CME Options History — June 2010

In June 2010, CME traded between $56.31 and $64.70. ATM implied volatility averaged 34.1%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 4.4% (HV 20d: 38.5%). Max pain ranged from $60.00 to $64.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.85.

Notable Days

2010-06-07: Highest Volume — 35,815 contracts
2010-06-04: Largest IV spike — 18.3% change
2010-06-07: Highest IV Rank — 52.4%
2010-06-07: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.67	$56.31	$64.70	$62.33	$56.31
Max Pain	$61.82	$60.00	$64.00	$64.00	$60.00
ATM IV	34.1%	29.2%	41.3%	37.4%	36.0%
Expected Move	9.8%	8.4%	11.6%	10.7%	10.3%
HV 20d	38.5%	32.8%	44.0%	38.8%	32.8%
HV 60d	32.3%	29.0%	34.4%	29.0%	34.4%
IV Rank	32.1%	18.5%	52.4%	41.3%	37.4%
IV Percentile	43.5%	25.8%	69.8%	52.0%	54.4%
Term Structure	2.3%	0.2%	4.1%	1.7%	3.4%
VWIV	35.0%	30.4%	42.6%	38.4%	36.0%
Skew 25d	6.6%	3.3%	9.2%	7.6%	5.6%
Skew 10d	13.6%	6.3%	19.7%	15.9%	12.5%
Call IV 25d	31.6%	27.7%	37.2%	34.9%	34.3%
Put IV 25d	38.2%	32.9%	45.8%	42.6%	39.9%
Bid-Ask Spread %	37.92	20.80	51.97	47.56	48.40
Gamma HHI	0.09	0.06	0.13	0.07	0.08
Net GEX	904.2K	-5.8M	7.9M	2.6M	-3.2M
Net DEX	17.5M	-130.6M	153.5M	-32.7M	123.2M
Net VEX	-2.5M	-3.0M	-2.3M	-2.9M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.36	1.47	1.14	1.35
Total Volume	22,088.182	11,435	35,815	18,285	22,190
Total OI	345,809.773	254,770	402,710	356,180	304,795

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
2010-06-01	$62.33	$64.00	37.4%	10.7%	38.8%	41.3%	38.4%	7.6%	1.7%	2.6M	-32.7M	-2.9M	1.14	47.56	N/A	N/A	8,560	9,725	210,250	145,930
2010-06-02	$64.58	$64.00	33.3%	9.6%	40.4%	30.0%	33.8%	7.2%	1.3%	7.0M	-123.0M	-3.0M	0.47	47.68	N/A	N/A	12,880	6,005	212,825	152,625
2010-06-03	$64.70	$64.00	32.0%	9.2%	40.3%	26.2%	32.7%	7.2%	2.1%	7.9M	-130.6M	-2.9M	1.04	48.09	N/A	N/A	5,605	5,830	217,680	154,805
2010-06-04	$62.13	$62.00	37.8%	11.0%	42.7%	42.6%	39.8%	8.0%	0.7%	1.1M	-10.1M	-2.9M	0.67	37.10	N/A	N/A	12,665	8,530	218,120	156,300
2010-06-07	$59.91	$62.00	41.3%	11.6%	44.0%	52.4%	42.6%	8.7%	0.2%	-2.9M	84.0M	-2.6M	0.59	28.81	N/A	N/A	22,570	13,245	218,900	154,895
2010-06-08	$59.62	$62.00	38.0%	11.1%	38.4%	42.9%	40.4%	8.6%	1.1%	-3.9M	115.2M	-2.5M	1.35	22.42	N/A	N/A	12,755	17,250	220,375	156,425
2010-06-09	$58.29	$62.00	40.0%	11.5%	38.9%	48.5%	38.3%	9.2%	0.7%	-5.8M	153.5M	-2.5M	0.36	24.87	N/A	N/A	20,025	7,115	221,160	158,105
2010-06-10	$60.72	$62.00	36.4%	10.4%	42.3%	38.7%	36.4%	8.7%	1.4%	-94.4K	49.1M	-2.6M	0.67	20.80	N/A	N/A	9,460	6,325	225,705	158,570
2010-06-11	$60.49	$62.00	36.2%	10.4%	42.0%	38.0%	36.3%	7.8%	1.8%	-943.2K	57.2M	-2.5M	0.49	20.91	N/A	N/A	13,430	6,590	225,325	158,850
2010-06-14	$61.44	$62.00	34.4%	9.9%	41.6%	33.1%	35.7%	8.2%	2.6%	1.9M	4.4M	-2.6M	0.73	20.84	N/A	N/A	15,320	11,255	229,070	160,760
2010-06-15	$61.95	$60.00	33.2%	9.5%	41.7%	29.6%	34.1%	7.1%	2.3%	3.2M	-15.8M	-2.6M	0.93	24.43	N/A	N/A	10,390	9,685	231,465	163,040
2010-06-16	$62.13	$62.00	32.4%	9.3%	40.8%	27.3%	33.4%	6.4%	2.6%	4.7M	-33.8M	-2.5M	0.56	41.39	N/A	N/A	16,260	9,105	232,860	165,220
2010-06-17	$61.90	$62.00	31.2%	9.0%	40.7%	24.0%	31.8%	5.9%	2.2%	2.5M	-15.7M	-2.5M	0.75	42.62	N/A	N/A	10,940	8,155	235,910	166,800
2010-06-18	$61.43	$62.00	29.4%	8.4%	39.7%	19.0%	32.5%	5.5%	3.5%	2.7M	19.5M	-2.4M	1.47	49.97	N/A	N/A	10,835	15,945	235,665	165,740
2010-06-21	$61.46	$62.00	29.2%	8.4%	35.2%	18.5%	30.4%	5.1%	3.5%	2.5M	-30.8M	-2.4M	0.74	40.71	N/A	N/A	10,975	8,120	152,830	101,940
2010-06-22	$60.81	$62.00	31.6%	9.1%	34.8%	25.2%	32.1%	4.9%	3.0%	1.9M	-12.3M	-2.4M	0.96	41.02	N/A	N/A	11,675	11,155	157,870	105,510
2010-06-23	$60.11	$62.00	29.6%	8.5%	33.1%	19.6%	31.4%	4.8%	3.9%	1.0M	6.0M	-2.4M	1.11	37.77	N/A	N/A	7,490	8,350	162,485	110,920
2010-06-24	$58.04	$62.00	32.3%	9.3%	35.1%	27.2%	33.4%	5.1%	3.5%	-1.8M	69.7M	-2.3M	0.96	44.14	N/A	N/A	10,380	9,995	164,750	113,420
2010-06-25	$59.46	$60.00	31.4%	9.0%	34.5%	24.6%	32.1%	4.9%	3.7%	631.5K	18.4M	-2.4M	0.63	43.85	N/A	N/A	16,000	10,095	169,270	116,435
2010-06-28	$59.36	$60.00	31.4%	9.0%	34.4%	24.7%	31.3%	3.3%	4.1%	785.0K	9.3M	-2.4M	0.58	48.91	N/A	N/A	14,680	8,505	173,115	119,440
2010-06-29	$57.58	$60.00	35.2%	10.1%	35.5%	35.3%	36.2%	5.1%	2.2%	-1.8M	79.4M	-2.4M	1.08	51.97	N/A	N/A	9,550	10,325	178,275	123,385
2010-06-30	$56.31	$60.00	36.0%	10.3%	32.8%	37.4%	36.0%	5.6%	3.4%	-3.2M	123.2M	-2.3M	1.35	48.40	N/A	N/A	9,450	12,740	180,035	124,760