CME Options History — August 2010

In August 2010, CME traded between $47.54 and $57.23. ATM implied volatility averaged 31.1%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 2.0% (HV 20d: 29.2%). Max pain ranged from $52.00 to $60.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.70.

Notable Days

2010-08-11: Highest Volume — 44,265 contracts
2010-08-11: Largest IV spike — 16.7% change
2010-08-11: Highest IV Rank — 45.2%
2010-08-11: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.08	$47.54	$57.23	$57.23	$49.63
Max Pain	$55.91	$52.00	$60.00	$56.00	$52.00
ATM IV	31.1%	26.8%	34.8%	26.8%	32.0%
Expected Move	9.0%	7.7%	9.8%	7.7%	9.2%
HV 20d	29.2%	25.2%	33.5%	27.3%	29.5%
HV 60d	31.3%	28.7%	34.1%	34.0%	28.7%
IV Rank	31.6%	15.3%	45.2%	15.3%	34.9%
IV Percentile	41.8%	15.1%	61.1%	15.1%	50.0%
Term Structure	1.3%	0.4%	2.8%	0.6%	1.6%
VWIV	32.0%	27.7%	35.1%	28.2%	33.3%
Skew 25d	3.6%	2.1%	4.5%	3.9%	4.3%
Skew 10d	6.9%	4.6%	9.7%	8.0%	9.7%
Call IV 25d	30.3%	26.2%	33.0%	26.2%	31.5%
Put IV 25d	33.9%	29.1%	36.4%	30.1%	35.9%
Bid-Ask Spread %	30.04	15.06	44.89	32.54	16.62
Gamma HHI	0.15	0.08	0.34	0.12	0.10
Net GEX	-1.7M	-8.9M	6.9M	6.9M	319.5K
Net DEX	209.5M	7.5M	387.4M	7.5M	178.3M
Net VEX	-1.7M	-2.0M	-1.4M	-2.0M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.24	1.49	0.67	0.39
Total Volume	24,902.045	11,720	44,265	11,720	16,815
Total OI	354,516.136	316,205	403,745	322,875	364,720

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
2010-08-02	$57.23	$56.00	26.8%	7.7%	27.3%	15.3%	28.2%	3.9%	0.6%	6.9M	7.5M	-2.0M	0.67	32.54	N/A	N/A	7,005	4,715	194,965	127,910
2010-08-03	$55.91	$56.00	28.0%	8.0%	28.8%	19.9%	28.5%	2.1%	2.1%	4.8M	59.6M	-2.0M	0.70	38.92	N/A	N/A	7,585	5,290	196,160	128,160
2010-08-04	$55.63	$56.00	26.9%	7.7%	28.5%	15.6%	27.7%	2.7%	1.3%	4.3M	74.1M	-1.9M	0.76	34.38	N/A	N/A	7,390	5,640	198,205	129,060
2010-08-05	$54.97	$56.00	29.0%	8.3%	28.4%	23.5%	28.5%	2.5%	1.2%	2.5M	106.3M	-1.9M	0.73	24.48	N/A	N/A	9,660	7,065	199,075	131,205
2010-08-06	$54.29	$60.00	27.9%	8.6%	28.1%	19.4%	29.8%	4.3%	1.5%	717.2K	143.0M	-1.8M	0.81	41.17	N/A	N/A	15,120	12,270	200,975	132,670
2010-08-09	$54.39	$60.00	28.7%	8.3%	28.2%	22.5%	29.0%	4.5%	2.0%	1.7M	135.0M	-1.8M	0.43	43.72	N/A	N/A	9,505	4,125	204,820	134,120
2010-08-10	$52.78	$60.00	29.8%	8.7%	29.9%	26.7%	30.1%	3.6%	1.7%	-2.8M	201.7M	-1.7M	0.66	42.89	N/A	N/A	17,355	11,460	206,985	135,825
2010-08-11	$50.42	$60.00	34.8%	9.8%	33.5%	45.2%	33.7%	4.3%	0.4%	-6.2M	284.3M	-1.6M	0.68	44.89	N/A	N/A	26,385	17,880	213,885	138,855
2010-08-12	$49.88	$58.00	33.4%	9.6%	33.5%	40.0%	33.7%	3.5%	0.8%	-6.4M	299.2M	-1.5M	0.58	43.85	N/A	N/A	24,170	14,020	220,135	141,910
2010-08-13	$48.96	$58.00	34.1%	9.8%	31.7%	42.4%	35.1%	3.8%	1.1%	-6.1M	319.8M	-1.5M	1.01	36.67	N/A	N/A	13,960	14,155	230,865	143,905
2010-08-16	$49.30	$56.00	34.0%	9.7%	31.8%	42.1%	34.5%	3.4%	0.4%	-6.3M	316.4M	-1.5M	1.13	37.10	N/A	N/A	13,495	15,200	232,055	150,070
2010-08-17	$49.57	$56.00	31.7%	9.1%	29.6%	33.7%	32.7%	3.2%	1.7%	-6.7M	304.1M	-1.5M	0.77	30.33	N/A	N/A	15,540	11,925	235,355	152,875
2010-08-18	$49.16	$56.00	31.4%	9.0%	29.6%	32.4%	32.5%	3.8%	1.7%	-7.4M	320.1M	-1.5M	0.60	34.47	N/A	N/A	16,275	9,720	236,745	153,545
2010-08-19	$48.15	$56.00	33.0%	9.4%	26.8%	38.4%	33.2%	4.0%	1.7%	-8.9M	362.7M	-1.4M	0.98	27.45	N/A	N/A	14,840	14,520	238,665	156,500
2010-08-20	$47.54	$56.00	32.0%	9.2%	25.2%	34.8%	32.9%	3.8%	2.8%	-6.5M	387.4M	-1.4M	1.49	22.85	N/A	N/A	13,645	20,300	243,230	160,515
2010-08-23	$47.57	$54.00	31.2%	9.0%	25.4%	31.9%	32.7%	3.6%	1.5%	-3.1M	256.9M	-1.4M	0.72	17.92	N/A	N/A	19,080	13,655	189,130	127,075
2010-08-24	$47.75	$54.00	32.7%	9.4%	25.6%	37.3%	34.0%	3.4%	0.5%	-2.3M	244.2M	-1.5M	0.63	22.63	N/A	N/A	10,100	6,385	201,285	135,950
2010-08-25	$49.18	$54.00	32.1%	9.2%	28.9%	35.1%	33.3%	3.5%	0.6%	-639.8K	195.1M	-1.7M	0.29	18.07	N/A	N/A	22,670	6,620	205,200	136,105
2010-08-26	$50.18	$52.00	33.5%	9.6%	30.0%	40.2%	34.1%	2.8%	1.2%	1.6M	141.0M	-1.8M	0.24	15.94	N/A	N/A	25,175	6,095	213,890	138,955
2010-08-27	$51.35	$52.00	30.2%	8.7%	30.9%	28.1%	31.9%	4.2%	1.4%	2.5M	110.4M	-1.9M	0.50	15.06	N/A	N/A	14,075	7,080	216,625	140,720
2010-08-30	$49.80	$52.00	32.3%	9.3%	30.1%	35.8%	33.9%	4.2%	1.5%	719.4K	162.0M	-1.8M	0.72	18.86	N/A	N/A	11,570	8,310	218,035	142,420
2010-08-31	$49.63	$52.00	32.0%	9.2%	29.5%	34.9%	33.3%	4.3%	1.6%	319.5K	178.3M	-1.7M	0.39	16.62	N/A	N/A	12,090	4,725	219,860	144,860