CME Options History — March 2011

In March 2011, CME traded between $56.06 and $61.63. ATM implied volatility averaged 25.7%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 1.1% (HV 20d: 24.5%). Max pain ranged from $58.00 to $62.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.89.

Notable Days

2011-03-07: Highest Volume — 42,290 contracts
2011-03-10: Largest IV spike — 20.4% change
2011-03-16: Highest IV Rank — 48.9%
2011-03-16: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.35	$56.06	$61.63	$61.30	$60.31
Max Pain	$59.13	$58.00	$62.00	$60.00	$58.00
ATM IV	25.7%	21.8%	33.3%	26.2%	22.3%
Expected Move	7.5%	6.2%	9.5%	7.5%	6.4%
HV 20d	24.5%	21.0%	31.3%	31.3%	21.3%
HV 60d	23.7%	22.8%	24.7%	23.0%	24.7%
IV Rank	19.9%	4.9%	48.9%	21.7%	7.1%
IV Percentile	25.3%	1.6%	84.9%	23.4%	2.4%
Term Structure	1.8%	-0.4%	3.2%	1.9%	2.9%
VWIV	26.9%	22.1%	34.2%	26.6%	22.7%
Skew 25d	3.4%	2.4%	4.6%	3.1%	3.0%
Skew 10d	7.0%	5.6%	10.6%	5.7%	5.6%
Call IV 25d	25.2%	20.7%	32.1%	25.8%	21.1%
Put IV 25d	28.6%	23.2%	35.9%	28.9%	24.1%
Bid-Ask Spread %	35.97	14.41	44.89	22.27	35.12
Gamma HHI	0.11	0.08	0.17	0.11	0.11
Net GEX	1.7M	-10.2M	9.3M	8.7M	7.3M
Net DEX	17.6M	-98.8M	216.9M	-90.9M	-65.3M
Net VEX	-2.0M	-2.2M	-1.8M	-2.2M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.09	1.77	0.95	0.86
Total Volume	16,299.348	3,970	42,290	17,865	8,215
Total OI	252,323.696	190,310	306,220	261,490	222,260

