CORN Options History — February 2011 In February 2011, CORN traded between $41.03 and $43.71. ATM implied volatility averaged 30.6%. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 3.5% (HV 20d: 27.2%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.45.
Notable Days 2011-02-09 : Highest Volume — 846 contracts2011-02-10 : Largest IV spike — 10.0% change2011-02-14 : Largest Expected Move — 9.7%Monthly Statistics Metric Avg Min Max Open Close Price $42.48 $41.03 $43.71 $41.46 $43.71 Max Pain $41.26 $40.00 $42.00 $40.00 $42.00 ATM IV 30.6% 26.3% 33.7% 29.9% 31.3% Expected Move 9.1% 7.8% 9.7% 8.6% 9.0% HV 20d 27.2% 22.3% 36.2% 26.5% 35.9% HV 60d 26.3% 22.9% 28.6% 28.6% 27.1% Term Structure 2.0% 0.2% 6.0% 2.0% 2.0% VWIV 31.4% 26.8% 34.0% 28.6% 31.6% Skew 25d 0.7% -1.7% 3.2% 1.3% 1.3% Skew 10d 0.5% -13.7% 14.8% 14.8% 1.4% Call IV 25d 31.4% 25.8% 34.4% 28.1% 31.6% Put IV 25d 32.1% 28.2% 34.6% 29.4% 32.8% Bid-Ask Spread % 37.73 28.62 43.49 40.19 28.62 Gamma HHI 0.17 0.14 0.20 0.18 0.18 Net GEX 101.0K 57.3K 136.7K 67.9K 120.5K Net DEX -3.8M -5.5M -1.8M -1.8M -4.7M Net VEX -13.2K -16.4K -7.4K -7.4K -15.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.45 0.03 1.11 0.78 0.12 Total Volume 297.105 82 846 190 143 Total OI 2,724.053 1,610 3,271 1,610 3,070
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 2011-02-01 $41.46 $40.00 29.9% 8.6% 26.5% 0.0% 28.6% 1.3% 2.0% 67.9K -1.8M -7.4K 0.78 40.19 N/A N/A 107 83 1,009 601 2011-02-02 $41.66 $40.00 27.4% 7.8% 25.6% 0.0% 26.9% 2.0% 6.0% 69.0K -1.9M -7.8K 0.25 38.98 N/A N/A 493 124 1,063 642 2011-02-03 $41.23 $40.00 27.2% 7.8% 25.8% 0.0% 26.8% 2.3% 4.4% 89.3K -2.7M -12.1K 0.71 42.55 N/A N/A 48 34 1,522 737 2011-02-04 $42.15 $40.00 26.3% 9.1% 25.2% 0.0% 31.1% -0.2% 1.7% 97.7K -3.4M -11.8K 0.13 30.42 N/A N/A 198 25 1,546 742 2011-02-07 $41.98 $40.00 26.7% 9.3% 24.8% 0.0% 32.3% -0.5% 1.1% 117.8K -3.6M -12.3K 0.06 43.49 N/A N/A 100 6 1,700 743 2011-02-08 $41.93 $40.00 28.3% 9.3% 24.6% 0.0% 32.8% -1.7% 1.6% 136.7K -3.7M -12.5K 0.39 33.17 N/A N/A 84 33 1,774 736 2011-02-09 $43.01 $40.00 29.4% 9.4% 25.5% 0.0% 33.0% -0.3% 2.4% 135.5K -4.6M -11.9K 1.11 36.21 N/A N/A 401 445 1,769 744 2011-02-10 $43.30 $42.00 32.3% 9.3% 23.9% 0.0% 32.3% 0.6% 2.1% 133.6K -4.7M -13.9K 1.06 41.00 N/A N/A 237 251 1,967 938 2011-02-11 $43.64 $42.00 31.4% 9.0% 22.9% 0.0% 32.3% 0.9% 3.3% 112.8K -5.2M -14.0K 0.03 43.12 N/A N/A 194 5 2,071 1,061 2011-02-14 $42.85 $42.00 33.7% 9.7% 24.2% 0.0% 32.0% -0.9% 1.4% 78.5K -4.5M -13.8K 0.34 34.73 N/A N/A 101 34 2,018 1,066 2011-02-15 $42.27 $42.00 32.3% 9.3% 24.7% 0.0% 32.0% 1.5% 1.6% 68.2K -3.9M -13.8K 0.28 40.15 N/A N/A 179 50 2,088 1,084 2011-02-16 $42.23 $42.00 31.3% 9.0% 22.3% 0.0% 31.6% 1.5% 2.6% 57.3K -3.9M -14.5K 0.69 39.30 N/A N/A 80 55 2,137 1,134 2011-02-17 $43.63 $42.00 31.4% 9.0% 23.9% 0.0% 31.6% 1.8% 2.0% 122.3K -5.5M -13.4K 0.16 41.71 N/A N/A 478 75 2,140 1,131 2011-02-18 $43.50 $42.00 31.4% 9.0% 23.9% 0.0% 30.1% 3.2% 0.2% 121.8K -5.0M -13.8K 0.73 40.09 N/A N/A 255 185 2,098 1,155 2011-02-22 $41.03 $42.00 32.3% 9.3% 32.5% 0.0% 32.4% -0.3% 0.5% 75.2K -2.3M -14.7K 0.51 37.19 N/A N/A 217 110 1,776 821 2011-02-23 $42.44 $42.00 33.6% 9.6% 33.9% 0.0% 33.1% -0.1% 0.6% 99.0K -3.4M -15.6K 0.19 37.49 N/A N/A 338 63 1,902 901 2011-02-24 $41.70 $42.00 33.6% 9.6% 33.9% 0.0% 34.0% 0.2% 0.8% 96.5K -3.2M -16.4K 0.22 30.63 N/A N/A 69 15 2,012 909 2011-02-25 $43.39 $42.00 32.6% 9.4% 36.2% 0.0% 32.2% 0.2% 1.9% 119.5K -4.7M -15.5K 0.88 37.80 N/A N/A 176 154 2,028 922 2011-02-28 $43.71 $42.00 31.3% 9.0% 35.9% 0.0% 31.6% 1.3% 2.0% 120.5K -4.7M -15.3K 0.12 28.62 N/A N/A 128 15 2,054 1,016
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