-07	$68.05	$68.00	23.3%	7.6%	17.2%	0.8%	26.9%	3.7%	0.8%	13.7M	-212.0M	-1.7M	0.91	30.16	N/A	N/A	9,555	8,655	210,585	138,950
2010-01-08	$69.86	$68.00	22.7%	7.5%	18.2%	0.0%	26.8%	4.1%	0.4%	21.7M	-318.2M	-1.8M	0.82	30.62	N/A	N/A	35,300	28,965	212,125	140,300
2010-01-11	$69.85	$68.00	29.7%	8.0%	18.3%	10.6%	27.4%	3.9%	-0.1%	17.5M	-295.2M	-1.9M	0.50	29.64	N/A	N/A	34,245	17,050	218,595	155,115
2010-01-12	$68.43	$68.00	29.4%	8.2%	19.1%	10.2%	28.1%	3.1%	0.1%	8.7M	-188.6M	-1.9M	0.53	28.78	N/A	N/A	28,445	15,140	224,310	157,190
2010-01-13	$68.65	$68.00	26.8%	8.1%	19.0%	6.2%	28.5%	3.0%	0.3%	9.2M	-206.6M	-1.9M	0.81	28.54	N/A	N/A	25,190	20,460	230,875	159,765
2010-01-14	$68.35	$68.00	28.2%	8.1%	19.0%	8.3%	28.4%	3.0%	0.4%	6.7M	-183.9M	-1.9M	0.62	31.51	N/A	N/A	14,810	9,245	233,685	163,895
2010-01-15	$67.45	$68.00	27.7%	7.9%	19.7%	7.5%	28.6%	2.6%	0.7%	6.8M	-131.6M	-1.8M	0.78	17.38	N/A	N/A	20,765	16,150	236,915	161,445
2010-01-19	$67.64	$68.00	26.1%	7.5%	18.3%	5.2%	26.5%	2.5%	0.2%	5.7M	-116.2M	-1.8M	0.51	16.07	N/A	N/A	21,815	11,195	118,470	79,785
2010-01-20	$66.00	$68.00	27.2%	7.8%	20.6%	6.9%	27.3%	1.8%	-0.1%	4.1M	-66.2M	-1.8M	0.60	16.23	N/A	N/A	17,445	10,450	124,770	83,585
2010-01-21	$62.20	$68.00	32.5%	9.3%	29.7%	16.6%	32.5%	1.8%	-1.3%	-290.8K	50.1M	-1.7M	0.67	14.68	N/A	N/A	61,220	40,995	129,955	87,880
2010-01-22	$62.43	$66.00	35.0%	10.0%	29.4%	20.8%	34.9%	2.3%	-1.4%	1.5M	17.2M	-1.9M	0.69	21.57	N/A	N/A	25,830	17,715	144,575	98,915
2010-01-25	$61.40	$66.00	34.5%	9.9%	29.8%	20.0%	35.0%	2.4%	-1.6%	-461.3K	57.6M	-1.8M	0.86	30.26	N/A	N/A	16,410	14,090	147,935	103,840
2010-01-26	$57.24	$66.00	41.4%	11.9%	37.6%	31.9%	41.5%	3.9%	-3.8%	-3.6M	185.2M	-1.7M	0.85	18.55	N/A	N/A	53,400	45,410	149,840	107,455
2010-01-27	$58.87	$64.00	38.5%	11.0%	38.0%	27.0%	38.4%	4.9%	-2.5%	-1.1M	114.8M	-1.9M	0.48	27.56	N/A	N/A	52,610	25,365	163,945	116,035
2010-01-28	$58.10	$62.00	38.6%	11.1%	38.0%	27.0%	38.0%	4.4%	-2.6%	659.7K	126.0M	-2.0M	0.54	27.74	N/A	N/A	20,715	11,240	188,190	123,870
2010-01-29	$57.36	$62.00	38.2%	11.0%	37.9%	26.4%	38.6%	3.8%	-2.0%	33.0K	152.8M	-2.0M	0.63	22.61	N/A	N/A	14,640	9,205	191,025	124,550