CORN Options History — May 2012

In May 2012, CORN traded between $35.53 and $38.22. ATM implied volatility averaged 25.9%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 3.4% (HV 20d: 22.5%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 4.58.

Notable Days

  • 2012-05-18: Highest Volume — 451 contracts
  • 2012-05-10: Largest IV spike — 14.9% change
  • 2012-05-30: Highest IV Rank — 41.3%
  • 2012-05-30: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.77$35.53$38.22$38.22$36.21
Max Pain$38.27$38.00$40.00$40.00$38.00
ATM IV25.9%22.8%29.3%24.6%27.9%
Expected Move7.6%6.7%8.4%7.0%8.0%
HV 20d22.5%20.4%24.9%20.4%22.4%
HV 60d21.2%19.8%22.6%19.8%22.4%
IV Rank27.7%15.2%41.3%22.2%35.7%
IV Percentile30.6%6.3%58.3%16.7%50.0%
Term Structure1.5%0.7%3.2%1.3%2.7%
VWIV26.2%18.5%33.0%23.6%33.0%
Skew 25d-0.0%-1.2%1.8%-1.0%0.0%
Skew 10d-1.9%-12.0%10.5%4.5%-6.5%
Call IV 25d26.5%24.2%29.1%25.1%29.1%
Put IV 25d26.5%24.1%29.1%24.1%29.1%
Bid-Ask Spread %41.6719.7664.1524.0637.68
Gamma HHI0.200.120.380.300.14
Net GEX-62.8K-168.2K23.2K-168.2K16.3K
Net DEX3.7M401.1K6.9M3.7M1.1M
Net VEX-17.3K-21.8K-14.5K-21.8K-16.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.580.2325.672.860.23
Total Volume157.409164512716
Total OI4,842.2272,9356,0085,8083,185

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$38.22$40.0024.6%7.0%20.4%22.2%23.6%-1.0%1.3%-168.2K3.7M-21.8K2.8624.06N/AN/A7202,6273,181
2012-05-02$37.50$40.0024.2%6.9%21.2%20.8%18.5%-1.2%1.3%-126.4K4.9M-19.8K1.1619.76N/AN/A1001162,6263,181
2012-05-03$37.56$40.0023.5%6.7%21.1%18.0%23.8%0.9%3.2%-125.3K5.0M-19.8K0.6322.10N/AN/A111702,6463,226
2012-05-04$37.51$38.0023.8%7.4%21.0%19.3%0.0%0.1%2.6%-128.4K4.7M-20.1K0.3448.48N/AN/A125432,6933,226
2012-05-07$37.50$38.0023.9%7.6%21.0%19.8%26.2%0.2%0.9%-112.9K5.2M-18.8K0.0046.79N/AN/A0512,7003,248
2012-05-08$37.71$38.0023.2%7.4%20.5%16.6%26.1%-0.7%1.1%-134.0K4.8M-18.8K11.8653.07N/AN/A7832,7003,272
2012-05-09$36.78$38.0022.8%7.6%22.1%15.2%27.3%-0.8%1.2%-80.7K6.0M-17.2K6.8345.73N/AN/A362462,7063,302
2012-05-10$35.88$38.0026.2%7.5%23.4%29.0%26.2%-1.0%1.3%-71.8K6.7M-15.5K3.5345.62N/AN/A381342,7163,280
2012-05-11$35.68$38.0025.4%7.3%22.8%25.7%23.4%-0.4%1.6%-73.7K6.9M-14.5K7.2136.02N/AN/A433102,7143,255
2012-05-14$35.53$38.0026.5%7.6%22.2%30.0%26.0%-1.1%2.1%-68.3K6.3M-14.6K21.0049.48N/AN/A102102,7353,109
2012-05-15$36.28$38.0026.2%7.5%23.7%29.0%26.3%-0.4%1.8%-64.7K5.1M-15.2K0.7246.98N/AN/A36262,7452,902
2012-05-16$37.06$38.0027.0%7.7%24.9%32.0%25.8%0.5%1.2%-84.7K4.3M-16.2K0.3544.72N/AN/A124432,7512,889
2012-05-17$36.98$38.0027.5%7.9%22.7%33.9%28.1%0.3%1.1%-135.8K4.3M-16.3K25.6764.15N/AN/A3772,7922,889
2012-05-18$37.34$38.0026.6%7.6%22.2%30.3%24.9%0.3%1.7%-108.8K3.8M-16.6K8.2057.17N/AN/A494022,7952,891
2012-05-21$37.49$38.0026.7%7.7%21.4%31.0%26.4%-1.2%0.7%12.4K401.1K-17.8K0.5546.98N/AN/A177971,4711,464
2012-05-22$36.43$38.0026.7%7.7%23.6%30.9%27.0%-0.9%1.5%9.5K1.1M-17.3K0.2841.42N/AN/A46131,5741,496
2012-05-23$36.56$38.0027.1%7.8%23.6%32.4%26.7%1.8%0.8%14.0K1.1M-17.0K0.8437.13N/AN/A31261,5831,505
2012-05-24$35.98$38.0026.0%7.4%24.2%27.9%25.5%0.9%1.7%4.2K1.5M-16.4K0.8234.84N/AN/A17141,5751,511
2012-05-25$36.42$38.0026.8%7.7%23.9%31.1%26.9%1.3%0.7%12.1K1.2M-16.9K2.5542.13N/AN/A20511,5851,502
2012-05-29$35.98$38.0028.2%8.1%23.2%37.0%28.8%0.4%0.7%9.8K1.4M-16.0K0.3634.00N/AN/A137501,5911,497
2012-05-30$36.36$38.0029.3%8.4%23.2%41.3%29.0%1.7%0.9%23.2K1.0M-16.7K0.2338.38N/AN/A201471,6811,512
2012-05-31$36.21$38.0027.9%8.0%22.4%35.7%33.0%0.0%2.7%16.3K1.1M-16.6K0.2337.68N/AN/A1331,6601,525