CORN Options History — March 2012

In March 2012, CORN traded between $37.59 and $41.57. ATM implied volatility averaged 23.4%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 8.0% (HV 20d: 15.4%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.98.

Notable Days

  • 2012-03-29: Highest Volume — 449 contracts
  • 2012-03-15: Largest IV spike — 27.3% change
  • 2012-03-29: Highest IV Rank — 27.9%
  • 2012-03-29: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.27$37.59$41.57$40.99$39.26
Max Pain$41.55$41.00$42.00$41.00$41.00
ATM IV23.4%19.1%26.0%22.3%25.9%
Expected Move7.0%5.9%7.4%6.4%7.4%
HV 20d15.4%12.8%24.7%13.1%24.7%
HV 60d20.2%19.5%22.2%20.2%22.2%
IV Rank15.2%0.0%27.9%0.8%27.5%
IV Percentile8.6%0.0%18.7%0.8%18.3%
Term Structure2.0%0.5%4.8%3.1%0.7%
VWIV24.7%20.7%28.0%22.5%25.4%
Skew 25d-0.0%-2.3%1.3%0.1%1.2%
Skew 10d-0.1%-15.7%13.2%3.4%-1.3%
Call IV 25d24.8%21.4%27.9%22.6%24.8%
Put IV 25d24.7%20.3%25.9%22.7%25.9%
Bid-Ask Spread %47.0218.4673.0018.4647.19
Gamma HHI0.300.230.350.280.30
Net GEX-232.8K-356.1K-168.4K-224.8K-182.5K
Net DEX2.2M-1.7M6.3M1.1M4.0M
Net VEX-28.6K-33.9K-22.1K-33.9K-26.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.980.1215.4011.232.71
Total Volume155.04542449159234
Total OI5,730.7734,5956,5076,0965,570

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$40.99$41.0022.3%6.4%13.1%0.8%22.5%0.1%3.1%-224.8K1.1M-33.9K11.2318.46N/AN/A131462,4403,656
2012-03-02$41.13$41.0020.6%5.9%12.8%0.0%20.7%-1.1%4.8%-243.9K941.0K-33.3K15.4024.04N/AN/A5772,4463,691
2012-03-05$41.26$42.0022.2%7.3%12.9%7.1%25.3%-0.0%1.6%-218.4K241.6K-32.1K0.5844.24N/AN/A105612,4473,667
2012-03-06$40.67$42.0022.5%7.3%13.8%8.4%26.0%0.1%2.0%-261.1K1.8M-32.0K0.1243.74N/AN/A205252,4703,669
2012-03-07$40.04$42.0022.7%7.3%14.6%8.9%25.5%0.1%1.1%-285.6K3.7M-31.3K0.7243.41N/AN/A79572,5183,691
2012-03-08$39.83$42.0022.7%7.0%14.7%9.1%24.5%0.0%2.0%-298.5K4.5M-30.4K3.0059.10N/AN/A521562,5263,738
2012-03-09$40.18$42.0020.8%6.8%14.6%1.0%23.5%0.3%2.1%-316.2K3.4M-31.0K0.7059.80N/AN/A37262,5653,795
2012-03-12$40.98$42.0021.5%6.6%15.7%3.9%23.8%1.3%3.6%-284.4K790.1K-29.6K0.2059.36N/AN/A86172,5753,801
2012-03-13$40.96$42.0019.7%6.9%15.2%0.0%24.0%0.3%2.9%-308.9K662.2K-28.9K1.3069.74N/AN/A931212,5373,801
2012-03-14$41.05$42.0019.1%7.0%15.0%0.0%23.9%0.3%1.9%-356.1K357.9K-28.6K0.1251.28N/AN/A6882,5823,914
2012-03-15$41.32$42.0024.3%7.0%14.6%21.1%24.9%0.8%2.5%-270.9K-589.2K-28.5K0.4860.00N/AN/A42202,5773,918
2012-03-16$41.57$42.0023.6%6.8%14.2%18.5%23.7%-0.8%3.2%-168.4K-1.7M-27.5K0.2173.00N/AN/A108232,5943,913
2012-03-19$41.11$42.0024.1%6.9%14.8%20.3%23.2%0.8%1.6%-188.8K1.3M-26.9K0.1648.20N/AN/A135211,8052,790
2012-03-20$40.30$42.0025.4%7.3%15.9%25.6%25.3%-0.5%2.0%-179.8K2.2M-27.3K0.6043.01N/AN/A1821101,9252,791
2012-03-21$40.00$41.0025.5%7.3%15.9%26.1%24.7%0.9%0.5%-180.2K2.6M-28.0K0.7242.53N/AN/A25182,0462,896
2012-03-22$40.00$41.0025.7%7.4%15.8%26.8%25.7%0.5%1.3%-188.7K2.8M-27.3K1.0043.75N/AN/A51512,0552,909
2012-03-23$40.04$41.0025.0%7.2%15.8%23.9%25.5%-0.1%1.6%-196.7K2.7M-27.3K0.2440.53N/AN/A3482,0542,942
2012-03-26$39.72$41.0025.4%7.3%16.0%25.8%25.4%-0.7%0.8%-203.3K3.2M-26.0K1.0241.74N/AN/A92942,0762,949
2012-03-27$39.33$41.0025.4%7.3%15.0%25.7%25.6%-0.4%0.8%-197.5K3.8M-26.7K0.2843.23N/AN/A53152,1393,039
2012-03-28$38.56$41.0025.4%7.3%16.2%25.8%27.2%-1.6%1.3%-193.6K5.0M-24.3K1.6142.44N/AN/A801292,1743,053
2012-03-29$37.59$41.0026.0%7.4%18.0%27.9%28.0%-2.3%2.1%-172.3K6.3M-22.1K1.1235.76N/AN/A2122372,2103,123
2012-03-30$39.26$41.0025.9%7.4%24.7%27.5%25.4%1.2%0.7%-182.5K4.0M-26.8K2.7147.19N/AN/A631712,3883,182