CORN Options History — July 2012

In July 2012, CORN traded between $43.53 and $51.27. ATM implied volatility averaged 43.1%, placing in the 81.5% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 3.3% (HV 20d: 39.7%). Max pain ranged from $40.00 to $46.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2012-07-17: Highest Volume — 4,917 contracts
  • 2012-07-09: Largest IV spike — 17.1% change
  • 2012-07-06: Highest IV Rank — 100.0%
  • 2012-07-23: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.30$43.53$51.27$43.53$50.94
Max Pain$43.43$40.00$46.00$40.00$46.00
ATM IV43.1%38.2%50.3%38.2%41.5%
Expected Move12.2%11.0%13.3%11.0%11.9%
HV 20d39.7%35.4%44.0%40.4%35.4%
HV 60d33.4%30.4%34.5%30.4%34.3%
IV Rank81.5%65.5%100.0%83.3%71.9%
IV Percentile97.7%93.3%100.0%95.2%94.0%
Term Structure-3.9%-10.8%1.1%-3.0%-1.7%
VWIV42.3%37.5%46.2%38.1%41.4%
Skew 25d-0.6%-2.6%1.0%0.1%-0.8%
Skew 10d-0.8%-4.7%10.8%10.8%-2.2%
Call IV 25d43.1%37.4%47.5%37.4%42.1%
Put IV 25d42.5%37.5%46.9%37.5%41.4%
Bid-Ask Spread %23.7813.0439.6439.6413.04
Gamma HHI0.220.110.580.130.18
Net GEX714.0K318.3K2.3M320.7K902.9K
Net DEX-21.9M-31.6M-10.7M-10.7M-23.6M
Net VEX-72.7K-119.6K-31.5K-32.4K-119.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.202.400.290.34
Total Volume2,7045424,9175422,796
Total OI15,550.4296,43023,8766,43023,876

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$43.53$40.0038.2%11.0%40.4%83.3%38.1%0.1%-3.0%320.7K-10.7M-32.4K0.2939.64N/AN/A4211214,4222,008
2012-07-03$44.61$40.0039.4%11.3%39.0%88.4%37.5%0.5%-0.6%324.4K-13.0M-32.2K0.2124.77N/AN/A7751634,6642,092
2012-07-05$46.42$40.0041.8%12.0%40.2%98.6%40.7%-2.6%-0.2%318.3K-16.4M-31.5K0.3521.01N/AN/A1,8816615,0072,149
2012-07-06$45.33$40.0042.9%12.3%41.7%100.0%42.3%-2.5%-6.9%372.6K-15.2M-39.7K0.4626.14N/AN/A1,0424785,8142,687
2012-07-09$47.60$40.0050.3%13.0%44.0%100.0%45.4%-1.6%-10.8%372.3K-19.9M-39.2K0.4228.87N/AN/A2,0078386,2892,998
2012-07-10$46.87$42.0049.1%12.8%43.1%96.3%45.0%-2.3%-8.4%430.0K-18.7M-45.5K0.2026.49N/AN/A1,1162237,0063,594
2012-07-11$45.95$42.0041.5%11.4%43.4%71.9%40.2%-1.4%-5.0%517.0K-17.4M-47.7K0.7223.05N/AN/A2,5151,8237,6443,684
2012-07-12$47.39$42.0040.8%11.7%42.5%69.6%40.3%0.2%-4.5%542.0K-21.3M-54.7K0.2218.19N/AN/A1,4903238,4474,640
2012-07-13$48.03$42.0039.7%11.4%42.5%66.1%39.5%0.7%-2.4%632.0K-24.2M-55.8K0.4524.38N/AN/A1,6587478,9554,791
2012-07-16$49.85$43.0043.0%12.3%41.6%76.6%42.9%1.0%-6.2%662.1K-30.5M-55.5K0.3923.73N/AN/A2,3909339,3495,205
2012-07-17$49.74$44.0044.5%12.8%40.9%81.5%44.2%0.2%-7.1%690.0K-30.6M-63.7K0.5521.05N/AN/A3,1811,73610,1645,893
2012-07-18$50.01$45.0044.7%12.8%39.5%82.3%44.2%-0.6%-6.4%843.2K-31.6M-79.3K0.3023.79N/AN/A2,76481711,7397,210
2012-07-19$48.76$45.0044.2%12.7%41.7%80.6%44.7%0.2%-5.4%653.2K-25.9M-87.5K1.1229.87N/AN/A1,5431,72313,0527,677
2012-07-20$49.94$45.0045.6%13.1%38.9%85.1%45.3%-0.9%-6.6%2.3M-31.6M-93.8K1.5128.21N/AN/A1,7932,70013,4318,607
2012-07-23$49.60$46.0046.3%13.3%39.5%87.2%46.2%-0.6%-3.8%676.9K-19.3M-92.6K0.3624.57N/AN/A2,17678910,7816,276
2012-07-24$49.21$46.0045.3%13.0%36.7%84.1%44.6%0.5%-2.0%841.4K-20.3M-99.3K0.7920.93N/AN/A2,1801,72912,1156,621
2012-07-25$49.77$46.0043.5%12.5%35.6%78.4%44.0%-1.4%-0.9%916.8K-22.9M-104.6K1.7120.57N/AN/A1,1351,94012,4707,432
2012-07-26$49.30$46.0041.8%12.0%36.2%72.9%41.8%-0.7%-1.3%795.9K-18.0M-116.2K1.7222.06N/AN/A52690412,7688,967
2012-07-27$50.08$46.0039.5%11.3%35.7%65.5%39.7%0.3%1.1%893.0K-21.5M-116.5K2.4023.54N/AN/A6291,50812,9289,512
2012-07-30$51.27$46.0041.0%11.8%36.1%70.3%41.2%-0.6%-0.7%989.6K-26.8M-119.6K0.4115.41N/AN/A1,85775313,05310,542
2012-07-31$50.94$46.0041.5%11.9%35.4%71.9%41.4%-0.8%-1.7%902.9K-23.6M-119.1K0.3413.04N/AN/A2,08371312,95110,925