CME Options History — August 2012

In August 2012, CME traded between $49.83 and $54.90. ATM implied volatility averaged 19.8%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 0.4% (HV 20d: 20.2%). Max pain ranged from $52.00 to $54.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.09.

Notable Days

2012-08-07: Highest Volume — 10,286 contracts
2012-08-09: Largest IV drop — 15.8% change
2012-08-14: Highest IV Rank — 13.2%
2012-08-02: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.17	$49.83	$54.90	$51.11	$54.90
Max Pain	$53.74	$52.00	$54.00	$52.00	$54.00
ATM IV	19.8%	16.3%	22.7%	22.2%	18.8%
Expected Move	5.9%	5.4%	6.5%	6.4%	5.4%
HV 20d	20.2%	14.7%	22.3%	15.5%	14.7%
HV 60d	20.2%	18.2%	21.6%	19.8%	18.2%
IV Rank	7.0%	0.0%	13.2%	3.1%	7.4%
IV Percentile	2.0%	0.0%	5.6%	4.4%	1.2%
Term Structure	1.8%	0.1%	3.9%	0.3%	1.5%
VWIV	21.2%	19.3%	23.0%	22.5%	19.4%
Skew 25d	4.3%	3.0%	5.2%	3.7%	3.8%
Skew 10d	8.5%	4.7%	13.3%	11.1%	6.1%
Call IV 25d	18.9%	17.4%	21.5%	21.4%	17.8%
Put IV 25d	23.3%	21.6%	25.7%	25.1%	21.6%
Bid-Ask Spread %	19.01	11.86	37.53	18.12	20.34
Gamma HHI	0.11	0.10	0.14	0.11	0.12
Net GEX	2.4M	-2.8M	5.1M	-917.8K	5.1M
Net DEX	-224.8K	-57.6M	105.9M	66.3M	-57.6M
Net VEX	-1.1M	-1.2M	-985.1K	-1.0M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.19	3.63	1.27	1.37
Total Volume	3,565	734	10,286	4,222	4,078
Total OI	179,478.13	164,647	192,492	179,718	174,067

