CORN Options History — August 2012

In August 2012, CORN traded between $50.18 and $52.67. ATM implied volatility averaged 32.5%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 10.3% (HV 20d: 22.2%). Max pain ranged from $46.00 to $51.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 1.53.

Notable Days

2012-08-21: Highest Volume — 7,164 contracts
2012-08-10: Largest IV drop — 17.0% change
2012-08-01: Highest IV Rank — 73.0%
2012-08-01: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.16	$50.18	$52.67	$50.61	$50.94
Max Pain	$49.65	$46.00	$51.00	$46.00	$51.00
ATM IV	32.5%	27.2%	41.8%	41.8%	27.5%
Expected Move	9.5%	7.8%	12.0%	12.0%	7.9%
HV 20d	22.2%	17.4%	35.2%	35.2%	18.3%
HV 60d	33.1%	32.0%	34.4%	34.3%	32.0%
IV Rank	43.1%	25.9%	73.0%	73.0%	26.9%
IV Percentile	68.9%	44.4%	95.2%	95.2%	47.2%
Term Structure	0.1%	-3.6%	3.0%	-1.9%	1.3%
VWIV	33.2%	27.2%	41.7%	41.7%	28.0%
Skew 25d	-0.0%	-1.7%	1.8%	-0.7%	-0.0%
Skew 10d	-0.4%	-3.0%	1.8%	1.8%	-0.2%
Call IV 25d	33.2%	26.6%	42.5%	42.5%	27.9%
Put IV 25d	33.1%	26.8%	41.8%	41.8%	27.8%
Bid-Ask Spread %	22.49	12.51	29.61	14.45	15.69
Gamma HHI	0.12	0.09	0.16	0.16	0.12
Net GEX	188.4K	-1.0M	1.6M	1.0M	-1.0M
Net DEX	-12.0M	-31.8M	5.5M	-23.4M	5.5M
Net VEX	-129.5K	-154.6K	-102.2K	-130.6K	-153.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.53	0.18	6.55	0.18	0.97
Total Volume	2,265.87	913	7,164	2,389	1,385
Total OI	27,324.652	18,142	33,557	25,465	29,031

