CORN Options History — November 2011

In November 2011, CORN traded between $38.50 and $44.09. ATM implied volatility averaged 28.1%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 7.8% (HV 20d: 20.3%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2011-11-16: Highest Volume — 479 contracts
  • 2011-11-28: Largest IV drop — 5.0% change
  • 2011-11-25: Highest IV Rank — 18.3%
  • 2011-11-07: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.44$38.50$44.09$43.24$39.59
Max Pain$42.90$42.00$44.00$43.00$43.00
ATM IV28.1%26.7%29.2%28.1%28.7%
Expected Move8.1%7.9%8.4%8.1%8.2%
HV 20d20.3%14.7%26.5%26.5%20.7%
HV 60d28.7%27.9%29.9%29.9%27.9%
IV Rank12.2%4.2%18.3%12.2%15.5%
IV Percentile6.4%1.6%13.1%3.2%11.1%
Term Structure1.1%-1.3%2.7%1.2%-1.3%
VWIV28.2%25.6%29.4%26.8%29.1%
Skew 25d0.5%-0.7%1.3%1.1%0.7%
Skew 10d2.0%-5.9%11.7%1.7%7.7%
Call IV 25d28.2%26.4%29.5%28.3%28.2%
Put IV 25d28.8%27.6%30.1%29.5%28.8%
Bid-Ask Spread %48.4521.8470.5842.5323.39
Gamma HHI0.160.080.460.120.13
Net GEX95.7K23.8K211.2K151.5K37.4K
Net DEX1.6M-3.9M8.3M-1.6M1.8M
Net VEX-30.8K-43.0K-21.0K-43.0K-22.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.006.370.800.17
Total Volume216.1916479205157
Total OI9,3043,97212,13311,6164,383

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$43.24$43.0028.1%8.1%26.5%12.2%26.8%1.1%1.2%151.5K-1.6M-43.0K0.8042.53N/AN/A114916,9894,627
2011-11-02$43.00$43.0027.7%7.9%25.2%9.5%27.2%1.1%2.1%130.2K-342.8K-42.0K0.1332.00N/AN/A86117,0004,676
2011-11-03$43.50$43.0027.8%8.0%25.3%10.5%28.2%1.2%0.6%153.1K-2.1M-41.8K0.4330.58N/AN/A147637,0224,672
2011-11-04$43.54$42.0026.7%8.2%25.0%4.2%28.8%1.2%1.0%170.0K-2.5M-41.9K0.0059.10N/AN/A3507,0754,682
2011-11-07$43.73$42.0027.6%8.4%25.0%9.2%28.9%1.3%0.6%176.6K-2.8M-39.2K2.7262.44N/AN/A29797,0914,682
2011-11-08$44.09$42.0027.8%8.2%14.7%10.2%29.4%0.6%1.5%187.6K-3.9M-38.8K1.7259.77N/AN/A1592747,0864,697
2011-11-09$43.23$43.0027.9%8.4%16.1%10.9%29.2%0.3%1.3%104.7K-487.5K-37.9K2.3664.04N/AN/A611447,0654,894
2011-11-10$42.57$43.0028.7%8.2%16.7%15.6%29.2%0.5%1.7%94.5K1.9M-35.7K0.9562.65N/AN/A1331267,0914,832
2011-11-11$42.04$43.0028.9%8.3%16.6%16.7%28.9%0.2%0.7%62.8K4.1M-34.3K1.0464.61N/AN/A75787,1904,943
2011-11-14$41.67$43.0028.7%8.2%16.8%15.6%27.9%0.8%1.7%94.5K5.1M-30.5K1.6766.53N/AN/A731227,2114,791
2011-11-15$42.31$43.0027.5%7.9%17.9%8.4%27.9%0.8%2.3%68.8K2.7M-30.8K0.5766.93N/AN/A2911677,2254,783
2011-11-16$41.96$43.0027.6%7.9%17.9%9.4%27.9%1.1%1.5%26.6K3.9M-28.9K6.3770.58N/AN/A654147,2594,619
2011-11-17$40.49$43.0028.4%8.2%20.6%13.9%27.4%0.9%1.1%211.2K8.0M-24.8K0.3163.38N/AN/A242747,2944,591
2011-11-18$40.23$43.0027.6%7.9%20.6%9.3%28.0%0.1%2.7%152.8K8.3M-23.6K1.4164.30N/AN/A1872637,2834,517
2011-11-21$39.69$44.0028.8%8.3%20.9%16.1%28.2%0.3%0.9%25.6K1.9M-22.2K1.5238.13N/AN/A48732,3311,641
2011-11-22$39.41$43.0028.7%8.2%20.6%15.3%27.6%0.1%1.1%23.8K1.9M-22.4K0.2332.24N/AN/A256602,3491,665
2011-11-23$38.84$43.0028.2%8.1%20.6%12.4%25.6%-0.7%1.3%36.6K2.1M-22.1K0.8537.64N/AN/A47402,5671,665
2011-11-25$38.50$43.0029.2%8.4%18.9%18.3%28.8%-0.2%-0.5%33.1K2.4M-21.0K0.6027.02N/AN/A1062,5781,693
2011-11-28$38.99$43.0027.8%8.0%19.7%10.2%28.1%0.3%0.9%34.0K2.2M-21.2K0.4527.77N/AN/A91412,5751,698
2011-11-29$39.54$43.0028.2%8.1%20.6%12.6%28.2%-0.2%0.5%35.0K1.9M-22.1K0.0221.84N/AN/A10622,6241,728
2011-11-30$39.59$43.0028.7%8.2%20.7%15.5%29.1%0.7%-1.3%37.4K1.8M-22.7K0.1723.39N/AN/A134232,6561,727