CME Options History — February 2010

In February 2010, CME traded between $53.86 and $60.34. ATM implied volatility averaged 34.4%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 13.0% (HV 20d: 47.4%). Max pain ranged from $58.00 to $62.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.74.

Notable Days

2010-02-04: Highest Volume — 94,305 contracts
2010-02-09: Largest IV drop — 14.5% change
2010-02-08: Highest IV Rank — 33.4%
2010-02-04: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.55	$53.86	$60.34	$58.24	$60.34
Max Pain	$60.00	$58.00	$62.00	$62.00	$58.00
ATM IV	34.4%	29.4%	39.5%	38.8%	29.4%
Expected Move	9.9%	8.4%	11.2%	11.1%	8.4%
HV 20d	47.4%	37.9%	52.6%	38.9%	46.5%
HV 60d	33.2%	27.7%	36.4%	28.6%	36.4%
IV Rank	22.8%	13.6%	33.4%	27.4%	13.6%
IV Percentile	21.2%	14.7%	31.0%	27.8%	14.7%
Term Structure	-0.1%	-4.4%	1.7%	-2.8%	1.6%
VWIV	35.4%	31.1%	38.8%	38.7%	31.1%
Skew 25d	4.5%	3.2%	5.4%	4.0%	4.5%
Skew 10d	9.2%	7.0%	11.1%	8.0%	9.2%
Call IV 25d	33.1%	27.8%	37.5%	37.5%	27.8%
Put IV 25d	37.7%	32.2%	41.7%	41.6%	32.2%
Bid-Ask Spread %	37.53	19.09	57.13	26.98	30.34
Gamma HHI	0.10	0.07	0.17	0.08	0.10
Net GEX	483.9K	-5.8M	7.8M	361.9K	2.4M
Net DEX	116.9M	-29.2M	295.0M	130.1M	-29.2M
Net VEX	-1.9M	-2.2M	-1.6M	-2.0M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.30	1.88	0.38	0.95
Total Volume	38,413.158	22,845	94,305	26,675	30,025
Total OI	337,212.632	272,380	395,210	320,665	320,255

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
2010-02-01	$58.24	$62.00	38.8%	11.1%	38.9%	27.4%	38.7%	4.0%	-2.8%	361.9K	130.1M	-2.0M	0.38	26.98	N/A	N/A	19,305	7,370	192,415	128,250
2010-02-02	$58.64	$62.00	38.6%	11.1%	38.0%	27.1%	38.8%	4.4%	-4.4%	847.2K	121.0M	-2.0M	0.40	37.23	N/A	N/A	20,155	8,110	194,180	128,370
2010-02-03	$58.42	$62.00	38.3%	11.0%	37.9%	29.3%	38.7%	3.5%	-3.6%	972.5K	119.6M	-2.0M	0.30	41.49	N/A	N/A	31,955	9,440	200,440	130,330
2010-02-04	$53.86	$62.00	39.0%	11.2%	46.0%	32.3%	38.6%	4.2%	-1.8%	-5.2M	295.0M	-1.6M	0.57	29.71	N/A	N/A	59,925	34,380	185,850	129,820
2010-02-05	$56.16	$60.00	35.5%	10.4%	49.6%	25.4%	36.8%	5.2%	0.5%	212.6K	168.6M	-1.8M	0.54	40.18	N/A	N/A	29,470	16,005	209,020	134,540
2010-02-08	$56.06	$60.00	39.5%	10.8%	47.9%	33.4%	38.5%	3.8%	-0.3%	676.4K	159.6M	-1.9M	0.46	38.66	N/A	N/A	25,200	11,485	212,375	136,070
2010-02-09	$56.64	$60.00	33.8%	10.4%	48.4%	22.1%	36.0%	4.9%	1.0%	523.5K	159.4M	-1.8M	0.39	32.78	N/A	N/A	16,415	6,430	213,515	138,935
2010-02-10	$55.27	$60.00	33.1%	10.3%	48.5%	20.8%	36.1%	3.2%	0.2%	-2.0M	219.5M	-1.8M	0.51	37.39	N/A	N/A	15,235	7,695	214,605	140,210
2010-02-11	$57.01	$60.00	34.5%	9.9%	50.5%	23.4%	34.9%	5.2%	1.2%	1.3M	147.3M	-1.9M	0.54	39.49	N/A	N/A	20,875	11,350	218,725	141,735
2010-02-12	$58.21	$60.00	33.2%	9.5%	51.6%	20.8%	33.5%	4.7%	1.5%	4.4M	82.5M	-1.9M	0.52	57.13	N/A	N/A	21,690	11,250	220,765	143,355
2010-02-16	$59.43	$60.00	31.8%	9.1%	52.6%	18.1%	32.6%	4.7%	1.2%	7.8M	16.0M	-1.9M	0.60	56.51	N/A	N/A	22,955	13,835	222,045	144,655
2010-02-17	$58.62	$60.00	31.8%	9.1%	52.5%	18.2%	32.3%	4.1%	1.5%	3.9M	70.3M	-1.9M	0.49	54.13	N/A	N/A	15,680	7,690	223,545	145,980
2010-02-18	$58.34	$60.00	33.9%	9.7%	52.1%	22.6%	35.6%	5.4%	-0.2%	2.2M	78.9M	-1.9M	1.67	44.11	N/A	N/A	18,295	30,595	228,070	146,695
2010-02-19	$58.36	$60.00	32.0%	9.2%	48.2%	18.7%	34.2%	5.2%	1.3%	287.7K	91.7M	-2.0M	1.88	39.76	N/A	N/A	24,270	45,620	234,515	160,695
2010-02-22	$57.41	$60.00	32.6%	9.3%	48.4%	20.0%	34.6%	4.8%	-0.0%	-2.5M	101.8M	-1.9M	1.31	38.33	N/A	N/A	13,445	17,670	144,460	127,920
2010-02-23	$55.31	$58.00	34.7%	9.9%	49.6%	24.1%	36.0%	5.3%	0.0%	-5.8M	185.9M	-1.9M	0.92	19.09	N/A	N/A	17,700	16,235	150,330	137,315
2010-02-24	$58.11	$58.00	32.1%	9.2%	46.9%	19.0%	32.6%	5.0%	0.3%	-1.3M	71.1M	-2.1M	0.72	24.10	N/A	N/A	22,690	16,285	154,490	142,435
2010-02-25	$59.09	$58.00	31.3%	9.0%	46.2%	17.3%	33.6%	4.3%	1.7%	190.0K	31.6M	-2.2M	0.90	25.57	N/A	N/A	17,425	15,695	160,845	149,285
2010-02-26	$60.34	$58.00	29.4%	8.4%	46.5%	13.6%	31.1%	4.5%	1.6%	2.4M	-29.2M	-2.2M	0.95	30.34	N/A	N/A	15,380	14,645	165,700	154,555