CORN Options History — February 2012

In February 2012, CORN traded between $39.95 and $41.38. ATM implied volatility averaged 23.6%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 5.5% (HV 20d: 18.1%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.63.

Notable Days

  • 2012-02-10: Highest Volume — 2,036 contracts
  • 2012-02-10: Largest IV drop — 9.4% change
  • 2012-02-09: Highest IV Rank — 15.7%
  • 2012-02-06: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.68$39.95$41.38$41.01$41.09
Max Pain$40.60$40.00$41.00$40.00$41.00
ATM IV23.6%22.1%26.3%25.1%22.6%
Expected Move6.9%6.3%7.7%7.2%6.5%
HV 20d18.1%12.9%27.3%27.0%13.1%
HV 60d21.2%20.0%22.4%22.3%20.2%
IV Rank4.2%0.0%15.7%9.6%2.4%
IV Percentile1.8%0.0%9.5%2.0%1.2%
Term Structure3.5%1.4%6.2%2.1%3.1%
VWIV23.7%21.8%26.7%25.5%22.8%
Skew 25d0.5%-0.4%1.6%0.2%0.4%
Skew 10d-0.0%-12.6%10.2%-12.6%1.7%
Call IV 25d24.2%21.9%27.1%25.6%22.9%
Put IV 25d24.7%22.6%27.3%25.9%23.3%
Bid-Ask Spread %31.3418.0543.4920.4124.43
Gamma HHI0.240.130.400.130.27
Net GEX-137.0K-474.3K92.6K40.7K-219.3K
Net DEX699.1K-2.2M3.9M-1.5M901.2K
Net VEX-28.1K-34.1K-20.4K-24.9K-34.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.047.180.110.20
Total Volume308.45212,0365267
Total OI7,141.355,0829,7326,9966,042

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$41.01$40.0025.1%7.2%27.0%9.6%25.5%0.2%2.1%40.7K-1.5M-24.9K0.1120.41N/AN/A4753,7803,216
2012-02-02$41.33$40.0023.7%6.8%27.3%3.1%24.0%-0.3%2.7%73.1K-2.1M-23.6K0.5420.66N/AN/A26143,7703,220
2012-02-03$41.29$40.0024.5%7.6%25.9%6.8%0.0%1.6%1.8%74.4K-1.9M-23.3K0.1137.89N/AN/A1923,7723,223
2012-02-06$41.38$40.0025.0%7.7%25.9%9.5%0.0%0.2%2.2%92.6K-2.2M-22.1K1.5443.49N/AN/A13203,7793,223
2012-02-07$41.07$40.0024.1%7.6%24.9%5.0%26.1%0.3%2.4%70.8K-1.6M-21.4K0.2140.60N/AN/A91193,7743,223
2012-02-08$41.08$40.0024.4%7.5%24.9%6.3%26.7%0.6%1.4%74.1K-1.4M-20.6K1.1137.11N/AN/A2672973,6933,238
2012-02-09$40.62$40.0026.3%7.5%25.2%15.7%26.1%0.9%2.1%-62.9K-287.6K-21.8K0.0439.58N/AN/A11443,7853,488
2012-02-10$40.15$40.0023.8%6.8%15.3%3.8%23.8%0.2%4.5%-204.2K654.9K-20.4K2.5142.51N/AN/A5801,4563,8003,492
2012-02-13$40.61$41.0024.0%6.9%14.8%4.5%24.2%0.6%5.4%-199.9K633.6K-28.5K7.0440.74N/AN/A936554,3174,728
2012-02-14$40.34$41.0024.1%6.9%15.1%4.9%23.7%1.4%5.0%-286.0K2.3M-31.9K2.4140.03N/AN/A37894,2895,222
2012-02-15$39.95$41.0023.3%6.7%14.3%1.3%23.5%0.4%5.7%-474.3K3.9M-31.2K0.6839.04N/AN/A60414,2825,311
2012-02-16$40.41$41.0023.3%6.7%13.8%1.3%23.4%0.4%5.3%-242.3K1.9M-31.0K2.7137.57N/AN/A1032794,2685,285
2012-02-17$40.64$41.0022.7%6.5%13.8%0.0%21.8%0.7%6.2%-183.9K1.5M-32.3K0.4034.59N/AN/A161654,2285,504
2012-02-21$40.18$41.0023.2%6.7%14.2%2.5%22.4%0.4%3.3%-196.2K2.7M-30.8K0.2322.74N/AN/A188432,0113,071
2012-02-22$40.50$41.0022.3%6.4%13.7%0.0%22.2%0.9%3.4%-187.7K1.9M-31.8K7.1820.81N/AN/A392802,1383,105
2012-02-23$40.32$41.0022.1%6.4%13.5%0.0%22.2%-0.3%2.9%-208.3K2.3M-32.2K1.8019.72N/AN/A881582,1723,213
2012-02-24$40.27$41.0022.1%6.3%13.5%0.0%22.9%0.9%3.2%-223.4K2.6M-32.5K1.9322.93N/AN/A1102122,1813,323
2012-02-27$40.39$41.0022.7%6.5%12.9%3.0%22.5%-0.4%4.3%-243.4K2.4M-33.1K1.2523.96N/AN/A1071342,2493,497
2012-02-28$41.03$41.0023.0%6.6%13.4%4.3%23.0%0.0%3.0%-234.1K1.2M-33.8K0.7118.05N/AN/A109772,3113,604
2012-02-29$41.09$41.0022.6%6.5%13.1%2.4%22.8%0.4%3.1%-219.3K901.2K-34.1K0.2024.43N/AN/A56112,3913,651