CORN Options History — June 2011

In June 2011, CORN traded between $40.50 and $48.23. ATM implied volatility averaged 36.7%, placing in the 65.2% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 3.7% (HV 20d: 33.0%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.29.

Notable Days

  • 2011-06-30: Highest Volume — 3,368 contracts
  • 2011-06-30: Largest IV spike — 16.4% change
  • 2011-06-30: Highest IV Rank — 100.0%
  • 2011-06-30: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.09$40.50$48.23$45.69$40.50
Max Pain$44.73$44.00$45.00$44.00$45.00
ATM IV36.7%34.8%43.8%36.6%43.8%
Expected Move10.6%10.0%12.5%10.5%12.5%
HV 20d33.0%26.7%49.3%33.2%49.3%
HV 60d36.5%33.3%38.9%37.8%38.9%
IV Rank65.2%53.7%100.0%64.7%100.0%
IV Percentile67.2%51.9%100.0%63.6%100.0%
Term Structure1.6%-1.0%3.3%1.3%-1.0%
VWIV37.2%34.7%43.0%37.0%43.0%
Skew 25d0.8%-0.6%1.9%1.5%1.1%
Skew 10d3.2%-0.5%8.9%8.1%2.5%
Call IV 25d37.1%34.2%43.0%37.4%43.0%
Put IV 25d37.9%34.8%44.1%38.8%44.1%
Bid-Ask Spread %30.2821.2037.4829.9022.07
Gamma HHI0.120.090.140.130.10
Net GEX96.5K-193.8K405.5K291.0K-149.6K
Net DEX-4.7M-13.0M4.9M-8.1M4.9M
Net VEX-51.8K-60.0K-41.8K-44.0K-53.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.164.070.271.49
Total Volume1,126.4552213,3684323,368
Total OI9,928.8647,43212,6047,43211,536

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$45.69$44.0036.6%10.5%33.2%64.7%37.0%1.5%1.3%291.0K-8.1M-44.0K0.2729.90N/AN/A339934,9382,494
2011-06-02$46.79$44.0036.1%10.3%34.2%61.3%35.3%1.9%0.8%322.5K-10.2M-43.0K0.1629.05N/AN/A393625,0282,552
2011-06-03$46.20$44.0035.4%10.7%32.4%57.4%37.9%-0.1%0.8%311.7K-9.1M-44.4K0.9832.76N/AN/A1821785,0562,597
2011-06-06$45.02$44.0036.4%10.9%33.5%63.6%38.1%0.6%0.6%281.9K-6.8M-43.5K0.7933.10N/AN/A1331055,1462,660
2011-06-07$45.77$44.0036.1%10.7%32.2%61.8%37.3%1.2%0.9%309.3K-8.0M-42.6K0.3234.55N/AN/A168535,1742,720
2011-06-08$46.65$44.0036.2%10.8%32.6%62.3%37.9%1.1%0.1%353.9K-10.0M-42.3K0.6829.89N/AN/A4312955,1762,731
2011-06-09$48.23$45.0036.8%10.5%26.7%65.7%37.6%0.6%1.6%375.4K-13.0M-41.8K0.4830.93N/AN/A9384485,2952,956
2011-06-10$47.92$45.0037.2%10.7%27.0%68.6%37.2%-0.6%1.5%405.5K-12.7M-44.4K0.6637.48N/AN/A7394875,5263,029
2011-06-13$47.57$45.0035.8%10.3%27.4%59.9%37.3%0.2%1.2%357.2K-11.5M-46.4K4.0728.28N/AN/A5602,2815,7233,358
2011-06-14$46.54$45.0036.0%10.3%29.0%61.3%36.5%-0.0%1.5%150.7K-7.4M-53.3K4.0332.93N/AN/A3611,4555,8735,228
2011-06-15$45.07$45.0035.5%10.2%30.1%58.1%36.1%0.7%1.8%-20.0K-2.1M-57.7K3.0434.19N/AN/A2818555,9956,151
2011-06-16$43.86$45.0035.3%10.1%29.3%56.4%36.0%1.2%2.4%-179.9K1.9M-58.1K1.6631.90N/AN/A3605986,0406,330
2011-06-17$44.54$45.0035.6%10.2%29.3%58.7%36.0%0.6%2.0%57.1K-377.5K-58.6K0.6537.22N/AN/A5243406,2486,356
2011-06-20$44.69$45.0035.9%10.3%29.2%60.6%35.7%0.8%2.5%-137.2K-1.9M-56.9K0.6332.03N/AN/A2751734,8485,387
2011-06-21$45.95$45.0034.8%10.0%30.9%53.7%34.7%0.6%2.3%-35.1K-5.1M-56.7K0.4127.23N/AN/A4932004,9735,508
2011-06-22$43.78$45.0035.3%10.1%35.4%56.3%35.1%0.5%3.3%-193.8K-3.7K-58.4K1.7524.57N/AN/A2314045,1215,607
2011-06-23$43.77$45.0037.7%10.8%35.1%71.9%38.4%0.9%2.4%-189.7K169.1K-59.6K2.0521.20N/AN/A9681,9885,2525,732
2011-06-24$42.80$45.0037.7%10.8%35.4%71.5%38.1%1.2%1.9%-176.9K1.3M-57.7K1.1131.87N/AN/A7978825,5365,322
2011-06-27$42.21$45.0038.6%11.1%35.5%77.4%38.1%1.4%2.0%-123.0K1.4M-56.4K2.1028.52N/AN/A2435106,0265,004
2011-06-28$44.17$45.0037.7%10.8%39.3%71.5%38.0%1.8%1.9%42.5K-3.2M-59.7K0.4532.66N/AN/A3891756,1024,942
2011-06-29$44.37$45.0037.6%10.8%39.2%71.0%38.1%1.1%2.1%69.9K-4.0M-60.0K0.6123.85N/AN/A6373906,2174,942
2011-06-30$40.50$45.0043.8%12.5%49.3%100.0%43.0%1.1%-1.0%-149.6K4.9M-53.3K1.4922.07N/AN/A1,3532,0156,4985,038