CME Options History — September 2012

In September 2012, CME traded between $55.31 and $59.35. ATM implied volatility averaged 19.7%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.1% (HV 20d: 15.6%). Max pain ranged from $54.00 to $57.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.57.

Notable Days

2012-09-05: Highest Volume — 43,680 contracts
2012-09-13: Largest IV drop — 13.2% change
2012-09-11: Highest IV Rank — 16.5%
2012-09-11: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.77	$55.31	$59.35	$55.31	$57.29
Max Pain	$56.34	$54.00	$57.50	$54.00	$57.50
ATM IV	19.7%	18.1%	21.9%	20.2%	18.6%
Expected Move	5.6%	5.2%	6.1%	5.8%	5.3%
HV 20d	15.6%	11.7%	17.2%	13.3%	16.9%
HV 60d	18.2%	17.0%	19.3%	17.9%	17.0%
IV Rank	9.9%	5.4%	16.5%	11.4%	6.8%
IV Percentile	5.6%	0.8%	13.9%	6.3%	3.2%
Term Structure	1.7%	-0.2%	3.1%	1.0%	2.4%
VWIV	20.7%	18.3%	38.5%	22.7%	18.6%
Skew 25d	3.5%	2.1%	4.8%	3.9%	2.5%
Skew 10d	8.3%	3.9%	12.7%	5.7%	7.9%
Call IV 25d	18.3%	17.1%	20.3%	19.5%	18.1%
Put IV 25d	21.8%	19.8%	23.4%	23.4%	20.7%
Bid-Ask Spread %	16.08	11.73	24.24	17.97	19.80
Gamma HHI	0.21	0.12	0.45	0.12	0.17
Net GEX	8.8M	5.2M	15.1M	5.4M	5.7M
Net DEX	-137.6M	-216.5M	-68.8M	-68.8M	-80.1M
Net VEX	-1.1M	-1.2M	-1.1M	-1.1M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.03	1.34	0.45	0.96
Total Volume	6,452.632	970	43,680	2,047	970
Total OI	167,938.053	129,478	189,347	175,371	133,034

Daily Data (19 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
2012-09-04	$55.31	$54.00	20.2%	5.8%	13.3%	11.4%	22.7%	3.9%	1.0%	5.4M	-68.8M	-1.1M	0.45	17.97	N/A	N/A	1,409	638	90,972	84,399
2012-09-05	$55.31	$54.00	20.5%	5.9%	11.7%	12.5%	38.5%	2.8%	0.7%	5.5M	-69.8M	-1.1M	0.03	12.81	N/A	N/A	42,537	1,143	91,430	84,490
2012-09-06	$56.39	$55.00	18.9%	5.4%	13.1%	7.5%	19.4%	2.1%	-0.2%	7.9M	-101.3M	-1.1M	0.37	12.92	N/A	N/A	5,512	2,065	86,606	84,755
2012-09-07	$58.40	$55.00	20.7%	6.0%	17.2%	13.0%	20.2%	4.8%	0.7%	9.9M	-177.8M	-1.2M	0.52	15.38	N/A	N/A	10,029	5,210	88,266	85,420
2012-09-10	$58.61	$55.00	21.8%	6.0%	17.1%	16.0%	21.3%	4.4%	1.3%	10.5M	-183.8M	-1.2M	0.57	14.05	N/A	N/A	3,835	2,169	90,997	87,056
2012-09-11	$58.58	$55.00	21.9%	6.1%	17.1%	16.5%	20.4%	4.2%	1.2%	10.5M	-187.2M	-1.2M	0.35	14.34	N/A	N/A	2,189	775	91,849	87,909
2012-09-12	$58.93	$55.00	21.1%	5.4%	15.0%	14.1%	20.5%	4.4%	3.1%	11.2M	-198.9M	-1.2M	0.53	12.98	N/A	N/A	1,813	965	92,736	88,002
2012-09-13	$59.35	$55.00	18.3%	5.3%	14.9%	5.9%	19.9%	3.8%	1.8%	11.4M	-216.5M	-1.2M	0.49	14.10	N/A	N/A	3,399	1,662	92,699	88,184
2012-09-14	$58.89	$57.50	19.0%	5.5%	15.2%	8.0%	20.3%	4.2%	2.8%	11.2M	-191.2M	-1.2M	0.68	21.52	N/A	N/A	4,460	3,015	92,982	88,712
2012-09-17	$58.72	$57.50	20.9%	6.0%	15.2%	13.6%	19.4%	4.1%	0.7%	10.7M	-183.8M	-1.1M	0.41	18.77	N/A	N/A	2,539	1,043	93,635	90,467
2012-09-18	$58.40	$57.50	20.3%	5.8%	15.5%	11.8%	19.9%	3.7%	1.3%	10.3M	-171.2M	-1.1M	0.36	24.24	N/A	N/A	3,398	1,240	94,677	90,914
2012-09-19	$57.72	$57.50	19.7%	5.7%	15.9%	10.1%	18.8%	4.3%	1.3%	9.2M	-144.8M	-1.1M	0.35	18.00	N/A	N/A	2,162	753	97,007	91,351
2012-09-20	$58.04	$57.50	19.8%	5.7%	15.9%	10.1%	19.4%	2.8%	1.4%	10.1M	-157.2M	-1.1M	0.53	14.51	N/A	N/A	1,849	978	97,512	91,835
2012-09-21	$58.00	$57.50	18.9%	5.4%	15.7%	7.7%	18.9%	3.5%	1.9%	15.1M	-154.7M	-1.1M	0.46	11.73	N/A	N/A	3,943	1,800	96,924	90,408
2012-09-24	$57.88	$57.50	18.1%	5.2%	15.8%	5.4%	18.3%	2.8%	3.1%	5.9M	-94.0M	-1.1M	1.06	15.52	N/A	N/A	1,288	1,360	70,464	59,014
2012-09-25	$57.12	$57.50	18.2%	5.2%	16.9%	5.6%	19.0%	2.8%	2.6%	5.3M	-75.6M	-1.1M	1.03	15.43	N/A	N/A	1,062	1,095	71,288	59,955
2012-09-26	$57.28	$57.50	18.4%	5.3%	16.9%	6.3%	18.8%	2.9%	3.1%	5.2M	-77.3M	-1.1M	1.34	13.09	N/A	N/A	1,260	1,693	71,799	60,591
2012-09-27	$57.40	$57.50	18.2%	5.2%	16.8%	5.6%	18.3%	2.6%	2.7%	5.5M	-79.6M	-1.1M	0.43	18.44	N/A	N/A	941	401	72,131	60,353
2012-09-28	$57.29	$57.50	18.6%	5.3%	16.9%	6.8%	18.6%	2.5%	2.4%	5.7M	-80.1M	-1.1M	0.96	19.80	N/A	N/A	496	474	72,424	60,610