CME Options History — August 2011

In August 2011, CME traded between $47.43 and $57.56. ATM implied volatility averaged 40.9%, placing in the 59.0% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 16.9% (HV 20d: 57.8%). Max pain ranged from $54.00 to $58.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.21.

Notable Days

2011-08-10: Highest Volume — 33,075 contracts
2011-08-10: Largest IV spike — 68.4% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-10: Largest Expected Move — 14.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.60	$47.43	$57.56	$57.56	$53.42
Max Pain	$55.13	$54.00	$58.00	$58.00	$54.00
ATM IV	40.9%	26.6%	66.6%	26.6%	34.4%
Expected Move	11.4%	7.6%	14.7%	7.6%	9.8%
HV 20d	57.8%	20.6%	75.0%	20.6%	74.7%
HV 60d	37.3%	20.1%	45.7%	20.1%	45.5%
IV Rank	59.0%	34.6%	100.0%	53.1%	34.6%
IV Percentile	93.0%	57.1%	100.0%	57.1%	92.5%
Term Structure	-3.3%	-11.1%	0.5%	-0.4%	0.5%
VWIV	41.0%	26.7%	50.7%	26.7%	37.3%
Skew 25d	9.4%	2.8%	14.6%	4.1%	7.8%
Skew 10d	20.0%	5.6%	28.4%	8.3%	19.0%
Call IV 25d	36.1%	25.2%	46.1%	25.2%	33.2%
Put IV 25d	45.5%	28.8%	57.6%	29.3%	41.0%
Bid-Ask Spread %	50.46	30.86	66.83	54.49	48.85
Gamma HHI	0.11	0.08	0.23	0.12	0.08
Net GEX	-2.5M	-6.2M	4.4M	4.4M	740.2K
Net DEX	149.8M	11.9M	270.2M	11.9M	59.1M
Net VEX	-1.4M	-1.6M	-1.2M	-1.6M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.21	0.51	2.21	0.56	1.10
Total Volume	14,820.652	5,370	33,075	12,490	15,570
Total OI	240,798.043	219,865	270,745	223,785	243,605

