CORN Options History — August 2011

In August 2011, CORN traded between $45.14 and $50.40. ATM implied volatility averaged 35.8%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 6.1% (HV 20d: 29.7%). Max pain ranged from $44.00 to $47.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.76.

Notable Days

  • 2011-08-11: Highest Volume — 4,129 contracts
  • 2011-08-08: Largest IV spike — 12.4% change
  • 2011-08-08: Highest IV Rank — 90.3%
  • 2011-08-08: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.86$45.14$50.40$46.21$50.20
Max Pain$45.70$44.00$47.00$44.00$47.00
ATM IV35.8%31.9%42.1%35.6%32.4%
Expected Move10.3%9.1%11.5%10.2%9.3%
HV 20d29.7%26.8%31.4%27.4%26.8%
HV 60d37.1%36.2%38.3%38.0%36.4%
IV Rank54.1%31.7%90.3%53.4%34.5%
IV Percentile53.7%17.9%98.9%51.1%23.0%
Term Structure-0.3%-3.3%2.5%1.7%2.5%
VWIV36.0%31.6%39.9%37.4%32.9%
Skew 25d0.3%-1.1%2.1%-0.8%-0.0%
Skew 10d1.8%-5.4%11.8%4.4%-5.4%
Call IV 25d36.2%31.4%40.2%38.2%33.6%
Put IV 25d36.5%32.5%40.5%37.4%33.6%
Bid-Ask Spread %26.9814.6651.6428.8314.66
Gamma HHI0.150.080.470.090.11
Net GEX505.3K115.8K950.1K544.3K248.3K
Net DEX-14.9M-20.7M-8.3M-14.3M-15.9M
Net VEX-68.3K-80.1K-56.1K-71.1K-58.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.101.601.600.30
Total Volume792.0871734,1291,576512
Total OI15,019.7399,55518,61815,38911,497

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$46.21$44.0035.6%10.2%27.4%53.4%37.4%-0.8%1.7%544.3K-14.3M-71.1K1.6028.83N/AN/A6069709,0006,389
2011-08-02$47.51$44.0036.8%10.6%27.9%60.1%36.8%2.1%0.2%627.5K-18.0M-80.1K0.3021.29N/AN/A4311309,2487,275
2011-08-03$47.27$44.0037.2%10.7%27.8%62.1%37.1%0.1%0.2%610.9K-17.0M-78.6K0.7819.91N/AN/A1541209,1777,306
2011-08-04$46.52$44.0038.4%11.0%28.9%69.2%38.3%-1.1%0.9%542.9K-14.3M-79.6K1.4218.12N/AN/A3264649,2277,338
2011-08-05$46.85$45.0037.4%11.0%27.9%63.6%38.9%-0.7%-1.0%562.2K-15.1M-77.3K0.4436.43N/AN/A4722089,1797,516
2011-08-08$45.14$45.0042.1%11.5%31.4%90.3%39.9%0.3%-3.3%355.7K-8.3M-75.7K1.0042.89N/AN/A1981989,4137,534
2011-08-09$46.02$45.0038.8%11.2%29.9%71.5%38.7%-0.1%-2.8%524.1K-12.0M-74.3K0.4151.64N/AN/A3181319,4867,495
2011-08-10$45.49$45.0038.9%11.2%28.2%71.8%39.4%0.3%-3.1%494.8K-10.1M-71.8K1.5138.83N/AN/A691049,5757,520
2011-08-11$47.28$45.0038.8%11.1%31.4%71.3%38.8%0.3%-1.5%743.6K-17.7M-71.9K0.4630.23N/AN/A2,8351,2949,5817,539
2011-08-12$47.27$46.0037.0%10.6%31.4%61.1%36.9%0.4%-1.3%716.6K-16.6M-75.8K1.4834.10N/AN/A27440610,0708,442
2011-08-15$47.81$46.0036.6%10.5%31.2%59.0%36.9%1.3%-2.0%821.7K-18.9M-70.8K0.1031.54N/AN/A435439,9878,631
2011-08-16$48.09$46.0035.6%10.2%31.0%53.3%35.8%-0.2%-1.1%922.2K-20.7M-67.3K0.6026.65N/AN/A4252549,9348,630
2011-08-17$48.04$46.0035.6%10.2%30.6%53.1%36.0%0.9%-1.2%946.9K-19.8M-67.0K0.2031.02N/AN/A6021219,7688,628
2011-08-18$47.15$46.0035.7%10.2%31.2%53.8%35.9%-0.2%-0.9%648.9K-14.9M-67.0K1.3229.60N/AN/A4245609,7038,645
2011-08-19$47.83$46.0035.4%10.2%31.1%52.1%36.1%-0.6%-0.5%950.1K-18.5M-64.0K0.5724.55N/AN/A7634349,7438,391
2011-08-22$48.55$46.0034.1%9.8%30.9%44.7%34.8%0.4%1.2%115.8K-10.1M-60.3K0.3722.03N/AN/A3301215,2604,295
2011-08-23$49.20$46.0033.1%9.5%30.8%38.7%33.6%1.2%0.9%165.2K-12.1M-59.4K0.8015.31N/AN/A5174165,4844,386
2011-08-24$48.78$47.0033.2%9.5%31.1%39.2%33.6%0.7%0.5%166.4K-10.9M-62.6K0.7618.82N/AN/A2101595,7344,659
2011-08-25$48.80$47.0032.8%9.4%31.0%37.3%33.5%0.1%0.7%173.0K-10.9M-63.5K0.8316.36N/AN/A116965,8654,772
2011-08-26$50.07$47.0031.9%9.1%29.9%31.7%32.5%1.1%0.8%238.2K-14.2M-59.8K0.7223.55N/AN/A5293805,9044,808
2011-08-29$50.37$47.0032.4%9.3%28.2%34.9%31.6%0.7%1.5%243.2K-15.7M-56.1K0.1826.59N/AN/A5591026,0595,043
2011-08-30$50.40$47.0033.0%9.5%26.8%38.2%33.7%0.1%0.5%259.7K-16.3M-57.6K1.3517.57N/AN/A1712316,2495,069
2011-08-31$50.20$47.0032.4%9.3%26.8%34.5%32.9%-0.0%2.5%248.3K-15.9M-58.9K0.3014.66N/AN/A3951176,2975,200