CORN Options History — December 2011

In December 2011, CORN traded between $37.94 and $41.98. ATM implied volatility averaged 26.7%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 8.5% (HV 20d: 18.2%). Max pain ranged from $39.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.56.

Notable Days

  • 2011-12-09: Highest Volume — 568 contracts
  • 2011-12-12: Largest IV spike — 7.3% change
  • 2011-12-12: Highest IV Rank — 11.0%
  • 2011-12-05: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.64$37.94$41.98$39.38$41.98
Max Pain$40.00$39.00$43.00$43.00$40.00
ATM IV26.7%25.9%27.9%27.7%26.1%
Expected Move7.7%7.4%8.0%7.9%7.5%
HV 20d18.2%15.0%20.7%20.7%17.3%
HV 60d25.9%21.6%27.9%27.9%21.6%
IV Rank4.3%0.0%11.0%9.7%0.8%
IV Percentile3.7%0.0%9.9%5.6%2.8%
Term Structure1.8%0.6%2.7%1.0%2.0%
VWIV27.0%25.8%28.6%28.6%26.1%
Skew 25d0.6%-0.8%2.2%0.8%2.2%
Skew 10d2.4%-4.0%13.7%2.9%2.8%
Call IV 25d26.9%25.0%28.3%27.6%25.0%
Put IV 25d27.5%26.3%28.7%28.4%27.2%
Bid-Ask Spread %51.5719.7673.5922.7529.80
Gamma HHI0.220.120.390.130.15
Net GEX98.8K19.9K156.4K53.4K142.8K
Net DEX1.2M-1.9M3.3M1.9M-1.9M
Net VEX-22.0K-24.0K-19.3K-21.8K-23.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.0216.800.020.42
Total Volume154.4292656842166
Total OI4,922.7144,4685,5744,4684,971

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$39.38$43.0027.7%7.9%20.7%9.7%28.6%0.8%1.0%53.4K1.9M-21.8K0.0222.75N/AN/A4112,7491,719
2011-12-02$39.19$43.0025.9%7.4%19.8%0.0%27.5%-0.1%2.4%53.0K2.0M-21.5K0.1419.76N/AN/A160222,7601,719
2011-12-05$38.97$39.0027.4%8.0%19.6%8.4%28.1%-0.8%0.6%75.3K2.1M-20.8K0.6065.51N/AN/A43262,8691,735
2011-12-06$39.23$39.0027.0%7.7%19.8%5.9%27.2%1.1%2.4%80.6K2.1M-20.3K0.3066.68N/AN/A266792,8971,756
2011-12-07$38.98$39.0026.7%7.9%19.1%4.0%27.5%0.9%1.9%108.5K2.2M-20.5K0.1670.23N/AN/A231363,0201,763
2011-12-08$39.28$39.0027.3%7.8%19.0%7.5%27.0%0.7%1.2%135.1K1.7M-21.6K2.0269.94N/AN/A47953,0861,769
2011-12-09$38.96$39.0026.0%7.8%18.7%0.3%26.8%1.6%1.5%111.7K2.2M-20.4K0.2672.01N/AN/A4511173,1131,832
2011-12-12$38.87$39.0027.9%7.9%18.4%11.0%27.3%0.5%2.4%156.4K1.9M-22.0K16.8071.61N/AN/A101683,4541,937
2011-12-13$38.89$40.0027.4%7.7%18.4%8.0%27.2%0.3%1.5%128.0K2.3M-22.2K1.4373.50N/AN/A14203,4582,060
2011-12-14$38.01$40.0026.0%7.7%18.3%0.4%27.1%-0.1%1.5%32.2K3.2M-20.0K0.6973.59N/AN/A80553,4642,076
2011-12-15$37.94$40.0026.7%7.6%18.3%4.0%26.7%0.2%1.5%19.9K3.3M-19.3K0.2171.93N/AN/A2963,5032,071
2011-12-16$38.31$40.0026.2%7.5%15.0%1.5%26.3%-0.1%2.5%38.7K2.8M-20.1K0.3172.72N/AN/A131413,5282,019
2011-12-19$39.26$40.0027.1%7.8%17.7%6.2%27.1%0.6%1.9%94.9K1.1M-21.6K1.6441.34N/AN/A53872,8131,668
2011-12-20$39.85$40.0026.1%7.5%18.0%0.6%25.8%0.9%2.5%102.1K720.8K-22.6K0.5039.56N/AN/A62312,8421,753
2011-12-21$40.31$40.0026.9%7.7%18.2%5.5%27.0%1.8%1.3%116.2K185.5K-23.5K0.7436.18N/AN/A125932,8851,781
2011-12-22$40.28$40.0026.8%7.7%17.3%5.0%26.7%-0.1%1.1%120.1K-20.9K-24.0K1.6940.39N/AN/A48812,9301,812
2011-12-23$40.41$40.0026.0%7.5%16.8%0.3%26.4%0.2%2.7%113.0K-29.9K-23.9K1.0041.86N/AN/A13132,9471,892
2011-12-27$41.17$40.0027.0%7.7%17.4%6.0%27.7%0.9%1.8%128.4K-883.6K-23.8K1.8834.68N/AN/A24452,9551,903
2011-12-28$41.62$40.0026.3%7.6%17.2%2.2%27.1%0.7%2.6%128.9K-1.4M-24.0K0.8333.85N/AN/A89742,9601,948
2011-12-29$41.50$40.0026.5%7.6%17.3%2.9%26.5%0.4%2.2%136.5K-1.4M-23.9K1.1235.07N/AN/A33373,0031,957
2011-12-30$41.98$40.0026.1%7.5%17.3%0.8%26.1%2.2%2.0%142.8K-1.9M-23.5K0.4229.80N/AN/A117493,0021,969