CORN Options History — July 2011

In July 2011, CORN traded between $41.14 and $46.13. ATM implied volatility averaged 37.5%, placing in the 64.0% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 9.0% (HV 20d: 46.5%). Max pain ranged from $41.00 to $45.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.08.

Notable Days

  • 2011-07-01: Highest Volume — 5,390 contracts
  • 2011-07-11: Largest IV spike — 17.4% change
  • 2011-07-18: Highest IV Rank — 84.4%
  • 2011-07-18: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.44$41.14$46.13$41.14$44.76
Max Pain$42.85$41.00$45.00$45.00$44.00
ATM IV37.5%32.3%41.0%36.8%37.5%
Expected Move10.7%9.7%11.8%10.5%10.7%
HV 20d46.5%25.9%51.2%49.9%25.9%
HV 60d39.1%37.6%40.1%39.0%38.0%
IV Rank64.0%34.3%84.4%60.0%63.8%
IV Percentile75.6%25.3%97.7%67.9%74.0%
Term Structure0.2%-0.7%1.5%-0.7%1.5%
VWIV37.3%34.3%41.1%35.9%38.1%
Skew 25d0.2%-1.5%2.6%2.6%-0.8%
Skew 10d1.8%-4.8%8.1%-0.3%-4.3%
Call IV 25d37.7%34.5%41.3%35.8%38.6%
Put IV 25d37.9%34.8%42.1%38.5%37.7%
Bid-Ask Spread %22.9013.3133.7726.7129.17
Gamma HHI0.100.080.120.120.08
Net GEX236.6K-211.0K560.2K-156.6K362.9K
Net DEX-8.1M-14.9M4.1M4.1M-9.5M
Net VEX-76.0K-83.5K-54.5K-54.5K-74.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.253.061.221.21
Total Volume1,200.352635,3905,390393
Total OI15,507.1512,56318,46512,56315,332

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$41.14$45.0036.8%10.5%49.9%60.0%35.9%2.6%-0.7%-156.6K4.1M-54.5K1.2226.71N/AN/A2,4242,9667,0915,472
2011-07-05$42.04$41.0037.8%10.4%50.2%65.5%36.5%0.1%-0.0%-170.2K1.1M-77.1K1.2013.31N/AN/A3804568,3907,412
2011-07-06$41.74$41.0035.0%10.1%49.7%49.5%35.5%1.1%0.5%-211.0K2.0M-74.4K1.8215.70N/AN/A2073778,4367,390
2011-07-07$42.05$41.0034.6%10.2%49.1%47.2%35.8%0.1%0.3%-196.8K571.6K-74.8K0.8117.67N/AN/A3102528,5337,461
2011-07-08$43.14$41.0032.3%10.0%48.4%34.3%35.5%0.7%0.9%-51.7K-3.9M-75.8K1.0418.84N/AN/A2402508,6597,401
2011-07-11$42.97$41.0037.9%10.1%48.4%66.5%35.5%1.7%0.5%-62.4K-3.8M-72.2K1.1621.23N/AN/A3804428,6567,399
2011-07-12$44.44$41.0038.1%9.7%50.3%67.5%34.3%0.3%1.4%227.7K-9.8M-71.4K1.0421.50N/AN/A9339718,6937,518
2011-07-13$45.82$41.0035.7%9.9%51.2%53.6%34.7%-0.4%0.3%541.1K-14.9M-69.8K0.3117.73N/AN/A1,4054388,5837,890
2011-07-14$45.61$42.0038.1%10.9%49.9%67.5%38.2%1.2%-0.1%432.8K-13.1M-71.3K0.4620.62N/AN/A2,4621,1358,3907,960
2011-07-15$45.72$43.0038.4%11.0%48.8%69.1%38.7%-0.2%-0.6%560.2K-14.1M-81.4K1.0216.63N/AN/A5865999,8798,586
2011-07-18$45.23$44.0041.0%11.8%48.7%84.4%41.1%0.8%-0.7%308.1K-9.8M-82.3K0.9021.00N/AN/A4884388,2356,027
2011-07-19$45.76$44.0040.2%11.5%48.9%79.7%40.3%0.6%-0.1%378.8K-12.0M-82.5K0.8620.20N/AN/A8717508,5176,047
2011-07-20$45.18$44.0039.3%11.3%48.1%74.3%40.0%0.9%-0.5%296.8K-9.2M-83.5K1.3426.29N/AN/A1211628,6316,477
2011-07-21$44.77$44.0038.2%10.9%44.8%67.8%37.5%-0.0%0.2%285.4K-8.1M-82.4K3.0629.66N/AN/A4341,3298,6706,552
2011-07-22$45.54$44.0037.7%10.8%45.2%65.2%37.4%-0.9%0.3%392.4K-11.2M-81.4K0.4626.83N/AN/A3131448,7136,310
2011-07-25$45.03$44.0038.3%11.0%44.6%68.9%38.3%-0.5%0.2%369.5K-9.8M-78.7K1.3229.43N/AN/A1552048,8406,324
2011-07-26$45.75$44.0038.2%11.0%44.4%68.2%38.9%-1.3%0.3%444.3K-12.4M-78.1K0.8322.83N/AN/A2422028,9306,273
2011-07-27$46.13$44.0037.1%10.6%41.6%61.7%37.0%-1.4%0.2%493.5K-13.9M-76.9K0.2533.77N/AN/A228578,9176,296
2011-07-28$45.99$44.0037.7%10.8%41.7%65.3%37.4%-1.5%0.5%487.7K-13.4M-75.9K1.1928.82N/AN/A1201438,9206,333
2011-07-29$44.76$44.0037.5%10.7%25.9%63.8%38.1%-0.8%1.5%362.9K-9.5M-74.8K1.2129.17N/AN/A1782158,9606,372