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
2011-03-01	$61.30	$60.00	26.2%	7.5%	31.3%	21.7%	26.6%	3.1%	1.9%	8.7M	-90.9M	-2.2M	0.95	22.27	N/A	N/A	9,180	8,685	145,375	116,115
2011-03-02	$60.81	$60.00	26.2%	7.5%	30.1%	22.0%	26.5%	3.5%	2.2%	6.6M	-54.4M	-2.2M	0.97	24.12	N/A	N/A	5,910	5,715	147,005	118,800
2011-03-03	$61.63	$60.00	23.8%	6.8%	30.6%	12.5%	24.7%	3.1%	2.8%	9.3M	-98.8M	-2.2M	0.60	14.41	N/A	N/A	9,610	5,740	145,640	120,530
2011-03-04	$60.96	$62.00	23.8%	7.8%	25.8%	12.5%	28.0%	3.5%	1.9%	6.2M	-51.0M	-2.1M	0.81	38.65	N/A	N/A	6,420	5,190	147,495	122,865
2011-03-07	$60.77	$60.00	26.0%	8.0%	25.6%	21.1%	27.1%	4.1%	1.7%	5.7M	-48.6M	-2.1M	0.09	39.68	N/A	N/A	38,680	3,610	148,750	123,710
2011-03-08	$60.70	$60.00	24.8%	7.9%	25.6%	16.3%	29.9%	3.8%	1.8%	6.1M	-35.8M	-2.1M	1.63	41.70	N/A	N/A	2,725	4,440	147,615	124,480
2011-03-09	$59.97	$60.00	24.2%	7.9%	25.8%	14.0%	27.9%	3.5%	1.8%	1.2M	18.0M	-2.0M	0.76	43.41	N/A	N/A	9,110	6,885	147,605	126,435
2011-03-10	$59.19	$60.00	29.1%	8.3%	26.1%	32.8%	30.1%	3.6%	1.2%	-162.0K	53.8M	-2.0M	0.55	41.02	N/A	N/A	10,795	5,935	151,025	129,570
2011-03-11	$59.11	$60.00	28.3%	8.1%	25.2%	30.0%	28.5%	3.0%	1.1%	-136.3K	59.8M	-2.0M	0.58	44.89	N/A	N/A	11,080	6,405	155,195	131,970
2011-03-14	$58.27	$60.00	30.8%	8.8%	25.5%	39.5%	31.0%	3.6%	0.0%	-3.7M	108.0M	-1.9M	0.61	30.35	N/A	N/A	11,315	6,930	157,255	131,900
2011-03-15	$57.18	$60.00	30.0%	8.6%	25.3%	36.4%	30.6%	3.4%	0.6%	-8.8M	175.3M	-1.9M	1.29	42.42	N/A	N/A	11,200	14,445	161,045	133,755
2011-03-16	$56.06	$60.00	33.3%	9.5%	22.7%	48.9%	34.2%	3.9%	-0.4%	-10.2M	216.9M	-1.9M	1.77	43.72	N/A	N/A	9,945	17,645	163,565	133,495
2011-03-17	$57.44	$58.00	30.7%	8.8%	24.3%	39.0%	32.1%	4.6%	0.3%	-7.4M	151.9M	-1.9M	1.45	37.62	N/A	N/A	9,025	13,065	165,040	139,045
2011-03-18	$57.16	$58.00	27.4%	7.9%	21.4%	26.5%	28.4%	3.8%	1.9%	-4.3M	163.8M	-1.8M	0.88	43.37	N/A	N/A	10,650	9,330	166,665	139,555
2011-03-21	$57.99	$58.00	25.0%	7.2%	22.2%	17.3%	25.4%	3.8%	2.4%	-366.8K	40.3M	-1.8M	0.61	37.81	N/A	N/A	8,500	5,190	97,815	92,495
2011-03-22	$58.18	$58.00	23.5%	6.7%	22.2%	11.6%	24.4%	3.4%	3.2%	238.6K	32.5M	-1.8M	0.85	37.76	N/A	N/A	6,365	5,400	101,590	94,980
2011-03-23	$59.77	$58.00	23.0%	6.6%	24.3%	9.7%	24.3%	3.5%	2.3%	2.5M	-22.5M	-1.9M	0.54	34.07	N/A	N/A	15,290	8,260	101,175	97,390
2011-03-24	$59.66	$58.00	22.5%	6.4%	24.0%	7.7%	23.5%	2.9%	2.6%	3.6M	-26.3M	-1.9M	1.20	35.16	N/A	N/A	3,895	4,660	107,585	98,100
2011-03-25	$59.17	$58.00	22.6%	6.5%	21.2%	7.9%	24.1%	2.9%	2.8%	3.0M	-12.7M	-1.9M	0.85	37.89	N/A	N/A	4,850	4,110	108,850	99,150
2011-03-28	$59.10	$58.00	22.8%	6.5%	21.2%	8.9%	24.4%	2.4%	2.2%	2.8M	-9.9M	-1.9M	1.40	31.45	N/A	N/A	2,115	2,965	110,705	101,070
2011-03-29	$59.60	$58.00	22.7%	6.5%	21.0%	8.4%	23.1%	2.9%	2.4%	3.6M	-25.0M	-1.9M	0.40	33.56	N/A	N/A	2,835	1,135	111,185	102,685
2011-03-30	$60.65	$58.00	21.8%	6.2%	21.8%	4.9%	22.1%	2.6%	3.0%	7.1M	-74.8M	-1.9M	0.84	36.86	N/A	N/A	11,660	9,775	112,190	102,720
2011-03-31	$60.31	$58.00	22.3%	6.4%	21.3%	7.1%	22.7%	3.0%	2.9%	7.3M	-65.3M	-2.0M	0.86	35.12	N/A	N/A	4,420	3,795	116,415	105,845