CME Options History — December 2010

In December 2010, CME traded between $60.01 and $65.40. ATM implied volatility averaged 24.4%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 2.1% (HV 20d: 26.5%). Max pain ranged from $56.00 to $62.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.81.

Notable Days

2010-12-07: Highest Volume — 133,455 contracts
2010-12-13: Largest IV spike — 16.0% change
2010-12-13: Highest IV Rank — 25.6%
2010-12-01: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.99	$60.01	$65.40	$60.01	$64.35
Max Pain	$61.00	$56.00	$62.00	$56.00	$62.00
ATM IV	24.4%	20.5%	28.8%	27.5%	22.8%
Expected Move	6.9%	5.9%	7.9%	7.9%	6.5%
HV 20d	26.5%	14.0%	30.1%	26.8%	14.0%
HV 60d	24.5%	22.7%	26.0%	24.8%	22.7%
IV Rank	10.5%	0.0%	25.6%	20.0%	8.8%
IV Percentile	11.2%	0.0%	44.0%	26.2%	3.2%
Term Structure	2.7%	0.4%	4.5%	0.4%	4.5%
VWIV	25.0%	21.5%	28.8%	28.8%	23.9%
Skew 25d	2.6%	1.9%	3.3%	3.3%	2.1%
Skew 10d	5.4%	3.7%	7.8%	6.1%	4.2%
Call IV 25d	23.4%	20.3%	27.0%	27.0%	22.0%
Put IV 25d	26.0%	22.4%	30.3%	30.3%	24.1%
Bid-Ask Spread %	20.13	12.97	38.40	12.97	17.04
Gamma HHI	0.15	0.12	0.20	0.18	0.13
Net GEX	14.6M	9.7M	22.6M	10.8M	11.0M
Net DEX	-258.9M	-326.2M	-182.6M	-182.6M	-204.0M
Net VEX	-1.8M	-1.9M	-1.7M	-1.7M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.06	2.78	0.43	1.03
Total Volume	24,329.318	4,145	133,455	27,125	6,305
Total OI	306,507.273	245,325	353,500	334,325	270,375

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
2010-12-01	$60.01	$56.00	27.5%	7.9%	26.8%	20.0%	28.8%	3.3%	0.4%	10.8M	-182.6M	-1.7M	0.43	12.97	N/A	N/A	18,930	8,195	193,165	141,160
2010-12-02	$62.50	$56.00	26.1%	7.5%	30.1%	14.5%	27.5%	2.4%	1.2%	15.0M	-308.2M	-1.7M	0.26	18.20	N/A	N/A	46,545	11,870	194,405	141,455
2010-12-03	$62.20	$56.00	25.4%	7.3%	29.1%	11.6%	26.3%	2.5%	1.1%	16.2M	-290.1M	-1.8M	0.54	14.29	N/A	N/A	12,155	6,595	202,720	143,205
2010-12-06	$62.57	$60.00	26.5%	7.6%	28.9%	15.9%	27.1%	2.4%	1.4%	17.5M	-312.1M	-1.7M	0.52	26.80	N/A	N/A	19,625	10,155	203,780	143,845
2010-12-07	$62.80	$60.00	25.8%	7.5%	28.9%	12.9%	28.4%	2.5%	1.7%	18.5M	-326.2M	-1.8M	0.06	21.56	N/A	N/A	125,980	7,475	206,725	146,775
2010-12-08	$64.24	$62.00	25.9%	7.5%	29.4%	13.5%	26.4%	2.9%	1.5%	22.6M	-287.0M	-1.8M	0.54	28.42	N/A	N/A	32,410	17,410	187,570	149,365
2010-12-09	$64.36	$62.00	25.9%	7.3%	29.4%	13.3%	26.0%	3.1%	1.8%	19.4M	-298.5M	-1.9M	1.02	23.69	N/A	N/A	14,660	15,010	185,955	146,940
2010-12-10	$64.33	$62.00	24.8%	7.3%	29.3%	9.1%	25.4%	2.9%	1.9%	19.5M	-297.1M	-1.8M	0.45	18.27	N/A	N/A	14,685	6,535	186,535	146,790
2010-12-13	$64.54	$62.00	28.8%	7.4%	28.5%	25.6%	26.7%	2.6%	1.7%	20.7M	-319.9M	-1.8M	0.94	16.84	N/A	N/A	11,740	11,065	188,400	146,965
2010-12-14	$64.65	$62.00	28.5%	7.3%	28.5%	24.4%	25.8%	2.9%	1.9%	19.7M	-312.8M	-1.8M	0.67	19.62	N/A	N/A	7,280	4,905	188,405	149,310
2010-12-15	$63.68	$62.00	25.1%	7.2%	28.9%	10.4%	26.1%	3.3%	2.3%	15.5M	-250.1M	-1.8M	0.69	19.74	N/A	N/A	11,885	8,175	187,880	149,640
2010-12-16	$64.42	$62.00	25.0%	7.2%	28.7%	9.6%	25.2%	2.9%	2.4%	14.7M	-287.1M	-1.8M	0.68	21.19	N/A	N/A	9,580	6,530	189,675	152,810
2010-12-17	$63.85	$62.00	23.5%	6.8%	29.0%	3.7%	24.1%	2.7%	3.4%	12.1M	-233.7M	-1.7M	0.50	19.26	N/A	N/A	15,140	7,590	190,240	153,265
2010-12-20	$64.33	$62.00	21.7%	6.2%	29.0%	0.0%	23.3%	2.4%	3.9%	9.7M	-187.4M	-1.8M	1.33	20.30	N/A	N/A	4,135	5,485	151,300	94,025
2010-12-21	$65.22	$62.00	20.5%	5.9%	26.8%	0.0%	21.6%	2.2%	4.0%	11.2M	-234.6M	-1.7M	1.83	21.74	N/A	N/A	4,965	9,105	151,815	96,110
2010-12-22	$65.40	$62.00	20.7%	5.9%	24.5%	0.8%	21.5%	2.1%	3.9%	11.5M	-245.2M	-1.8M	1.06	17.53	N/A	N/A	4,600	4,870	153,510	100,355
2010-12-23	$64.85	$62.00	21.6%	6.2%	23.8%	4.4%	22.6%	2.5%	4.0%	10.6M	-218.7M	-1.8M	2.78	38.40	N/A	N/A	1,515	4,210	155,155	102,110
2010-12-27	$65.24	$62.00	22.2%	6.4%	23.8%	6.7%	23.4%	2.6%	3.2%	10.7M	-231.5M	-1.8M	0.75	17.13	N/A	N/A	2,370	1,775	155,515	103,810
2010-12-28	$64.84	$62.00	22.7%	6.5%	23.1%	8.4%	22.8%	1.9%	4.2%	11.0M	-229.3M	-1.8M	0.36	15.92	N/A	N/A	6,265	2,270	156,210	104,565
2010-12-29	$64.93	$62.00	22.9%	6.6%	23.2%	9.1%	23.3%	2.3%	3.9%	11.5M	-234.2M	-1.8M	0.81	15.84	N/A	N/A	5,190	4,210	157,800	105,545
2010-12-30	$64.41	$62.00	22.9%	6.6%	19.7%	9.2%	22.8%	2.7%	4.3%	10.9M	-204.6M	-1.8M	0.55	18.16	N/A	N/A	3,775	2,075	160,275	107,705
2010-12-31	$64.35	$62.00	22.8%	6.5%	14.0%	8.8%	23.9%	2.1%	4.5%	11.0M	-204.0M	-1.8M	1.03	17.04	N/A	N/A	3,100	3,205	161,460	108,915