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
2012-08-01	$51.11	$52.00	22.2%	6.4%	15.5%	3.1%	22.5%	3.7%	0.3%	-917.8K	66.3M	-1.0M	1.27	18.12	N/A	N/A	1,856	2,366	90,781	88,937
2012-08-02	$49.83	$52.00	22.7%	6.5%	16.7%	4.2%	23.0%	3.0%	1.0%	-2.8M	105.9M	-985.1K	1.04	15.79	N/A	N/A	2,778	2,892	90,964	89,116
2012-08-03	$50.93	$52.00	21.7%	6.2%	18.8%	2.1%	20.0%	5.2%	1.3%	-1.6M	77.3M	-1.0M	1.67	22.79	N/A	N/A	1,946	3,247	91,643	89,286
2012-08-06	$52.00	$54.00	20.9%	6.4%	20.4%	0.3%	21.9%	4.7%	2.4%	176.2K	41.2M	-1.1M	0.57	19.49	N/A	N/A	3,154	1,802	92,093	91,536
2012-08-07	$53.06	$54.00	19.3%	6.1%	21.1%	0.0%	21.9%	4.0%	2.3%	2.2M	3.6M	-1.1M	0.55	20.72	N/A	N/A	6,657	3,629	92,025	91,793
2012-08-08	$52.95	$54.00	20.2%	6.4%	21.1%	1.9%	21.0%	4.8%	1.9%	2.2M	978.4K	-1.2M	1.12	21.29	N/A	N/A	941	1,051	95,983	93,064
2012-08-09	$53.51	$54.00	17.0%	5.8%	21.4%	0.0%	22.2%	4.2%	3.7%	3.4M	-17.7M	-1.2M	0.95	17.21	N/A	N/A	3,301	3,149	96,661	92,956
2012-08-10	$53.59	$54.00	16.3%	5.7%	21.2%	0.0%	21.8%	4.4%	3.9%	3.8M	-20.3M	-1.2M	0.58	18.78	N/A	N/A	1,384	797	98,335	93,310
2012-08-13	$53.50	$54.00	18.5%	5.8%	21.1%	6.3%	20.5%	4.7%	3.6%	3.5M	-14.9M	-1.2M	1.16	17.80	N/A	N/A	853	987	98,357	93,215
2012-08-14	$52.58	$54.00	20.8%	6.0%	22.1%	13.2%	21.4%	4.6%	3.0%	1.4M	20.7M	-1.1M	2.51	20.78	N/A	N/A	792	1,988	98,663	93,498
2012-08-15	$52.65	$54.00	20.0%	6.0%	22.1%	10.8%	21.3%	3.9%	3.4%	1.4M	19.3M	-1.1M	0.77	16.86	N/A	N/A	414	320	98,560	93,932
2012-08-16	$53.48	$54.00	19.6%	5.6%	22.3%	9.5%	20.9%	4.6%	3.9%	3.2M	-10.8M	-1.1M	1.68	18.37	N/A	N/A	1,630	2,738	97,577	92,338
2012-08-17	$54.11	$54.00	19.8%	5.7%	21.8%	10.4%	19.3%	5.0%	3.3%	5.0M	-39.4M	-1.1M	0.54	37.53	N/A	N/A	3,241	1,736	98,032	92,787
2012-08-20	$53.99	$54.00	20.3%	5.8%	21.7%	11.6%	20.7%	4.6%	0.1%	3.2M	-20.5M	-1.1M	0.50	20.55	N/A	N/A	2,725	1,364	85,142	79,505
2012-08-21	$53.59	$54.00	19.4%	5.6%	22.0%	9.0%	20.3%	4.9%	1.0%	2.8M	-10.4M	-1.1M	0.56	18.81	N/A	N/A	1,143	641	86,405	79,963
2012-08-22	$53.55	$54.00	20.3%	5.8%	22.0%	11.7%	20.6%	5.1%	0.2%	2.8M	-10.3M	-1.1M	0.29	20.58	N/A	N/A	1,862	535	86,643	80,117
2012-08-23	$53.33	$54.00	19.9%	5.7%	20.7%	10.7%	21.4%	4.5%	0.7%	2.7M	-4.8M	-1.1M	0.63	16.48	N/A	N/A	1,223	767	87,445	80,270
2012-08-24	$53.67	$54.00	19.6%	5.6%	20.8%	9.7%	22.9%	4.6%	0.3%	3.2M	-13.8M	-1.1M	3.63	14.87	N/A	N/A	432	1,566	87,906	80,265
2012-08-27	$53.70	$54.00	19.9%	5.7%	20.7%	10.6%	20.9%	3.8%	0.4%	3.2M	-15.5M	-1.1M	0.81	19.43	N/A	N/A	677	547	87,987	81,290
2012-08-28	$54.02	$54.00	19.5%	5.6%	20.7%	9.5%	22.9%	3.5%	0.5%	3.7M	-26.6M	-1.1M	2.26	13.69	N/A	N/A	1,285	2,904	88,238	81,188
2012-08-29	$54.42	$54.00	19.4%	5.6%	19.2%	9.1%	19.4%	3.7%	0.8%	4.2M	-36.8M	-1.1M	0.55	15.13	N/A	N/A	1,657	906	88,999	83,256
2012-08-30	$54.51	$54.00	19.5%	5.6%	16.0%	9.5%	21.5%	4.0%	1.2%	4.0M	-40.9M	-1.1M	0.19	11.86	N/A	N/A	1,705	329	90,135	83,734
2012-08-31	$54.90	$54.00	18.8%	5.4%	14.7%	7.4%	19.4%	3.8%	1.5%	5.1M	-57.6M	-1.1M	1.37	20.34	N/A	N/A	1,719	2,359	90,445	83,622