CORN Options History — November 2010

Name: CORN Options Analytics - November 2010
Creator: Options Analysis Suite

In November 2010, CORN traded between $33.42 and $37.14. ATM implied volatility averaged 38.4%. The 30-day expected move averaged 11.1%. Max pain ranged from $30.00 to $37.00. Net GEX was positive for 14 of 15 trading days. Term structure was in contango for 1 of 15 days. Put/call ratio averaged 3.69.

Notable Days

2010-11-19: Highest Volume — 100 contracts
2010-11-10: Largest IV spike — 13.1% change
2010-11-29: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.03	$33.42	$37.14	$37.14	$34.51
Max Pain	$32.45	$30.00	$37.00	$37.00	$30.00
ATM IV	38.4%	32.9%	42.2%	32.9%	39.9%
Expected Move	11.1%	9.9%	12.1%	10.4%	11.4%
Term Structure	-1.3%	-3.0%	1.6%	-1.3%	-1.1%
VWIV	38.5%	31.0%	42.0%	37.9%	40.1%
Skew 25d	-5.7%	-10.8%	0.2%	-2.7%	-7.7%
Skew 10d	3.3%	-8.2%	16.6%	4.2%	1.4%
Call IV 25d	39.4%	35.3%	43.3%	37.6%	39.1%
Put IV 25d	33.8%	27.1%	42.9%	34.9%	31.4%
Bid-Ask Spread %	68.77	53.34	81.68	80.32	59.85
Gamma HHI	0.49	0.15	1.00	1.00	0.16
Net GEX	5.5K	0	24.7K	0	14.7K
Net DEX	-141.7K	-509.1K	6.7K	0	-509.1K
Net VEX	-768	-2.3K	0	0	-2.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.69	0.00	41.00	0.00	0.50
Total Volume	47.067	0	100	8	48
Total OI	163	0	496	0	496

Daily Data (15 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
2010-11-09	$37.14	$0.00	32.9%	10.4%	0.0%	0.0%	0.0%	0.0%	-1.3%	0	0	0	0.00	80.32	N/A	N/A	8	0	0	0
2010-11-10	$37.10	$0.00	37.2%	10.7%	0.0%	0.0%	0.0%	-2.7%	-1.2%	455	-12.7K	-85	0.00	79.88	N/A	N/A	0	0	8	0
2010-11-11	$36.65	$0.00	34.6%	9.9%	0.0%	0.0%	0.0%	-2.7%	1.6%	446	-12.0K	-82	0.00	60.78	N/A	N/A	0	0	8	0
2010-11-12	$34.97	$0.00	36.9%	10.6%	0.0%	0.0%	37.9%	-0.9%	-0.5%	394	-9.5K	-72	1.15	70.59	N/A	N/A	13	15	8	0
2010-11-15	$35.73	$37.00	37.3%	10.7%	0.0%	0.0%	37.1%	-7.6%	-1.2%	481	-20.2K	-195	0.00	72.16	N/A	N/A	41	0	18	15
2010-11-16	$33.94	$35.00	37.7%	10.8%	0.0%	0.0%	0.0%	-10.8%	-1.1%	4.2K	-40.3K	-308	0.00	68.76	N/A	N/A	60	0	49	15
2010-11-17	$34.07	$35.00	38.0%	10.9%	0.0%	0.0%	0.0%	-10.7%	-1.9%	2.7K	-50.3K	-404	0.00	70.69	N/A	N/A	0	10	85	15
2010-11-18	$35.01	$35.00	36.8%	10.6%	0.0%	0.0%	38.7%	-9.2%	-1.4%	24.7K	-97.5K	-394	41.00	73.95	N/A	N/A	1	41	70	25
2010-11-19	$33.90	$35.00	39.0%	11.2%	0.0%	0.0%	31.0%	-0.6%	-2.9%	88	6.7K	-649	0.59	65.60	N/A	N/A	63	37	71	66
2010-11-22	$33.42	$30.00	41.5%	11.9%	0.0%	0.0%	39.0%	-0.8%	-3.0%	400	-56.7K	-991	0.27	81.68	N/A	N/A	67	18	103	92
2010-11-23	$34.11	$30.00	41.6%	11.9%	0.0%	0.0%	0.0%	0.2%	-2.0%	4.2K	-194.9K	-1.3K	0.00	53.34	N/A	N/A	28	0	158	106
2010-11-24	$34.93	$30.00	40.7%	11.7%	0.0%	0.0%	40.2%	-8.2%	-1.4%	6.3K	-306.5K	-1.4K	0.12	71.43	N/A	N/A	89	11	186	106
2010-11-26	$34.83	$30.00	39.5%	11.3%	0.0%	0.0%	40.4%	-9.6%	-0.3%	9.2K	-365.8K	-1.6K	0.13	66.98	N/A	N/A	54	7	229	114
2010-11-29	$35.07	$30.00	42.2%	12.1%	0.0%	0.0%	42.0%	-7.9%	-1.9%	14.4K	-456.6K	-1.8K	0.51	55.56	N/A	N/A	63	32	281	121
2010-11-30	$34.51	$30.00	39.9%	11.4%	0.0%	0.0%	40.1%	-7.7%	-1.1%	14.7K	-509.1K	-2.3K	0.50	59.85	N/A	N/A	32	16	343	153