CORN Options History — June 2012

In June 2012, CORN traded between $35.47 and $42.14. ATM implied volatility averaged 32.7%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 1.5% (HV 20d: 31.2%). Max pain ranged from $36.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.78.

Notable Days

  • 2012-06-26: Highest Volume — 1,462 contracts
  • 2012-06-11: Largest IV spike — 21.5% change
  • 2012-06-27: Highest IV Rank — 77.8%
  • 2012-06-27: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.95$35.47$42.14$35.68$42.10
Max Pain$37.71$36.00$40.00$38.00$40.00
ATM IV32.7%27.0%38.3%28.1%36.0%
Expected Move9.3%7.8%11.0%8.1%10.3%
HV 20d31.2%22.8%40.4%22.8%39.6%
HV 60d26.2%22.4%30.2%22.4%29.7%
IV Rank55.2%32.2%77.8%36.7%68.7%
IV Percentile71.3%43.3%95.6%51.2%86.9%
Term Structure-0.3%-2.3%1.9%1.9%-0.8%
VWIV32.7%27.6%37.7%27.6%36.1%
Skew 25d-0.3%-2.9%1.5%0.1%1.5%
Skew 10d-0.4%-11.6%17.2%-9.6%-2.2%
Call IV 25d32.9%28.6%38.0%28.6%36.5%
Put IV 25d32.6%28.7%38.2%28.7%38.0%
Bid-Ask Spread %51.8825.5270.8345.0335.83
Gamma HHI0.140.130.180.150.13
Net GEX92.3K2.6K293.5K8.7K293.5K
Net DEX-1.0M-7.2M2.1M1.5M-7.2M
Net VEX-18.7K-31.6K-14.5K-15.7K-31.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.0020.009.270.53
Total Volume334.667141,4621541,002
Total OI3,654.6672,8025,7913,2005,791

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$35.68$38.0028.1%8.1%22.8%36.7%27.6%0.1%1.9%8.7K1.5M-15.7K9.2745.03N/AN/A151391,6721,528
2012-06-04$36.34$39.0030.1%8.8%24.0%44.8%30.4%0.5%-0.1%23.1K1.1M-16.1K0.7856.52N/AN/A971,6821,500
2012-06-05$35.53$39.0031.9%8.9%25.1%51.9%32.0%-1.3%-0.8%10.5K1.5M-15.4K0.3752.84N/AN/A105391,6911,499
2012-06-06$36.18$38.0030.6%8.8%26.0%46.8%0.0%-1.2%-0.7%23.6K1.1M-15.6K0.4052.96N/AN/A1041,7011,483
2012-06-07$37.22$38.0031.3%8.9%26.7%49.6%31.2%0.1%-0.2%47.5K273.8K-16.7K0.2756.25N/AN/A185501,7111,480
2012-06-08$37.69$38.0029.5%8.7%25.2%42.3%30.8%-0.8%-0.2%73.8K-226.8K-17.7K0.4153.35N/AN/A34141,8311,500
2012-06-11$36.77$38.0035.9%9.7%26.9%68.0%33.5%-1.8%-0.5%53.8K556.4K-16.7K0.6258.38N/AN/A4082541,8181,501
2012-06-12$36.16$37.0033.7%9.2%27.6%59.0%31.4%0.1%0.4%52.1K1.3M-16.2K0.6461.40N/AN/A66422,1941,643
2012-06-13$35.56$37.0033.9%9.5%27.2%59.9%32.2%-1.8%-1.7%19.4K1.9M-15.1K20.0060.93N/AN/A2402,2081,618
2012-06-14$36.05$37.0027.0%7.8%26.5%32.2%30.8%1.3%-0.6%29.8K1.6M-14.9K0.5570.83N/AN/A22122,2081,606
2012-06-15$35.47$37.0031.7%9.1%27.0%51.3%30.8%-2.9%0.4%2.6K2.1M-14.5K0.5561.82N/AN/A38212,2291,618
2012-06-18$37.05$37.0031.2%9.0%31.3%49.2%30.9%-0.0%0.4%45.6K66.3K-16.2K0.0445.02N/AN/A349141,5701,232
2012-06-19$38.71$36.0031.4%9.0%35.0%50.0%31.4%-0.3%0.3%91.2K-1.4M-18.7K0.1953.49N/AN/A254481,8531,245
2012-06-20$38.91$36.0031.7%9.1%33.2%51.0%31.5%0.0%0.8%118.3K-1.8M-19.5K1.4657.33N/AN/A26382,0311,231
2012-06-21$37.76$37.0031.9%9.2%35.2%52.1%32.2%-0.8%0.9%103.1K-986.4K-18.7K0.1156.58N/AN/A151162,0561,254
2012-06-22$38.00$37.0031.4%9.0%34.6%50.1%32.2%-0.7%0.8%125.7K-1.4M-18.6K0.0056.62N/AN/A6602,1011,202
2012-06-25$40.21$37.0036.2%10.4%39.5%69.2%36.6%1.5%-2.3%147.7K-3.2M-18.9K0.3557.87N/AN/A4191482,1441,202
2012-06-26$41.61$37.0037.3%10.7%40.2%74.0%37.3%0.5%-2.0%168.0K-4.9M-20.7K0.4536.26N/AN/A1,0094532,4581,194
2012-06-27$42.14$39.0038.3%11.0%40.3%77.8%37.7%-0.3%-1.7%232.3K-6.6M-25.5K0.2625.52N/AN/A8212123,2791,533
2012-06-28$41.80$40.0037.5%10.7%40.4%74.4%37.6%0.2%-0.4%268.1K-6.6M-29.5K0.2334.60N/AN/A395913,7411,710
2012-06-29$42.10$40.0036.0%10.3%39.6%68.7%36.1%1.5%-0.8%293.5K-7.2M-31.6K0.5335.83N/AN/A6573453,9941,797