CORN Options History — April 2011

In April 2011, CORN traded between $44.36 and $46.94. ATM implied volatility averaged 31.3%. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 9.8% (HV 20d: 41.1%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2011-04-28: Highest Volume — 1,535 contracts
  • 2011-04-28: Largest IV spike — 11.9% change
  • 2011-04-29: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.83$44.36$46.94$44.36$46.24
Max Pain$40.75$40.00$44.00$40.00$44.00
ATM IV31.3%29.1%34.5%33.4%34.5%
Expected Move9.2%8.3%9.9%9.6%9.9%
HV 20d41.1%31.7%48.4%47.7%31.7%
HV 60d36.8%36.3%38.5%37.0%38.5%
Term Structure2.6%0.7%4.5%1.9%0.7%
VWIV32.6%29.5%35.3%31.9%35.3%
Skew 25d1.2%-0.0%2.8%2.8%1.8%
Skew 10d2.5%-0.1%4.8%2.8%4.4%
Call IV 25d32.2%29.8%34.7%31.9%34.7%
Put IV 25d33.4%30.9%36.5%34.8%36.5%
Bid-Ask Spread %29.0922.0534.5232.2726.77
Gamma HHI0.160.120.210.180.13
Net GEX185.6K106.0K267.2K239.8K171.8K
Net DEX-8.6M-12.1M-4.4M-9.6M-8.3M
Net VEX-19.5K-32.5K-15.9K-18.8K-32.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.162.260.190.28
Total Volume539.151151,5351,1311,088
Total OI5,396.53,4026,6985,5806,189

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$44.36$40.0033.4%9.6%47.7%0.0%31.9%2.8%1.9%239.8K-9.6M-18.8K0.1932.27N/AN/A9541773,5102,070
2011-04-04$45.63$40.0031.7%9.5%48.4%0.0%34.0%0.8%3.0%216.3K-9.9M-15.9K0.6832.19N/AN/A7745253,1512,163
2011-04-05$45.82$40.0031.2%9.6%48.2%0.0%34.2%1.4%2.7%170.4K-9.9M-17.7K0.7934.52N/AN/A2311833,4582,524
2011-04-06$45.81$40.0030.1%9.5%48.1%0.0%33.1%0.0%3.2%161.7K-10.2M-18.2K0.4031.49N/AN/A82333,5782,655
2011-04-07$45.64$40.0030.9%9.5%46.1%0.0%33.3%0.3%2.4%158.0K-10.0M-18.3K1.0530.34N/AN/A1491573,5812,672
2011-04-08$46.22$40.0029.6%9.5%45.4%0.0%32.9%1.5%2.0%188.4K-11.1M-18.1K1.1727.47N/AN/A2613053,6742,676
2011-04-11$46.44$40.0030.3%9.7%45.4%0.0%32.9%0.5%1.6%235.7K-12.1M-17.6K0.3434.22N/AN/A182623,7622,717
2011-04-12$45.02$40.0032.5%9.8%42.1%0.0%34.4%-0.0%1.2%183.5K-8.9M-19.1K2.2629.61N/AN/A1804073,7652,726
2011-04-13$45.48$40.0031.5%9.4%41.8%0.0%33.5%1.3%2.7%220.2K-10.0M-18.5K0.6532.16N/AN/A84553,7802,781
2011-04-14$45.88$40.0032.7%9.4%38.1%0.0%33.4%1.9%2.2%267.2K-11.1M-17.9K0.1931.56N/AN/A376703,8132,808
2011-04-15$45.39$40.0032.4%9.3%36.9%0.0%32.8%1.5%2.5%238.6K-9.8M-18.3K0.6830.71N/AN/A1791213,8762,822
2011-04-18$46.27$40.0032.0%9.2%37.3%0.0%32.1%0.8%2.4%158.2K-6.4M-16.9K0.8322.05N/AN/A2131772,1881,214
2011-04-19$46.35$41.0031.1%8.9%37.3%0.0%32.3%0.7%2.4%158.1K-6.7M-18.5K0.6423.07N/AN/A101652,3631,327
2011-04-20$45.28$41.0030.4%8.7%38.5%0.0%30.5%1.7%3.8%168.5K-5.7M-19.3K0.4328.07N/AN/A3031302,4161,359
2011-04-21$45.84$41.0029.1%8.3%38.1%0.0%29.5%1.3%4.5%175.8K-6.5M-19.9K0.5829.57N/AN/A81472,5621,465
2011-04-25$46.91$41.0029.6%8.5%38.1%0.0%30.5%2.3%4.0%183.6K-7.7M-18.8K0.3328.25N/AN/A150502,6311,495
2011-04-26$46.94$41.0029.5%8.5%36.4%0.0%31.0%1.0%3.3%191.7K-7.8M-18.8K1.7628.43N/AN/A3085422,6851,494
2011-04-27$46.55$43.0030.3%8.7%36.8%0.0%31.2%2.2%2.9%106.0K-6.9M-22.3K0.1626.52N/AN/A384622,8392,005
2011-04-28$44.44$43.0033.9%9.7%40.7%0.0%33.5%0.9%2.0%117.7K-4.4M-25.6K0.4022.56N/AN/A1,1004353,0932,043
2011-04-29$46.24$44.0034.5%9.9%31.7%0.0%35.3%1.8%0.7%171.8K-8.3M-32.5K0.2826.77N/AN/A8532353,8812,308