CME Options History — April 2010 In April 2010, CME traded between $62.04 and $68.35. ATM implied volatility averaged 28.8%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 8.0% (HV 20d: 20.8%). Max pain ranged from $62.00 to $64.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.56.
Notable Days 2010-04-22 : Highest Volume — 115,060 contracts2010-04-14 : Largest IV spike — 16.5% change2010-04-27 : Highest IV Rank — 31.2%2010-04-27 : Largest Expected Move — 10.9%Monthly Statistics Metric Avg Min Max Open Close Price $64.46 $62.04 $68.35 $63.94 $65.85 Max Pain $62.95 $62.00 $64.00 $62.00 $64.00 ATM IV 28.8% 22.7% 38.0% 23.5% 31.9% Expected Move 8.6% 6.7% 10.9% 6.7% 9.1% HV 20d 20.8% 14.3% 28.7% 16.2% 28.6% HV 60d 34.7% 32.2% 36.4% 36.3% 32.6% IV Rank 12.5% 0.1% 31.2% 1.6% 18.7% IV Percentile 21.1% 0.4% 46.8% 2.8% 34.1% Term Structure 0.4% -1.4% 4.9% 4.9% 2.1% VWIV 30.7% 23.0% 38.9% 23.0% 32.5% Skew 25d 3.0% -0.0% 4.7% 2.6% 2.0% Skew 10d 6.1% -0.4% 9.4% 4.7% 3.9% Call IV 25d 29.0% 23.0% 38.5% 23.0% 31.5% Put IV 25d 32.0% 25.6% 38.4% 25.6% 33.5% Bid-Ask Spread % 23.54 10.49 56.40 10.49 56.40 Gamma HHI 0.13 0.08 0.33 0.14 0.09 Net GEX 9.8M 315.2K 23.4M 11.6M 10.6M Net DEX -176.4M -361.9M -51.1M -177.5M -226.2M Net VEX -2.7M -3.4M -2.3M -2.6M -3.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.56 0.25 1.43 0.73 0.51 Total Volume 36,401.905 14,655 115,060 16,120 18,680 Total OI 314,274.286 246,060 387,595 296,315 387,595
Daily Data (21 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 2010-04-01 $63.94 $62.00 23.5% 6.7% 16.2% 1.6% 23.0% 2.6% 4.9% 11.6M -177.5M -2.6M 0.73 10.49 N/A N/A 9,335 6,785 160,615 135,700 2010-04-05 $63.42 $64.00 26.3% 8.4% 16.4% 7.4% 32.5% 4.7% 0.4% 9.3M -142.1M -2.5M 0.62 15.73 N/A N/A 16,280 10,095 160,335 138,530 2010-04-06 $63.38 $64.00 25.0% 8.1% 16.1% 4.7% 29.0% 3.9% 0.4% 10.0M -139.7M -2.5M 0.56 14.80 N/A N/A 13,925 7,855 163,215 140,985 2010-04-07 $62.86 $64.00 25.7% 8.3% 15.2% 6.1% 31.4% 4.0% 0.4% 8.9M -119.8M -2.4M 0.94 15.52 N/A N/A 10,960 10,335 164,985 142,770 2010-04-08 $62.35 $64.00 24.3% 8.2% 15.6% 3.4% 29.3% 3.9% 0.3% 6.4M -84.5M -2.4M 0.69 12.81 N/A N/A 9,335 6,430 164,985 142,770 2010-04-09 $62.42 $62.00 22.7% 8.1% 14.3% 0.1% 28.9% 4.0% 0.6% 8.2M -92.2M -2.4M 0.47 16.11 N/A N/A 11,230 5,285 172,055 150,140 2010-04-12 $62.10 $62.00 25.7% 8.3% 14.3% 6.2% 29.5% 4.2% 0.2% 4.8M -69.0M -2.3M 0.63 12.19 N/A N/A 9,420 5,940 170,305 151,460 2010-04-13 $62.04 $62.00 23.8% 7.9% 14.3% 2.4% 27.5% 3.6% 0.4% 2.5M -51.1M -2.3M 0.34 14.68 N/A N/A 20,320 6,815 172,165 152,880 2010-04-14 $63.89 $62.00 27.8% 7.9% 17.8% 10.3% 27.6% 4.0% -0.3% 18.8M -198.5M -2.3M 0.33 11.23 N/A N/A 32,940 10,890 174,585 153,470 2010-04-15 $64.22 $62.00 28.1% 8.1% 17.8% 11.0% 27.9% 4.0% -0.5% 23.4M -223.5M -2.4M 0.40 13.80 N/A N/A 24,160 9,550 178,820 155,140 2010-04-16 $62.44 $62.00 30.4% 8.7% 19.7% 15.7% 30.9% 4.2% -0.6% 315.2K -86.8M -2.3M 1.43 17.25 N/A N/A 26,670 38,230 179,910 157,450 2010-04-19 $64.21 $62.00 29.7% 8.5% 22.1% 14.3% 30.1% 4.1% 0.2% 5.6M -123.3M -2.5M 0.46 34.32 N/A N/A 30,925 14,085 132,310 113,750 2010-04-20 $64.07 $62.00 28.4% 8.1% 22.1% 11.6% 29.0% 3.3% -0.1% 7.2M -127.9M -2.5M 0.69 30.30 N/A N/A 17,655 12,135 145,060 117,775 2010-04-21 $64.50 $62.00 28.2% 8.1% 22.1% 11.2% 28.8% 3.2% -0.1% 7.3M -140.4M -2.5M 0.84 32.13 N/A N/A 7,945 6,710 147,305 122,290 2010-04-22 $67.59 $62.00 31.4% 9.0% 26.0% 17.8% 32.1% 3.0% -0.1% 10.7M -287.0M -2.8M 0.37 27.10 N/A N/A 83,930 31,130 148,745 125,030 2010-04-23 $66.97 $64.00 31.6% 9.0% 26.3% 18.1% 31.8% 1.7% -0.3% 12.2M -279.0M -3.0M 0.50 30.77 N/A N/A 23,550 11,815 177,440 136,820 2010-04-26 $68.35 $64.00 36.0% 10.3% 26.4% 27.0% 36.4% 0.6% -1.4% 13.2M -361.9M -3.2M 0.25 20.29 N/A N/A 54,655 13,430 181,330 138,565 2010-04-27 $66.65 $64.00 38.0% 10.9% 28.4% 31.2% 38.9% -0.0% -1.1% 11.3M -277.4M -3.3M 0.34 25.69 N/A N/A 28,140 9,570 192,370 142,570 2010-04-28 $66.06 $64.00 35.4% 10.2% 28.7% 25.9% 36.3% 0.3% -0.1% 10.5M -237.5M -3.3M 0.47 41.88 N/A N/A 30,515 14,305 198,360 145,585 2010-04-29 $66.30 $64.00 31.1% 8.9% 28.7% 17.2% 32.0% 1.7% 2.1% 12.5M -259.2M -3.3M 0.29 40.78 N/A N/A 40,635 11,845 211,025 152,565 2010-04-30 $65.85 $64.00 31.9% 9.1% 28.6% 18.7% 32.5% 2.0% 2.1% 10.6M -226.2M -3.4M 0.51 56.40 N/A N/A 12,410 6,270 223,835 163,760
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