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
2011-08-01	$57.56	$58.00	26.6%	7.6%	20.6%	53.1%	26.7%	4.1%	-0.4%	4.4M	11.9M	-1.6M	0.56	54.49	N/A	N/A	7,995	4,495	127,365	96,420
2011-08-02	$56.05	$58.00	27.7%	7.9%	22.5%	59.2%	27.6%	3.0%	-0.2%	434.6K	62.4M	-1.5M	0.75	45.69	N/A	N/A	3,060	2,310	126,150	97,925
2011-08-03	$55.97	$58.00	26.7%	7.7%	22.5%	54.0%	26.8%	2.8%	0.4%	-461.9K	71.2M	-1.4M	0.75	49.00	N/A	N/A	5,620	4,210	123,380	98,600
2011-08-04	$53.12	$58.00	35.8%	10.3%	28.0%	100.0%	36.9%	4.5%	-3.8%	-3.6M	145.2M	-1.4M	1.81	55.28	N/A	N/A	6,425	11,655	122,140	99,135
2011-08-05	$53.88	$58.00	37.7%	10.2%	28.7%	100.0%	36.7%	8.0%	-2.4%	-2.7M	126.2M	-1.5M	1.67	66.83	N/A	N/A	6,935	11,585	123,515	101,225
2011-08-08	$49.48	$56.00	58.3%	13.7%	40.1%	100.0%	48.8%	6.8%	-8.2%	-3.7M	209.6M	-1.3M	1.13	61.93	N/A	N/A	11,585	13,125	127,040	103,065
2011-08-09	$53.21	$56.00	39.6%	11.1%	49.0%	54.3%	42.3%	14.6%	-4.2%	-3.5M	147.3M	-1.5M	0.89	66.67	N/A	N/A	12,740	11,330	131,240	106,960
2011-08-10	$47.84	$56.00	66.6%	14.7%	60.9%	100.0%	50.7%	11.5%	-11.1%	-4.1M	246.1M	-1.3M	1.19	56.32	N/A	N/A	15,105	17,970	135,695	111,200
2011-08-11	$51.38	$54.00	45.7%	13.1%	67.3%	57.6%	48.7%	11.3%	-7.1%	-3.1M	158.7M	-1.5M	0.70	56.22	N/A	N/A	13,055	9,180	141,435	115,880
2011-08-12	$50.99	$54.00	45.0%	12.9%	67.0%	56.3%	45.4%	9.4%	-6.8%	-4.0M	179.7M	-1.4M	1.47	53.19	N/A	N/A	3,600	5,295	144,535	116,890
2011-08-15	$52.12	$54.00	38.7%	11.1%	67.5%	43.4%	42.2%	10.2%	-3.3%	-4.2M	159.8M	-1.4M	1.40	57.22	N/A	N/A	2,645	3,715	145,800	118,190
2011-08-16	$51.34	$54.00	38.0%	10.9%	67.3%	42.0%	40.4%	8.7%	-3.0%	-4.8M	181.5M	-1.3M	0.94	61.05	N/A	N/A	6,340	5,965	146,135	118,740
2011-08-17	$50.82	$54.00	38.6%	11.1%	67.2%	43.3%	39.1%	8.7%	-3.3%	-5.1M	196.2M	-1.3M	2.21	58.84	N/A	N/A	3,430	7,590	147,135	119,375
2011-08-18	$48.14	$54.00	47.6%	13.6%	69.3%	61.5%	46.7%	12.5%	-7.0%	-5.6M	261.3M	-1.2M	1.91	65.25	N/A	N/A	7,345	14,025	146,600	120,125
2011-08-19	$47.43	$54.00	47.2%	13.5%	69.3%	60.6%	49.1%	11.0%	-5.8%	-6.2M	270.2M	-1.2M	2.18	52.03	N/A	N/A	5,030	10,950	149,445	121,300
2011-08-22	$47.84	$54.00	46.7%	13.4%	69.5%	59.6%	46.6%	13.2%	-3.9%	-3.0M	197.3M	-1.2M	0.51	41.54	N/A	N/A	5,670	2,895	119,265	100,600
2011-08-23	$50.07	$54.00	41.3%	11.8%	72.1%	48.7%	42.6%	13.6%	-1.1%	-2.3M	158.6M	-1.3M	1.15	33.23	N/A	N/A	8,400	9,635	121,040	101,975
2011-08-24	$50.78	$54.00	41.8%	12.0%	72.2%	49.8%	41.1%	13.2%	-1.6%	-1.8M	138.0M	-1.3M	0.55	34.19	N/A	N/A	6,020	3,310	123,995	102,225
2011-08-25	$49.26	$54.00	43.7%	12.5%	72.1%	53.6%	47.4%	11.3%	-2.2%	-2.2M	163.5M	-1.3M	2.16	37.35	N/A	N/A	3,025	6,520	126,180	104,055
2011-08-26	$50.18	$54.00	41.1%	11.8%	72.1%	48.4%	43.8%	12.5%	-1.4%	-2.0M	152.7M	-1.3M	1.33	39.82	N/A	N/A	4,100	5,440	126,785	107,680
2011-08-29	$52.78	$54.00	37.9%	10.9%	75.0%	41.8%	38.0%	10.4%	-1.1%	-196.0K	81.8M	-1.4M	0.56	30.86	N/A	N/A	9,335	5,215	128,240	109,880
2011-08-30	$53.07	$54.00	34.5%	9.9%	74.6%	34.9%	38.6%	7.8%	0.3%	607.6K	67.0M	-1.4M	0.87	34.68	N/A	N/A	6,120	5,310	130,805	109,385
2011-08-31	$53.42	$54.00	34.4%	9.8%	74.7%	34.6%	37.3%	7.8%	0.5%	740.2K	59.1M	-1.5M	1.10	48.85	N/A	N/A	7,400	8,170	132,445	111,160