CME Options History — March 2010 In March 2010, CME traded between $60.21 and $63.97. ATM implied volatility averaged 27.7%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 2.5% (HV 20d: 30.2%). Max pain ranged from $58.00 to $60.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.63.
Notable Days 2010-03-02 : Highest Volume — 55,890 contracts2010-03-17 : Largest IV drop — 7.9% change2010-03-02 : Highest IV Rank — 15.8%2010-03-02 : Largest Expected Move — 8.8%Monthly Statistics Metric Avg Min Max Open Close Price $62.46 $60.21 $63.97 $60.21 $63.22 Max Pain $59.57 $58.00 $60.00 $58.00 $60.00 ATM IV 27.7% 24.4% 30.6% 30.3% 24.4% Expected Move 8.0% 7.0% 8.8% 8.7% 7.0% HV 20d 30.2% 15.9% 47.1% 46.2% 15.9% HV 60d 36.6% 36.3% 36.9% 36.4% 36.3% IV Rank 10.2% 3.6% 15.8% 15.2% 3.6% IV Percentile 11.1% 4.0% 19.0% 15.9% 4.0% Term Structure 2.8% 0.7% 4.9% 1.4% 4.7% VWIV 29.1% 25.3% 33.0% 30.9% 25.3% Skew 25d 4.6% 2.6% 5.4% 5.3% 2.7% Skew 10d 9.6% 5.3% 12.3% 10.1% 6.4% Call IV 25d 26.3% 23.7% 29.2% 28.4% 24.1% Put IV 25d 31.0% 26.8% 34.3% 33.8% 26.8% Bid-Ask Spread % 16.36 9.66 27.85 12.68 12.28 Gamma HHI 0.14 0.08 0.25 0.11 0.13 Net GEX 10.8M 3.4M 20.9M 3.4M 9.6M Net DEX -146.9M -244.1M -29.3M -29.3M -143.3M Net VEX -2.4M -2.6M -2.2M -2.2M -2.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.43 1.01 0.69 0.43 Total Volume 30,358.478 9,240 55,890 20,725 14,830 Total OI 339,055 245,350 426,000 328,355 294,790
Daily Data (23 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 2010-03-01 $60.21 $58.00 30.3% 8.7% 46.2% 15.2% 30.9% 5.3% 1.4% 3.4M -29.3M -2.2M 0.69 12.68 N/A N/A 12,300 8,425 168,815 159,540 2010-03-02 $61.89 $58.00 30.6% 8.8% 46.9% 15.8% 32.0% 5.1% 0.7% 7.5M -124.2M -2.3M 0.49 12.97 N/A N/A 37,490 18,400 172,495 162,935 2010-03-03 $61.17 $58.00 29.7% 8.5% 47.1% 14.3% 32.0% 4.8% 0.7% 6.0M -73.9M -2.3M 0.81 11.75 N/A N/A 15,305 12,450 179,105 166,440 2010-03-04 $61.50 $60.00 28.9% 8.3% 47.1% 12.6% 31.1% 5.0% 1.3% 7.3M -96.9M -2.3M 0.64 11.75 N/A N/A 14,430 9,205 182,685 171,170 2010-03-05 $62.03 $60.00 26.8% 8.3% 35.1% 8.4% 31.5% 5.4% 2.0% 9.8M -135.9M -2.2M 0.44 13.15 N/A N/A 24,985 10,890 184,730 172,345 2010-03-08 $62.63 $60.00 28.6% 8.6% 32.7% 12.0% 32.1% 5.4% 1.6% 11.3M -140.9M -2.2M 0.71 17.18 N/A N/A 21,715 15,340 177,840 175,585 