CORN Options History — May 2011

In May 2011, CORN traded between $41.86 and $45.99. ATM implied volatility averaged 37.0%, placing in the 67.1% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 0.4% (HV 20d: 36.6%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2011-05-05: Highest Volume — 1,028 contracts
  • 2011-05-31: Largest IV spike — 5.3% change
  • 2011-05-24: Highest IV Rank — 75.0%
  • 2011-05-24: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.38$41.86$45.99$45.25$45.30
Max Pain$44.00$44.00$44.00$44.00$44.00
ATM IV37.0%35.5%38.2%36.7%37.4%
Expected Move10.6%10.2%11.0%10.5%10.7%
HV 20d36.6%31.2%41.2%32.8%33.1%
HV 60d39.0%37.8%40.7%38.7%37.8%
IV Rank67.1%57.7%75.0%66.4%69.6%
IV Percentile73.3%58.7%85.2%73.0%79.1%
Term Structure0.6%-1.1%1.9%-0.5%1.0%
VWIV37.2%35.9%39.0%36.8%37.6%
Skew 25d0.7%-0.8%3.0%0.8%0.9%
Skew 10d1.9%-0.4%5.0%0.8%4.0%
Call IV 25d37.2%35.6%38.4%37.3%37.4%
Put IV 25d37.9%36.7%39.8%38.1%38.2%
Bid-Ask Spread %27.5720.7233.6724.0333.61
Gamma HHI0.170.110.410.140.11
Net GEX208.4K-195.8K306.7K199.8K114.1K
Net DEX-6.4M-11.7M-1.7M-7.5M-5.4M
Net VEX-38.0K-44.0K-34.7K-36.4K-37.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.132.470.440.37
Total Volume587.1432281,028444546
Total OI7,545.6196,0509,2046,8686,239

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$45.25$44.0036.7%10.5%32.8%0.0%36.8%0.8%-0.5%199.8K-7.5M-36.4K0.4424.03N/AN/A3081364,3692,499
2011-05-03$45.02$44.0036.6%10.5%31.2%0.0%35.9%-0.2%-0.4%195.4K-7.0M-37.3K0.6328.19N/AN/A1881194,5312,622
2011-05-04$45.09$44.0037.3%10.7%31.2%0.0%37.4%-0.8%-1.1%191.1K-7.3M-38.0K0.7225.43N/AN/A2321684,5962,702
2011-05-05$43.70$44.0036.7%10.5%33.0%0.0%36.0%1.5%-0.9%182.7K-4.5M-37.3K2.4731.35N/AN/A2967324,6562,745
2011-05-06$43.10$44.0037.3%10.5%33.3%0.0%37.2%-0.2%0.6%213.7K-3.7M-35.8K0.3324.26N/AN/A4911604,6922,595
2011-05-09$44.46$44.0037.1%10.6%35.0%0.0%37.4%0.3%0.7%235.8K-6.3M-36.3K0.6020.72N/AN/A3492104,8012,669
2011-05-10$44.19$44.0036.7%10.5%34.9%0.0%36.5%0.0%1.1%238.1K-6.2M-36.8K0.1524.58N/AN/A491754,9682,749
2011-05-11$41.86$44.0036.9%10.9%38.3%66.4%37.1%0.5%0.7%195.2K-1.7M-35.0K0.4832.55N/AN/A5942845,1132,799
2011-05-12$42.31$44.0036.5%10.5%38.3%64.4%37.3%-0.1%1.1%211.0K-2.4M-35.0K0.8526.49N/AN/A4804105,1502,831
2011-05-13$42.36$44.0037.3%10.7%38.1%68.9%37.8%-0.7%0.9%228.7K-2.8M-35.4K0.2325.28N/AN/A275635,3992,932
2011-05-16$42.84$44.0036.8%10.5%38.3%65.8%36.9%-0.5%0.5%248.5K-3.8M-34.7K0.5824.47N/AN/A3492025,4672,956
2011-05-17$44.13$44.0036.9%10.6%39.3%66.9%36.9%0.1%1.3%295.5K-7.4M-37.0K0.2728.36N/AN/A305835,6243,010
2011-05-18$45.58$44.0036.5%10.5%41.2%64.4%36.4%0.1%0.9%306.7K-11.7M-36.2K0.2124.56N/AN/A8421805,6053,009
2011-05-19$44.78$44.0036.9%10.6%40.8%66.8%38.0%0.8%1.5%274.3K-10.1M-39.6K0.2927.43N/AN/A6331835,9333,140
2011-05-20$45.02$44.0036.8%10.5%40.6%66.0%37.1%1.0%1.9%-195.8K-10.9M-39.1K0.3926.06N/AN/A6252415,9623,242
2011-05-23$45.19$44.0037.7%10.8%39.7%71.6%38.2%2.3%0.0%226.8K-6.4M-39.6K0.3827.10N/AN/A4711814,1681,882
2011-05-24$44.76$44.0038.2%11.0%39.7%75.0%39.0%2.0%0.4%240.4K-6.2M-42.0K0.5428.79N/AN/A2571394,4911,988
2011-05-25$45.23$44.0037.3%10.7%39.9%69.1%37.3%1.8%0.3%237.9K-6.7M-42.3K0.1333.67N/AN/A201274,4982,092
2011-05-26$45.84$44.0037.1%10.6%36.5%67.6%37.2%3.0%0.9%259.5K-7.8M-42.6K0.8428.71N/AN/A3052554,5752,115
2011-05-27$45.99$44.0035.5%10.2%33.6%57.7%37.1%1.7%1.0%275.9K-8.2M-44.0K0.7833.38N/AN/A1371074,7442,300
2011-05-31$45.30$44.0037.4%10.7%33.1%69.6%37.6%0.9%1.0%114.1K-5.4M-37.6K0.3733.61N/AN/A3981483,9142,325