CORN Options History — September 2011

In September 2011, CORN traded between $39.88 and $49.74. ATM implied volatility averaged 32.1%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 5.7% (HV 20d: 26.5%). Max pain ranged from $47.00 to $49.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2011-09-13: Highest Volume — 2,515 contracts
  • 2011-09-13: Largest IV drop — 14.7% change
  • 2011-09-12: Highest IV Rank — 67.0%
  • 2011-09-12: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.88$39.88$49.74$48.58$39.88
Max Pain$48.76$47.00$49.00$47.00$48.00
ATM IV32.1%28.4%38.0%32.1%35.1%
Expected Move9.3%8.2%10.6%9.2%10.1%
HV 20d26.5%22.3%33.5%28.9%33.5%
HV 60d34.0%28.5%36.9%36.9%31.7%
IV Rank33.4%12.0%67.0%33.1%50.2%
IV Percentile24.6%2.3%82.0%19.5%48.9%
Term Structure0.5%-1.0%1.9%1.9%-1.0%
VWIV32.6%26.9%37.1%32.7%35.0%
Skew 25d0.4%-0.4%1.8%1.8%0.2%
Skew 10d-0.1%-5.4%6.5%2.3%-0.9%
Call IV 25d33.0%28.5%37.6%33.0%35.3%
Put IV 25d33.4%28.9%37.9%34.8%35.6%
Bid-Ask Spread %29.5716.1142.3616.5616.11
Gamma HHI0.170.080.790.130.08
Net GEX-150.3K-3.9M376.6K150.6K21.1K
Net DEX-1.6M-15.0M13.1M-10.9M13.1M
Net VEX-62.1K-73.1K-47.9K-63.9K-47.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.265.600.570.87
Total Volume820.812182,5159981,126
Total OI13,461.09511,71015,93311,71014,449

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$48.58$47.0032.1%9.2%28.9%33.1%32.7%1.8%1.9%150.6K-10.9M-63.9K0.5716.56N/AN/A6343646,4515,259
2011-09-02$49.74$47.0033.0%9.5%29.9%38.3%33.0%-0.2%1.5%278.7K-15.0M-64.0K0.9824.37N/AN/A2982916,8795,401
2011-09-06$49.49$49.0035.3%10.5%26.1%51.5%37.0%0.1%-1.0%268.6K-14.2M-63.4K0.5130.24N/AN/A3061566,9415,494
2011-09-07$49.25$49.0034.9%10.3%25.7%49.1%36.2%0.1%0.0%275.3K-13.8M-64.1K0.6728.76N/AN/A4923317,1075,573
2011-09-08$48.56$49.0034.3%10.3%25.9%45.5%36.3%0.2%-0.4%226.0K-11.4M-65.8K0.4626.97N/AN/A7033207,3935,668
2011-09-09$48.67$49.0035.9%10.3%22.3%54.6%36.5%0.2%-0.5%249.8K-11.6M-67.3K0.8227.14N/AN/A3052507,7935,830
2011-09-12$49.13$49.0038.0%10.6%22.5%67.0%37.1%0.3%-0.7%376.6K-13.7M-65.7K1.3528.33N/AN/A2853847,9505,950
2011-09-13$47.68$49.0032.4%9.6%24.8%35.0%33.6%0.3%0.2%90.2K-7.9M-64.5K1.8534.10N/AN/A8831,6327,9886,188
2011-09-14$47.88$49.0030.1%9.4%24.8%21.7%33.1%-0.4%1.3%-47.7K-6.5M-73.1K0.5836.31N/AN/A2251308,2187,595
2011-09-15$46.56$49.0031.2%8.9%26.7%27.8%31.6%1.0%0.4%-554.0K218.8K-70.1K1.0842.36N/AN/A4234568,2347,648
2011-09-16$45.98$49.0029.9%8.6%26.2%20.7%30.0%0.3%1.6%-3.9M3.9M-67.3K5.6042.26N/AN/A1841,0308,3137,620
2011-09-19$45.65$49.0030.1%8.6%25.6%21.8%30.3%0.0%1.3%-133.4K1.1M-64.9K0.3536.84N/AN/A4301496,4385,630
2011-09-20$45.54$49.0029.1%8.3%24.8%15.8%29.4%0.3%1.7%-128.9K1.6M-63.6K0.7424.79N/AN/A125936,6185,673
2011-09-21$44.80$49.0028.4%8.2%24.4%12.0%28.4%0.5%1.5%-124.9K3.5M-59.9K0.6339.15N/AN/A1881186,6435,643
2011-09-22$42.99$49.0029.2%8.4%27.7%16.6%26.9%0.4%1.2%-81.1K7.9M-52.9K0.6828.32N/AN/A7365036,6595,680
2011-09-23$42.45$49.0030.3%8.7%27.6%22.6%30.4%-0.1%0.1%-50.6K8.2M-51.0K1.0228.57N/AN/A7217387,0965,602
2011-09-26$43.21$49.0031.8%9.1%26.5%31.3%31.7%1.2%-0.1%-41.3K6.8M-62.0K0.3426.68N/AN/A3001037,6066,104
2011-09-27$43.20$49.0030.7%8.8%26.2%25.2%31.1%0.9%0.4%-39.1K6.6M-60.4K0.2626.45N/AN/A265687,6416,068
2011-09-28$41.87$49.0031.1%8.9%27.3%27.4%31.2%0.3%-0.0%1.3K9.4M-54.5K0.9928.62N/AN/A3032997,6916,035
2011-09-29$42.47$49.0032.2%9.2%28.5%33.6%32.4%1.8%0.4%-10.2K8.2M-57.7K0.3927.96N/AN/A6392517,8426,072
2011-09-30$39.88$48.0035.1%10.1%33.5%50.2%35.0%0.2%-1.0%21.1K13.1M-47.9K0.8716.11N/AN/A6035238,1906,259