CORN Options History — March 2011

In March 2011, CORN traded between $38.26 and $44.25. ATM implied volatility averaged 35.5%. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 3.4% (HV 20d: 38.9%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.59.

Notable Days

  • 2011-03-15: Highest Volume — 1,518 contracts
  • 2011-03-15: Largest IV spike — 17.7% change
  • 2011-03-16: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.91$38.26$44.25$43.78$44.25
Max Pain$41.30$40.00$43.00$42.00$40.00
ATM IV35.5%30.0%40.3%32.0%35.8%
Expected Move10.3%8.6%11.5%9.2%10.3%
HV 20d38.9%35.3%47.8%35.3%47.8%
HV 60d30.3%26.7%37.1%26.9%37.1%
Term Structure0.9%-1.3%3.1%2.0%2.6%
VWIV35.9%28.3%40.3%32.5%35.6%
Skew 25d1.0%-0.5%3.8%1.0%0.2%
Skew 10d0.8%-15.7%5.2%-0.2%3.2%
Call IV 25d35.8%29.6%40.4%31.8%37.4%
Put IV 25d36.8%30.2%42.2%32.8%37.6%
Bid-Ask Spread %43.8131.9359.1131.9337.19
Gamma HHI0.210.120.330.180.23
Net GEX142.8K5.2K257.0K127.1K257.0K
Net DEX-3.7M-9.5M1.5M-4.9M-9.5M
Net VEX-16.6K-21.2K-11.9K-15.4K-17.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.101.880.530.40
Total Volume436.957651,5182811,373
Total OI4,059.0873,0865,2203,1125,125

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$43.78$42.0032.0%9.2%35.3%0.0%32.5%1.0%2.0%127.1K-4.9M-15.4K0.5331.93N/AN/A184972,0811,031
2011-03-02$43.28$42.0031.8%9.1%35.5%0.0%30.9%0.4%1.6%113.0K-4.0M-15.0K0.2236.99N/AN/A302652,0041,082
2011-03-03$44.18$42.0030.0%8.6%36.1%0.0%28.3%0.6%1.7%159.4K-5.0M-14.6K0.3338.63N/AN/A239792,1181,110
2011-03-04$43.80$43.0030.7%9.5%36.1%0.0%33.1%-0.3%0.9%149.9K-4.7M-15.6K1.6541.54N/AN/A1141882,2021,135
2011-03-07$43.24$43.0032.2%9.5%35.7%0.0%33.6%0.9%0.8%178.9K-4.3M-15.4K0.7640.75N/AN/A1611222,2571,066
2011-03-08$42.85$43.0030.9%9.3%35.9%0.0%32.9%-0.1%1.3%165.2K-3.7M-15.6K0.1040.96N/AN/A424412,3501,156
2011-03-09$42.60$43.0031.4%9.5%36.0%0.0%33.3%1.5%0.7%141.0K-3.0M-14.6K0.3645.22N/AN/A101362,1921,188
2011-03-10$41.20$43.0033.2%9.5%36.7%0.0%33.2%0.6%0.9%85.2K-1.4M-14.2K0.3143.45N/AN/A80252,2441,222
2011-03-11$40.50$43.0033.8%9.7%36.9%0.0%33.5%1.6%0.7%41.0K-371.9K-13.2K1.3951.44N/AN/A1612242,2871,237
2011-03-14$40.53$43.0033.3%9.5%36.7%0.0%33.1%0.9%0.7%31.0K-323.1K-13.1K0.1247.44N/AN/A97122,3571,321
2011-03-15$38.43$43.0039.2%11.2%40.4%0.0%38.4%1.9%-0.9%5.2K1.5M-11.9K0.7550.43N/AN/A8656532,3891,331
2011-03-16$38.26$40.0040.3%11.5%40.3%0.0%39.9%1.9%-1.2%51.0K1.0M-16.7K0.9150.61N/AN/A1961793,1731,834
2011-03-17$40.42$40.0037.9%10.9%45.6%0.0%38.9%-0.5%3.1%27.5K-1.9M-18.0K0.8359.11N/AN/A1731433,2541,877
2011-03-18$41.87$40.0039.1%11.2%45.9%0.0%39.7%0.5%0.3%225.5K-4.3M-17.8K1.8843.60N/AN/A2675023,3041,916
2011-03-21$42.16$40.0037.6%10.8%46.0%0.0%39.0%0.1%2.2%153.1K-4.7M-17.5K0.1344.70N/AN/A1,0841432,4371,398
2011-03-22$42.16$40.0036.9%10.6%40.8%0.0%36.4%0.2%1.7%175.3K-5.0M-18.6K0.2041.29N/AN/A105212,6641,503
2011-03-23$41.96$40.0036.9%10.6%39.0%0.0%37.4%1.2%1.1%178.7K-5.0M-18.9K0.3553.18N/AN/A48172,7261,524
2011-03-24$42.86$40.0037.9%10.9%39.1%0.0%36.4%3.8%-1.3%187.2K-5.9M-17.9K0.4255.42N/AN/A149622,7351,538
2011-03-25$42.26$40.0037.8%10.8%36.7%0.0%38.7%0.7%0.3%193.1K-5.4M-18.8K0.2136.85N/AN/A373772,8151,548
2011-03-28$41.20$40.0039.6%11.4%37.5%0.0%40.3%1.9%0.3%191.7K-4.3M-19.3K0.3140.68N/AN/A4101282,9581,625
2011-03-29$41.35$40.0039.2%11.3%37.6%0.0%39.8%3.0%0.4%222.8K-5.1M-21.2K0.6641.32N/AN/A100663,2871,732
2011-03-30$40.76$40.0039.0%11.2%37.7%0.0%40.3%0.7%0.6%223.7K-4.6M-20.8K0.6634.98N/AN/A99653,3171,709
2011-03-31$44.25$40.0035.8%10.3%47.8%0.0%35.6%0.2%2.6%257.0K-9.5M-17.8K0.4037.19N/AN/A9803933,3521,773