2010-03-09 $61.63 $60.00 28.5% 8.5% 33.5% 11.8% 33.0% 5.4% 1.6% 10.0M -108.2M -2.2M 1.01 20.45 N/A N/A 22,245 22,430 181,810 177,455 2010-03-10 $61.58 $58.00 28.2% 8.6% 33.5% 11.2% 30.7% 5.2% 1.4% 10.8M -108.7M -2.2M 0.56 18.94 N/A N/A 18,175 10,185 188,190 188,425 2010-03-11 $62.66 $58.00 30.4% 8.7% 32.0% 15.7% 30.2% 5.3% 1.7% 14.8M -181.7M -2.3M 0.43 22.71 N/A N/A 24,785 10,610 194,170 189,855 2010-03-12 $62.88 $60.00 29.6% 8.5% 30.6% 14.1% 29.9% 5.2% 2.3% 16.5M -196.9M -2.3M 0.46 21.04 N/A N/A 23,595 10,790 195,845 190,495 2010-03-15 $62.83 $60.00 30.4% 8.7% 30.1% 15.6% 30.9% 5.2% 2.0% 16.8M -198.2M -2.2M 0.74 16.58 N/A N/A 16,025 11,840 198,005 192,510 2010-03-16 $62.87 $60.00 30.2% 8.7% 29.4% 15.2% 30.1% 5.4% 2.2% 18.3M -244.1M -2.3M 0.70 13.84 N/A N/A 21,430 14,975 207,780 196,115 2010-03-17 $63.20 $60.00 27.8% 8.0% 28.8% 10.4% 29.2% 5.0% 3.6% 20.9M -232.9M -2.4M 0.50 14.96 N/A N/A 19,005 9,535 205,730 200,890 2010-03-18 $62.18 $60.00 27.9% 8.0% 29.5% 10.6% 28.2% 4.8% 3.8% 13.9M -163.0M -2.4M 0.59 19.20 N/A N/A 20,600 12,075 208,010 201,685 2010-03-19 $62.33 $60.00 26.7% 7.7% 29.5% 8.2% 28.4% 5.0% 3.9% 12.8M -231.6M -2.5M 0.95 27.85 N/A N/A 21,180 20,160 223,015 202,985 2010-03-22 $62.32 $60.00 26.2% 7.5% 28.6% 7.2% 26.3% 4.5% 4.5% 6.4M -108.5M -2.4M 0.78 14.54 N/A N/A 11,300 8,855 131,670 113,680 2010-03-23 $62.12 $60.00 25.6% 7.3% 24.3% 5.9% 25.8% 4.4% 4.2% 6.2M -94.9M -2.4M 0.95 21.19 N/A N/A 7,065 6,685 135,580 116,605 2010-03-24 $63.78 $60.00 25.5% 7.3% 19.8% 5.7% 26.5% 4.2% 4.2% 9.1M -166.7M -2.6M 0.45 22.26 N/A N/A 31,975 14,500 138,475 119,580 2010-03-25 $63.97 $60.00 24.7% 7.1% 19.3% 4.2% 25.9% 3.8% 4.9% 10.9M -183.7M -2.6M 0.51 16.43 N/A N/A 27,350 14,010 149,955 123,580 2010-03-26 $63.14 $60.00 25.1% 7.2% 19.1% 5.0% 25.8% 3.6% 4.3% 8.5M -134.9M -2.6M 0.49 12.81 N/A N/A 17,625 8,715 153,210 127,370 2010-03-29 $63.13 $60.00 25.7% 7.4% 19.1% 6.2% 26.5% 2.6% 3.8% 7.9M -133.0M -2.6M 0.54 11.99 N/A N/A 10,070 5,450 154,400 130,540 2010-03-30 $63.23 $60.00 25.0% 7.2% 16.6% 4.8% 26.6% 3.0% 4.3% 9.6M -146.3M -2.6M 0.71 9.66 N/A N/A 5,405 3,835 158,810 133,365 2010-03-31 $63.22 $60.00 24.4% 7.0% 15.9% 3.6% 25.3% 2.7% 4.7% 9.6M -143.3M -2.6M 0.43 12.28 N/A N/A 10,345 4,485 160,460 134,330
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