CME Options History — April 2011

In April 2011, CME traded between $59.15 and $62.15. ATM implied volatility averaged 22.0%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 4.3% (HV 20d: 17.7%). Max pain ranged from $58.00 to $60.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.78.

Notable Days

2011-04-01: Highest Volume — 19,180 contracts
2011-04-11: Largest IV spike — 24.4% change
2011-04-18: Highest IV Rank — 19.4%
2011-04-11: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.10	$59.15	$62.15	$60.85	$59.15
Max Pain	$59.10	$58.00	$60.00	$58.00	$60.00
ATM IV	22.0%	18.6%	24.1%	22.4%	21.6%
Expected Move	6.7%	6.0%	7.4%	6.4%	6.2%
HV 20d	17.7%	14.9%	21.2%	21.2%	18.7%
HV 60d	23.5%	22.9%	24.5%	24.5%	23.6%
IV Rank	10.7%	0.0%	19.4%	7.4%	10.8%
IV Percentile	6.2%	0.0%	16.7%	2.8%	3.6%
Term Structure	0.5%	-0.8%	3.1%	3.1%	0.7%
VWIV	23.8%	21.6%	26.0%	22.7%	22.8%
Skew 25d	3.5%	2.2%	4.2%	2.2%	2.7%
Skew 10d	6.9%	4.6%	8.3%	5.2%	4.6%
Call IV 25d	22.2%	19.6%	23.7%	21.9%	21.2%
Put IV 25d	25.7%	22.4%	27.7%	24.1%	24.0%
Bid-Ask Spread %	44.15	34.82	49.67	34.95	34.82
Gamma HHI	0.13	0.09	0.17	0.12	0.10
Net GEX	7.8M	-94.2K	12.8M	8.4M	-94.2K
Net DEX	-74.7M	-131.0M	28.2M	-84.9M	28.2M
Net VEX	-1.9M	-2.0M	-1.7M	-2.0M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.36	1.51	0.60	0.68
Total Volume	8,888.75	3,360	19,180	19,180	19,140
Total OI	220,629.5	190,375	241,500	224,395	219,110

Daily Data (20 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
2011-04-01	$60.85	$58.00	22.4%	6.4%	21.2%	7.4%	22.7%	2.2%	3.1%	8.4M	-84.9M	-2.0M	0.60	34.95	N/A	N/A	11,965	7,215	117,200	107,195
2011-04-04	$61.02	$58.00	20.8%	7.0%	21.2%	1.2%	24.1%	3.7%	0.3%	9.9M	-94.0M	-2.0M	0.36	40.72	N/A	N/A	3,860	1,395	122,360	108,235
2011-04-05	$60.97	$58.00	22.2%	7.3%	21.2%	6.4%	24.7%	3.4%	0.1%	10.3M	-97.3M	-2.0M	0.47	44.03	N/A	N/A	2,455	1,155	122,845	108,210
2011-04-06	$61.72	$58.00	19.7%	7.0%	21.1%	0.0%	24.7%	3.4%	0.2%	12.8M	-131.0M	-2.0M	0.39	40.69	N/A	N/A	9,995	3,930	123,440	108,580
2011-04-07	$61.19	$58.00	19.7%	6.9%	20.8%	0.0%	24.3%	3.8%	0.3%	10.8M	-101.0M	-2.0M	0.93	47.61	N/A	N/A	1,915	1,790	125,620	109,415
2011-04-08	$61.07	$58.00	18.6%	7.0%	20.8%	0.0%	25.3%	3.8%	0.3%	10.3M	-95.5M	-2.0M	1.07	48.26	N/A	N/A	2,755	2,940	125,805	109,330
2011-04-11	$60.80	$58.00	23.2%	7.4%	20.0%	16.2%	24.9%	4.2%	-0.2%	9.2M	-81.4M	-2.0M	1.02	43.28	N/A	N/A	2,010	2,045	126,320	110,645
2011-04-12	$60.33	$58.00	23.0%	7.3%	18.8%	15.5%	26.0%	3.7%	0.1%	7.3M	-61.3M	-1.9M	1.51	47.60	N/A	N/A	3,595	5,430	126,875	110,915
2011-04-13	$60.93	$58.00	21.7%	7.2%	17.0%	10.9%	24.8%	4.0%	0.2%	10.6M	-88.2M	-1.9M	0.80	48.29	N/A	N/A	3,335	2,670	126,370	112,215
2011-04-14	$61.11	$60.00	23.6%	6.8%	15.2%	17.7%	24.4%	3.6%	0.6%	10.5M	-95.4M	-1.9M	0.80	49.54	N/A	N/A	3,185	2,550	127,640	113,235
2011-04-15	$61.36	$60.00	23.1%	6.6%	14.9%	16.0%	23.8%	3.8%	0.8%	8.4M	-104.9M	-1.9M	0.63	47.40	N/A	N/A	5,790	3,645	128,265	113,235
2011-04-18	$60.78	$60.00	24.1%	6.9%	15.0%	19.4%	24.7%	3.3%	0.6%	4.7M	-45.2M	-1.9M	0.96	47.73	N/A	N/A	6,370	6,095	103,095	87,280
2011-04-19	$60.40	$60.00	22.9%	6.6%	15.3%	15.3%	24.2%	3.8%	0.7%	3.7M	-29.1M	-1.9M	0.75	49.67	N/A	N/A	2,320	1,735	104,940	90,280
2011-04-20	$61.99	$60.00	22.1%	6.3%	15.2%	12.2%	22.2%	3.9%	0.7%	6.5M	-75.2M	-1.9M	0.62	39.61	N/A	N/A	7,540	4,650	105,555	90,995
2011-04-21	$61.95	$60.00	21.4%	6.1%	15.1%	9.8%	21.6%	3.4%	0.6%	7.2M	-83.8M	-1.9M	0.61	46.18	N/A	N/A	4,410	2,710	109,315	92,260
2011-04-25	$61.45	$60.00	22.5%	6.5%	15.1%	14.0%	22.6%	3.4%	0.0%	6.2M	-62.9M	-1.9M	0.70	42.78	N/A	N/A	1,980	1,380	110,810	92,955
2011-04-26	$62.15	$60.00	22.8%	6.5%	15.4%	14.9%	22.2%	3.6%	-0.3%	7.7M	-87.7M	-1.9M	0.49	43.24	N/A	N/A	5,930	2,885	111,185	93,795
2011-04-27	$61.98	$60.00	23.6%	6.8%	15.4%	17.8%	23.3%	3.4%	-0.8%	7.2M	-77.3M	-1.8M	0.62	45.95	N/A	N/A	4,745	2,930	112,510	94,980
2011-04-28	$60.81	$60.00	20.8%	6.0%	15.9%	7.9%	22.7%	2.8%	1.1%	4.3M	-27.0M	-1.8M	1.50	40.54	N/A	N/A	6,925	10,405	113,460	96,115
2011-04-29	$59.15	$60.00	21.6%	6.2%	18.7%	10.8%	22.8%	2.7%	0.7%	-94.2K	28.2M	-1.7M	0.68	34.82	N/A	N/A	11,415	7,725	115,630	103,480