CORN Options History — April 2012

In April 2012, CORN traded between $37.17 and $39.81. ATM implied volatility averaged 24.9%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 0.3% (HV 20d: 24.5%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 4.93.

Notable Days

  • 2012-04-23: Highest Volume — 358 contracts
  • 2012-04-30: Largest IV spike — 7.9% change
  • 2012-04-30: Highest IV Rank — 28.2%
  • 2012-04-09: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.49$37.17$39.81$39.71$38.89
Max Pain$40.75$40.00$41.00$41.00$40.00
ATM IV24.9%24.1%26.0%25.2%26.0%
Expected Move7.2%6.9%7.7%7.2%7.5%
HV 20d24.5%20.0%27.1%25.1%20.0%
HV 60d19.5%18.2%21.8%21.8%19.5%
IV Rank23.5%20.4%28.2%24.9%28.2%
IV Percentile16.0%11.9%29.0%15.5%29.0%
Term Structure1.8%-0.1%3.8%0.7%-0.1%
VWIV24.9%23.6%26.7%26.4%25.2%
Skew 25d-0.6%-2.7%1.8%0.7%-1.1%
Skew 10d2.1%-4.9%10.0%6.8%5.6%
Call IV 25d25.8%24.1%27.7%25.5%25.7%
Put IV 25d25.1%23.7%26.9%26.2%24.5%
Bid-Ask Spread %36.5422.1777.1837.0722.79
Gamma HHI0.260.180.330.290.33
Net GEX-165.5K-198.4K-119.7K-176.3K-179.5K
Net DEX4.6M2.6M7.4M3.1M2.6M
Net VEX-22.7K-28.1K-18.5K-26.6K-23.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.930.0070.000.001.78
Total Volume153.4153588950
Total OI5,808.155,1456,3645,5425,789

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$39.71$41.0025.2%7.2%25.1%24.9%26.4%0.7%0.7%-176.3K3.1M-26.6K0.0037.07N/AN/A8902,4143,128
2012-04-03$39.81$41.0025.4%7.3%24.7%25.5%25.0%-2.7%1.1%-168.0K2.7M-26.9K0.1231.91N/AN/A229272,4943,128
2012-04-04$39.48$41.0025.2%7.2%24.3%24.9%0.0%-1.3%1.3%-160.6K3.2M-28.1K0.0731.99N/AN/A1412,6803,141
2012-04-05$39.65$41.0024.8%7.1%24.3%23.3%24.8%-1.8%1.8%-161.6K2.9M-27.9K0.0434.75N/AN/A2312,6793,140
2012-04-09$39.41$41.0025.8%7.7%24.1%27.1%24.9%-1.2%1.7%-176.1K3.5M-26.0K0.1948.20N/AN/A54102,6913,141
2012-04-10$38.79$41.0025.3%7.7%23.4%25.1%26.7%-0.6%1.1%-178.9K4.5M-24.3K0.1333.06N/AN/A98132,6973,146
2012-04-11$38.83$41.0024.6%7.5%23.4%22.6%26.3%0.2%1.4%-179.7K4.7M-23.7K1.8234.22N/AN/A38692,7173,147
2012-04-12$38.91$41.0025.5%7.3%23.4%25.9%0.0%-0.9%2.5%-187.1K4.4M-24.0K4.6064.20N/AN/A15692,7533,187
2012-04-13$38.23$41.0024.5%7.0%23.7%22.0%24.4%-1.6%3.8%-188.5K6.0M-21.9K0.4677.18N/AN/A128592,7683,240
2012-04-16$37.54$41.0024.2%6.9%23.9%20.9%24.9%-1.6%3.2%-166.7K7.0M-19.0K4.6132.84N/AN/A311432,7973,238
2012-04-17$37.48$41.0024.1%6.9%23.8%20.4%25.9%-1.3%2.8%-168.2K7.1M-19.5K2.7645.12N/AN/A371022,8023,295
2012-04-18$37.17$41.0025.4%7.3%23.2%25.7%25.0%-2.2%1.5%-153.2K7.4M-18.5K3.1740.71N/AN/A762412,8063,271
2012-04-19$38.19$41.0024.6%7.1%25.6%22.4%23.6%1.8%3.0%-198.4K6.3M-20.6K70.0043.81N/AN/A1702,8483,475
2012-04-20$37.51$41.0025.1%7.2%26.2%24.4%25.4%-1.0%2.7%-173.8K7.1M-18.9K1.9725.37N/AN/A1011992,8483,516
2012-04-23$38.13$41.0024.6%7.1%27.1%22.4%24.0%1.3%1.6%-165.3K4.3M-20.2K0.2822.17N/AN/A280782,2172,928
2012-04-24$38.04$40.0024.2%6.9%27.0%20.8%24.4%-0.7%2.0%-131.1K3.9M-21.0K0.6824.41N/AN/A94642,4702,919
2012-04-25$37.84$40.0024.4%7.0%26.9%21.6%24.5%0.7%0.6%-119.7K4.1M-20.4K2.6725.47N/AN/A391042,5282,972
2012-04-26$37.76$40.0024.3%7.0%26.0%21.0%23.7%0.7%1.9%-124.2K4.2M-20.6K0.5627.22N/AN/A114642,5453,046
2012-04-27$38.35$40.0024.1%6.9%25.0%20.4%23.7%0.2%2.2%-153.5K3.3M-21.7K2.6328.38N/AN/A671762,5573,005
2012-04-30$38.89$40.0026.0%7.5%20.0%28.2%25.2%-1.1%-0.1%-179.5K2.6M-23.4K1.7822.79N/AN/A18322,6233,166