CORN Options History — January 2012

In January 2012, CORN traded between $38.64 and $42.62. ATM implied volatility averaged 27.8%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 2.6% (HV 20d: 25.2%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2012-01-09: Highest Volume — 1,403 contracts
  • 2012-01-12: Largest IV drop — 17.0% change
  • 2012-01-11: Highest IV Rank — 53.8%
  • 2012-01-11: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.69$38.64$42.62$42.62$40.88
Max Pain$40.50$40.00$42.00$40.00$40.00
ATM IV27.8%23.1%35.5%27.0%25.1%
Expected Move7.9%6.6%9.5%7.7%7.2%
HV 20d25.2%17.3%29.6%17.5%27.7%
HV 60d21.6%18.8%22.6%21.8%22.5%
IV Rank15.2%0.0%53.8%6.0%9.7%
IV Percentile17.4%0.0%64.3%7.9%2.0%
Term Structure1.0%-2.5%2.7%1.2%2.4%
VWIV27.9%22.3%33.1%28.2%25.8%
Skew 25d0.2%-1.1%2.0%1.2%0.2%
Skew 10d2.6%-6.9%16.0%16.0%1.2%
Call IV 25d28.2%23.5%33.5%27.1%26.2%
Put IV 25d28.4%24.2%33.4%28.3%26.4%
Bid-Ask Spread %33.5520.9067.7827.7326.24
Gamma HHI0.160.130.250.140.14
Net GEX106.4K-66.4K372.7K161.6K12.0K
Net DEX-55.6K-4.8M4.7M-3.0M-910.0K
Net VEX-24.9K-31.3K-19.0K-23.3K-25.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.066.990.100.54
Total Volume497.7771,40326777
Total OI7,040.755,0999,4145,0996,960

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$42.62$40.0027.0%7.7%17.5%6.0%28.2%1.2%1.2%161.6K-3.0M-23.3K0.1027.73N/AN/A243243,0852,014
2012-01-04$42.51$40.0027.6%7.9%17.3%9.0%0.0%2.0%1.0%178.9K-3.1M-24.3K0.4927.08N/AN/A73363,2482,034
2012-01-05$41.51$40.0031.0%8.9%20.0%28.2%30.9%-0.5%-0.4%159.0K-1.7M-24.4K0.7525.20N/AN/A6504883,2642,056
2012-01-06$41.35$42.0030.3%8.9%19.8%24.4%31.0%-0.3%-0.2%157.8K-1.5M-27.0K0.2667.78N/AN/A62163,7282,480
2012-01-09$42.19$42.0033.5%9.3%20.7%42.6%33.1%-0.6%-1.1%183.8K-3.0M-27.0K0.1238.06N/AN/A1,2481553,7872,486
2012-01-10$42.05$41.0033.4%9.3%20.4%41.8%32.9%0.4%-1.1%348.9K-4.6M-30.3K0.3445.24N/AN/A3321134,7242,556
2012-01-11$42.06$41.0035.5%9.5%20.3%53.8%32.9%0.3%-2.5%372.7K-4.8M-31.3K0.1145.34N/AN/A437474,9972,628
2012-01-12$39.75$41.0029.5%8.5%29.6%19.8%29.5%1.1%0.4%264.2K1.8M-25.1K0.2343.35N/AN/A9702265,2952,666
2012-01-13$39.19$41.0029.0%8.3%28.8%17.2%29.3%-1.1%1.1%145.0K3.2M-22.6K0.9646.06N/AN/A99955,1972,689
2012-01-17$39.25$41.0029.6%8.5%28.8%20.6%29.8%-0.0%0.0%138.5K3.4M-21.2K0.2942.97N/AN/A252725,2282,735
2012-01-18$38.64$41.0026.9%7.7%29.2%5.5%27.4%-0.5%2.5%35.2K4.7M-19.0K3.4441.09N/AN/A2438355,3342,773
2012-01-19$39.26$40.0026.7%7.7%28.4%4.2%27.2%0.0%2.1%3.4K4.5M-23.8K6.9929.00N/AN/A775385,4913,589
2012-01-20$39.45$40.0025.8%7.4%28.0%0.0%26.3%0.2%2.5%1.4K4.5M-24.5K1.6831.49N/AN/A1041755,5073,907
2012-01-23$39.82$40.0024.0%6.9%27.8%0.0%24.2%-0.0%1.8%-66.4K1.6M-23.1K1.0622.14N/AN/A2312443,6142,920
2012-01-24$40.36$40.0024.1%6.9%28.3%0.7%22.3%-0.3%1.8%-6.1K-56.3K-24.6K0.6722.67N/AN/A3752523,7582,981
2012-01-25$40.67$40.0023.1%6.6%28.4%0.0%23.5%0.7%2.7%7.5K-748.1K-25.1K0.0622.09N/AN/A260163,7113,069
2012-01-26$40.66$40.0023.5%6.8%27.6%2.3%24.4%-0.6%1.6%14.8K-494.7K-25.5K0.2221.65N/AN/A138303,6523,072
2012-01-27$41.07$40.0023.9%6.9%27.5%4.1%27.2%0.6%2.5%49.7K-1.1M-25.6K1.5820.90N/AN/A1392193,7063,071
2012-01-30$40.55$40.0026.0%7.4%27.8%14.0%24.2%1.0%1.8%-34.5K108.7K-24.2K0.3325.03N/AN/A272913,6223,181
2012-01-31$40.88$40.0025.1%7.2%27.7%9.7%25.8%0.2%2.4%12.0K-910.0K-25.2K0.5426.24N/AN/A50273,7683,192