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-08-01	$50.61	$46.00	41.8%	12.0%	35.2%	73.0%	41.7%	-0.7%	-1.9%	1.0M	-23.4M	-130.6K	0.18	14.45	N/A	N/A	2,032	357	14,194	11,271
2012-08-02	$50.51	$46.00	41.6%	11.9%	33.0%	72.3%	40.9%	-0.3%	-1.7%	1.0M	-23.1M	-129.6K	0.53	19.53	N/A	N/A	653	347	14,257	11,423
2012-08-03	$51.01	$46.00	40.0%	11.5%	31.3%	67.1%	38.9%	-1.7%	-0.2%	1.2M	-26.1M	-126.5K	0.76	12.51	N/A	N/A	724	550	14,451	11,568
2012-08-06	$50.93	$50.00	39.3%	11.4%	27.0%	64.8%	39.9%	-1.0%	-3.3%	1.2M	-25.0M	-121.3K	0.57	29.61	N/A	N/A	666	381	14,479	11,764
2012-08-07	$50.76	$50.00	37.1%	11.0%	26.2%	57.8%	38.6%	-0.5%	-2.5%	1.2M	-23.7M	-118.1K	0.90	27.36	N/A	N/A	530	476	14,608	11,793
2012-08-08	$51.61	$50.00	37.6%	11.2%	24.9%	59.4%	38.7%	-0.7%	-3.6%	1.4M	-28.8M	-115.2K	0.41	27.58	N/A	N/A	1,260	512	14,522	11,852
2012-08-09	$51.94	$50.00	39.9%	11.2%	23.1%	66.7%	39.1%	-0.4%	-2.9%	1.5M	-31.8M	-116.0K	0.50	24.23	N/A	N/A	3,216	1,608	14,936	12,127
2012-08-10	$51.36	$50.00	33.1%	9.6%	23.5%	45.0%	33.6%	-0.4%	-0.7%	1.6M	-27.5M	-117.6K	2.45	28.23	N/A	N/A	1,888	4,625	16,096	13,211
2012-08-13	$50.40	$50.00	31.1%	9.6%	21.1%	38.7%	33.8%	-0.1%	0.5%	129.0K	-11.0M	-121.0K	1.30	25.03	N/A	N/A	1,619	2,100	15,863	16,248
2012-08-14	$50.18	$50.00	28.3%	9.4%	21.2%	29.7%	32.8%	-0.1%	1.4%	-41.4K	-8.4M	-121.6K	0.70	27.56	N/A	N/A	1,094	767	16,138	16,861
2012-08-15	$50.79	$50.00	27.2%	9.0%	21.5%	25.9%	31.7%	0.8%	1.6%	37.5K	-14.1M	-119.0K	0.59	25.02	N/A	N/A	1,450	856	16,066	17,136
2012-08-16	$50.82	$50.00	31.1%	8.9%	19.2%	38.5%	31.1%	0.6%	1.0%	-178.2K	-14.1M	-116.5K	0.66	17.87	N/A	N/A	963	635	15,906	17,546
2012-08-17	$50.78	$50.00	28.0%	8.0%	17.4%	28.5%	28.3%	1.8%	3.0%	-578.8K	-12.4M	-111.8K	0.49	26.66	N/A	N/A	1,667	819	15,703	17,854
2012-08-20	$51.95	$50.00	27.2%	7.8%	18.8%	26.1%	27.2%	0.2%	1.5%	-110.2K	-7.1M	-102.2K	0.92	24.33	N/A	N/A	1,215	1,112	6,824	11,318
2012-08-21	$52.67	$50.00	29.9%	8.6%	18.8%	34.7%	30.1%	1.3%	0.9%	39.8K	-10.2M	-107.6K	2.60	15.41	N/A	N/A	1,989	5,175	7,317	11,661
2012-08-22	$52.50	$50.00	30.1%	8.6%	18.7%	35.4%	30.9%	0.5%	0.9%	-203.4K	-6.5M	-141.1K	2.56	26.89	N/A	N/A	397	1,016	8,531	15,759
2012-08-23	$51.35	$50.00	29.8%	8.5%	20.2%	34.4%	30.0%	0.1%	1.5%	-450.3K	229.5K	-151.6K	2.28	23.71	N/A	N/A	454	1,037	8,561	16,532
2012-08-24	$51.21	$50.00	30.4%	8.7%	19.6%	36.3%	30.3%	0.4%	1.2%	-540.7K	1.1M	-151.2K	2.17	26.62	N/A	N/A	416	904	8,710	17,080
2012-08-27	$50.79	$50.00	29.9%	8.6%	18.0%	34.7%	29.7%	0.6%	0.9%	-651.6K	3.4M	-151.9K	0.98	20.40	N/A	N/A	709	693	8,872	17,480
2012-08-28	$50.73	$51.00	29.3%	8.4%	17.9%	32.8%	29.4%	-0.1%	1.4%	-679.5K	3.4M	-150.4K	6.55	15.81	N/A	N/A	176	1,153	9,196	17,724
2012-08-29	$51.46	$51.00	28.4%	8.1%	18.4%	30.0%	28.4%	1.0%	1.3%	-612.9K	295.2K	-149.2K	3.43	18.86	N/A	N/A	356	1,220	9,222	18,254
2012-08-30	$51.29	$51.00	29.4%	8.4%	18.4%	33.2%	29.5%	-1.5%	0.7%	-831.8K	2.7M	-154.6K	2.71	23.99	N/A	N/A	246	667	9,351	19,171
2012-08-31	$50.94	$51.00	27.5%	7.9%	18.3%	26.9%	28.0%	-0.0%	1.3%	-1.0M	5.5M	-153.4K	0.97	15.69	N/A	N/A	702	683	9,443	19,588