CORN Options History — December 2010

In December 2010, CORN traded between $35.42 and $39.01. ATM implied volatility averaged 36.0%. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 6.1% (HV 20d: 29.9%). Max pain ranged from $30.00 to $36.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2010-12-31: Highest Volume — 146 contracts
  • 2010-12-13: Largest IV spike — 8.0% change
  • 2010-12-01: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.10$35.42$39.01$35.80$39.01
Max Pain$34.45$30.00$36.00$30.00$36.00
ATM IV36.0%32.6%40.6%40.6%34.5%
Expected Move10.3%9.3%11.6%11.6%9.9%
HV 20d29.9%16.3%42.4%42.4%16.3%
Term Structure0.9%-1.5%4.1%0.3%1.6%
VWIV35.7%32.2%41.1%40.1%34.5%
Skew 25d-1.1%-4.6%1.4%-4.2%0.4%
Skew 10d0.1%-9.3%9.4%4.8%3.2%
Call IV 25d36.1%32.6%40.8%40.0%33.7%
Put IV 25d35.0%32.0%39.5%35.8%34.0%
Bid-Ask Spread %46.5726.0063.0052.7241.32
Gamma HHI0.250.160.450.170.17
Net GEX12.1K-4.9K41.8K14.5K8.1K
Net DEX-768.3K-1.0M-560.1K-678.2K-1.0M
Net VEX-2.8K-3.2K-2.2K-2.2K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.005.000.000.08
Total Volume44.5911214619146
Total OI683.773522813522773

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$35.80$30.0040.6%11.6%42.4%0.0%40.1%-4.2%0.3%14.5K-678.2K-2.2K0.0052.72N/AN/A190353169
2010-12-02$35.42$30.0040.4%11.6%41.1%0.0%39.8%-4.6%-1.5%15.6K-629.2K-2.3K5.0053.32N/AN/A210356169
2010-12-03$36.29$30.0037.4%10.7%41.2%0.0%38.2%-1.9%1.8%15.8K-735.9K-2.2K0.5251.83N/AN/A3116357179
2010-12-06$35.90$32.0039.6%11.3%40.1%0.0%41.1%-1.3%-0.7%14.3K-670.6K-2.2K0.5026.00N/AN/A3015356195
2010-12-07$35.52$32.0038.7%11.1%39.1%0.0%38.1%-2.6%-0.1%16.2K-644.3K-2.3K0.2233.73N/AN/A235381210
2010-12-08$36.25$32.0038.4%11.0%38.9%0.0%38.0%-0.4%-1.4%18.5K-704.8K-2.4K0.3834.15N/AN/A6525375215
2010-12-09$36.34$32.0035.8%10.0%38.9%0.0%33.6%1.4%0.4%27.6K-794.4K-2.6K1.9550.01N/AN/A4282424230
2010-12-10$36.16$36.0035.6%10.3%38.7%0.0%36.6%0.2%0.5%20.6K-681.6K-3.2K3.5645.29N/AN/A932461312
2010-12-13$36.75$36.0038.4%10.4%35.0%0.0%35.9%-3.0%0.3%23.1K-831.1K-3.1K0.6752.27N/AN/A2718465342
2010-12-14$36.76$36.0038.3%10.3%34.3%0.0%34.5%-1.0%1.5%26.3K-815.6K-3.1K5.0052.78N/AN/A210460345
2010-12-15$36.51$36.0035.5%10.2%28.3%0.0%35.3%-0.5%0.8%26.6K-745.0K-3.1K0.0349.31N/AN/A1043458355
2010-12-16$36.72$36.0034.3%9.8%28.4%0.0%34.6%-0.4%1.1%41.8K-727.0K-3.0K0.0453.56N/AN/A271444358
2010-12-17$37.24$36.0034.0%9.7%27.3%0.0%36.0%-0.8%4.1%-3.6K-1.0M-2.9K0.3363.00N/AN/A186444359
2010-12-20$37.45$36.0033.2%9.5%23.9%0.0%33.9%0.1%2.5%-3.8K-560.1K-2.8K1.6057.83N/AN/A1016311291
2010-12-21$37.67$36.0033.4%9.6%22.8%0.0%34.0%-0.6%1.1%-4.9K-564.0K-2.8K0.1754.69N/AN/A234315307
2010-12-22$38.04$36.0032.7%9.4%22.2%0.0%32.2%-0.3%1.2%-2.5K-648.7K-2.8K0.1441.75N/AN/A365334311
2010-12-23$38.20$36.0032.6%9.3%21.1%0.0%33.5%-1.5%2.2%-1.5K-783.5K-2.9K0.6741.41N/AN/A1510368315
2010-12-27$38.32$36.0034.4%9.9%20.9%0.0%33.5%-1.1%0.8%-220-815.8K-2.8K0.0050.17N/AN/A330383325
2010-12-28$38.75$36.0034.7%9.9%21.0%0.0%34.0%-0.6%0.3%4.4K-935.3K-2.9K0.0039.69N/AN/A250412325
2010-12-29$38.68$36.0034.9%10.0%19.7%0.0%33.4%-0.9%1.8%4.5K-960.5K-3.0K0.3840.79N/AN/A135421325
2010-12-30$38.37$36.0034.5%9.9%16.5%0.0%33.7%-0.7%1.0%4.2K-931.6K-3.1K0.5038.94N/AN/A126430325
2010-12-31$39.01$36.0034.5%9.9%16.3%0.0%34.5%0.4%1.6%8.1K-1.0M-3.0K0.0841.32N/AN/A13511442331