CORN Options History — October 2011

In October 2011, CORN traded between $39.83 and $43.81. ATM implied volatility averaged 32.0%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 3.7% (HV 20d: 35.7%). Max pain ranged from $43.00 to $48.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2011-10-11: Highest Volume — 1,790 contracts
  • 2011-10-18: Largest IV drop — 8.2% change
  • 2011-10-12: Highest IV Rank — 58.0%
  • 2011-10-03: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.36$39.83$43.81$39.83$43.21
Max Pain$43.95$43.00$48.00$48.00$43.00
ATM IV32.0%26.0%36.4%36.0%27.2%
Expected Move9.2%7.4%10.3%10.3%7.8%
HV 20d35.7%25.8%40.5%31.3%26.5%
HV 60d31.5%30.3%32.6%31.2%30.8%
IV Rank32.8%0.0%58.0%55.7%6.9%
IV Percentile29.0%0.0%61.8%58.4%2.4%
Term Structure0.1%-2.4%3.7%-1.4%2.4%
VWIV31.8%25.1%35.9%34.8%27.3%
Skew 25d0.4%-0.6%1.5%-0.2%0.0%
Skew 10d2.1%-9.8%12.3%10.0%0.3%
Call IV 25d32.3%26.5%36.3%36.3%27.7%
Put IV 25d32.7%26.8%36.6%36.1%27.8%
Bid-Ask Spread %33.6815.1743.3622.0240.88
Gamma HHI0.120.090.230.090.13
Net GEX102.8K3.5K295.6K3.5K147.1K
Net DEX5.7M-3.1M13.8M13.0M-1.4M
Net VEX-50.9K-59.2K-43.1K-48.6K-43.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.042.190.920.22
Total Volume387.667651,790783273
Total OI14,420.38111,34616,52614,81911,525

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$39.83$48.0036.0%10.3%31.3%55.7%34.8%-0.2%-1.4%3.5K13.0M-48.6K0.9222.02N/AN/A4073768,3276,492
2011-10-04$39.89$48.0035.6%10.2%31.5%52.9%33.9%0.8%-1.1%11.9K13.8M-47.2K0.7315.17N/AN/A88648,3516,596
2011-10-05$41.00$48.0034.7%9.9%34.3%47.9%34.4%1.5%-0.1%18.4K11.7M-51.0K0.4418.53N/AN/A156688,3586,569
2011-10-06$40.84$48.0033.9%9.7%34.3%43.5%35.4%-0.5%-0.0%14.9K11.6M-50.8K0.4021.01N/AN/A154618,3906,580
2011-10-07$40.55$43.0034.8%9.8%34.0%48.6%32.7%0.4%-1.0%23.9K12.3M-49.2K0.4741.71N/AN/A139668,4276,579
2011-10-10$40.84$43.0033.3%9.7%33.9%39.7%33.8%0.6%-1.1%49.2K12.0M-48.1K0.9542.47N/AN/A2822678,5116,616
2011-10-11$43.28$43.0035.8%10.1%40.5%54.2%35.2%1.1%-2.4%26.1K5.6M-55.9K0.7843.36N/AN/A1,0067848,5206,579
2011-10-12$42.91$43.0036.4%10.2%40.4%58.0%35.4%0.6%-2.0%47.8K6.4M-59.2K0.6741.98N/AN/A5633788,9237,019
2011-10-13$42.48$43.0035.7%10.2%39.6%53.7%35.9%0.2%-1.4%81.6K7.2M-58.4K0.2339.94N/AN/A190439,0677,009
2011-10-14$42.99$43.0034.1%9.8%39.9%44.6%33.3%1.1%-0.9%102.2K6.2M-57.9K0.8836.56N/AN/A108959,0377,031
2011-10-17$42.90$43.0035.4%10.1%39.8%51.9%35.8%0.7%-2.1%134.0K6.6M-55.7K0.4441.47N/AN/A45209,0687,057
2011-10-18$42.86$43.0032.5%9.3%39.8%35.3%32.4%0.3%-0.2%168.3K6.7M-53.0K1.8840.14N/AN/A3466509,0607,055
2011-10-19$42.55$43.0030.9%8.8%39.6%26.0%31.5%-0.4%1.8%119.4K8.7M-52.3K0.5142.31N/AN/A123639,1457,381
2011-10-20$43.26$43.0031.1%8.9%37.3%27.3%30.8%1.2%1.0%198.1K5.2M-52.3K2.1942.77N/AN/A591299,1267,166
2011-10-21$43.34$43.0029.2%8.4%37.0%16.7%29.3%-0.3%1.7%295.6K4.9M-50.9K0.2333.60N/AN/A420979,0647,183
2011-10-24$43.20$43.0028.7%8.2%36.5%13.7%29.6%0.2%0.6%128.9K-1.7M-49.2K0.0424.97N/AN/A7036,7814,565
2011-10-25$43.43$43.0028.3%8.1%36.5%11.0%28.7%0.5%1.2%141.2K-2.1M-48.5K0.2434.88N/AN/A68166,8124,564
2011-10-26$42.85$43.0026.0%7.4%35.0%0.0%27.0%-0.6%3.7%120.1K-58.5K-45.4K0.3226.92N/AN/A112366,8134,565
2011-10-27$43.61$43.0026.3%7.5%35.2%1.7%25.1%0.3%2.3%157.3K-2.9M-46.3K0.5028.28N/AN/A115576,8884,572
2011-10-28$43.81$43.0026.0%7.5%25.8%0.4%25.5%0.4%2.1%169.7K-3.1M-46.1K1.1528.20N/AN/A67776,8844,573
2011-10-31$43.21$43.0027.2%7.8%26.5%6.9%27.3%0.0%2.4%147.1K-1.4M-43.1K0.2240.88N/AN/A223506,9154,610