CORN Options History — January 2011

Name: CORN Options Analytics - January 2011
Creator: Options Analysis Suite

In January 2011, CORN traded between $37.43 and $41.00. ATM implied volatility averaged 32.4%. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 10.9% (HV 20d: 21.4%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.92.

Notable Days

2011-01-13: Highest Volume — 388 contracts
2011-01-12: Largest IV spike — 8.4% change
2011-01-03: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.53	$37.43	$41.00	$38.46	$41.00
Max Pain	$37.00	$35.00	$40.00	$36.00	$40.00
ATM IV	32.4%	28.6%	36.0%	34.8%	29.8%
Expected Move	9.3%	8.2%	10.0%	10.0%	8.5%
HV 20d	21.4%	15.9%	27.0%	15.9%	27.0%
HV 60d	29.2%	28.7%	29.7%	29.7%	28.8%
Term Structure	1.1%	-0.9%	3.8%	-0.4%	3.1%
VWIV	32.3%	27.2%	35.8%	31.2%	27.2%
Skew 25d	-0.8%	-3.6%	1.5%	0.7%	0.6%
Skew 10d	-0.8%	-9.8%	6.4%	-3.1%	4.8%
Call IV 25d	33.0%	29.1%	36.7%	32.8%	29.1%
Put IV 25d	32.1%	29.7%	33.7%	33.5%	29.7%
Bid-Ask Spread %	42.37	29.04	56.98	48.68	40.76
Gamma HHI	0.29	0.20	0.55	0.22	0.20
Net GEX	75.1K	30.0K	149.3K	30.0K	65.4K
Net DEX	-1.9M	-3.4M	-1.1M	-1.2M	-1.5M
Net VEX	-5.3K	-7.7K	-3.4K	-3.5K	-7.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.00	2.94	0.52	0.38
Total Volume	144.65	33	388	50	83
Total OI	1,351.45	918	1,846	918	1,588

Daily Data (20 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
2011-01-03	$38.46	$36.00	34.8%	10.0%	15.9%	0.0%	31.2%	0.7%	-0.4%	30.0K	-1.2M	-3.5K	0.52	48.68	N/A	N/A	33	17	576	342
2011-01-04	$37.91	$36.00	33.0%	9.5%	16.3%	0.0%	32.7%	-3.6%	0.3%	31.0K	-1.1M	-3.6K	0.57	29.04	N/A	N/A	28	16	601	349
2011-01-05	$38.51	$36.00	32.0%	9.2%	16.2%	0.0%	33.0%	0.3%	-0.2%	36.3K	-1.3M	-3.4K	2.04	35.12	N/A	N/A	56	114	593	355
2011-01-06	$37.79	$36.00	32.9%	9.4%	16.9%	0.0%	33.8%	-2.0%	0.7%	39.5K	-1.1M	-3.8K	0.66	33.30	N/A	N/A	44	29	643	337
2011-01-07	$37.43	$35.00	32.3%	9.2%	17.4%	0.0%	33.0%	-1.2%	2.2%	40.7K	-1.1M	-4.2K	1.48	51.91	N/A	N/A	29	43	681	353
2011-01-10	$38.04	$35.00	32.6%	9.6%	18.0%	0.0%	33.1%	-0.7%	-0.6%	54.7K	-1.3M	-4.0K	0.03	50.33	N/A	N/A	158	5	708	353
2011-01-11	$37.99	$35.00	33.2%	9.5%	17.3%	0.0%	32.4%	-0.7%	0.5%	63.5K	-1.3M	-3.8K	0.00	54.28	N/A	N/A	253	0	735	358
2011-01-12	$39.15	$35.00	36.0%	10.0%	20.0%	0.0%	35.7%	-2.8%	-0.9%	97.5K	-2.4M	-3.9K	0.10	56.98	N/A	N/A	255	25	937	358
2011-01-13	$40.10	$35.00	34.1%	9.8%	20.9%	0.0%	34.5%	-2.5%	0.2%	104.7K	-2.8M	-4.2K	0.24	45.50	N/A	N/A	312	76	999	377
2011-01-14	$40.23	$36.00	34.0%	9.7%	20.9%	0.0%	35.8%	-3.4%	0.9%	108.8K	-2.9M	-5.4K	0.02	43.56	N/A	N/A	139	3	1,108	448
2011-01-18	$40.70	$36.00	34.3%	9.8%	20.8%	0.0%	35.3%	-2.2%	0.0%	112.9K	-3.4M	-5.5K	1.75	37.80	N/A	N/A	52	91	1,231	451
2011-01-19	$39.61	$38.00	33.1%	9.5%	23.6%	0.0%	32.7%	-1.1%	1.5%	149.3K	-2.8M	-5.8K	0.70	34.08	N/A	N/A	127	89	1,246	467
2011-01-20	$40.44	$38.00	33.0%	9.5%	24.4%	0.0%	32.7%	-1.8%	1.4%	122.3K	-3.3M	-6.2K	0.14	39.90	N/A	N/A	93	13	1,313	530
2011-01-21	$40.70	$38.00	32.5%	9.3%	24.3%	0.0%	32.7%	0.1%	2.2%	98.3K	-3.4M	-6.2K	0.27	38.18	N/A	N/A	132	36	1,308	538
2011-01-24	$40.80	$38.00	30.9%	8.8%	24.3%	0.0%	30.8%	1.5%	1.2%	69.4K	-1.6M	-6.6K	0.47	35.85	N/A	N/A	88	41	909	386
2011-01-25	$40.11	$39.00	30.7%	8.8%	25.4%	0.0%	30.6%	-0.1%	0.8%	73.7K	-1.5M	-6.8K	2.30	52.45	N/A	N/A	10	23	977	397
2011-01-26	$40.95	$39.00	29.8%	8.5%	26.0%	0.0%	30.2%	0.2%	2.8%	77.2K	-1.8M	-6.7K	2.94	35.37	N/A	N/A	54	159	979	402
2011-01-27	$40.50	$39.00	29.6%	8.5%	26.5%	0.0%	29.4%	0.7%	2.8%	65.6K	-1.5M	-7.6K	2.00	40.29	N/A	N/A	35	70	993	526
2011-01-28	$40.10	$40.00	28.6%	8.2%	26.6%	0.0%	28.3%	1.3%	3.8%	60.1K	-1.2M	-7.7K	1.82	44.03	N/A	N/A	22	40	1,007	570
2011-01-31	$41.00	$40.00	29.8%	8.5%	27.0%	0.0%	27.2%	0.6%	3.1%	65.4K	-1.5M	-7.5K	0.38	40.76	N/A	N/A	60	23	1,006	582