CORN Options History — September 2012

In September 2012, CORN traded between $46.23 and $51.31. ATM implied volatility averaged 25.7%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 6.7% (HV 20d: 18.9%). Max pain ranged from $49.00 to $51.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 2.75.

Notable Days

  • 2012-09-12: Highest Volume — 5,389 contracts
  • 2012-09-12: Largest IV drop — 10.9% change
  • 2012-09-04: Highest IV Rank — 32.2%
  • 2012-09-04: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.18$46.23$51.31$51.31$48.42
Max Pain$50.74$49.00$51.00$51.00$49.00
ATM IV25.7%22.4%29.1%29.1%25.4%
Expected Move7.4%6.4%8.3%8.3%7.3%
HV 20d18.9%16.3%26.8%18.5%26.8%
HV 60d28.8%26.2%32.0%32.0%26.7%
IV Rank21.1%10.5%32.2%32.2%20.5%
IV Percentile29.9%4.0%61.1%60.7%29.8%
Term Structure0.7%-1.4%2.0%0.9%1.2%
VWIV26.0%22.8%29.1%28.7%25.5%
Skew 25d-0.3%-2.3%2.6%0.8%-0.8%
Skew 10d-1.6%-4.1%1.1%0.1%-2.1%
Call IV 25d26.3%23.7%29.6%28.3%26.2%
Put IV 25d26.0%22.7%29.0%29.0%25.4%
Bid-Ask Spread %23.3812.5740.1313.6618.05
Gamma HHI0.160.110.260.120.18
Net GEX-2.1M-3.5M-960.0K-960.0K-1.5M
Net DEX20.1M2.2M36.1M2.2M17.4M
Net VEX-146.7K-154.4K-130.8K-146.6K-154.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.750.747.550.741.61
Total Volume2,286.8426025,3897484,072
Total OI31,255.68426,18236,66829,68527,937

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$51.31$51.0029.1%8.3%18.5%32.2%28.7%0.8%0.9%-960.0K2.2M-146.6K0.7413.66N/AN/A4313179,69219,993
2012-09-05$50.82$51.0028.1%8.1%18.8%28.9%27.7%0.7%1.5%-1.1M6.2M-148.9K1.3912.57N/AN/A2523509,74020,042
2012-09-06$51.03$51.0027.0%7.7%17.8%25.3%26.4%2.6%1.9%-1.0M4.7M-144.6K0.7517.94N/AN/A8156089,78320,176
2012-09-07$50.99$51.0025.8%7.9%17.6%21.4%27.7%-0.5%1.8%-1.1M4.5M-140.8K3.2533.33N/AN/A2608459,61420,357
2012-09-10$50.34$51.0028.3%8.1%17.8%29.7%28.5%-0.1%0.6%-1.5M10.1M-138.3K6.0133.30N/AN/A1891,1359,63920,584
2012-09-11$50.01$51.0028.9%8.2%16.6%31.4%29.1%-0.9%0.4%-1.7M12.7M-137.8K1.8840.13N/AN/A5089539,63720,757
2012-09-12$49.65$51.0025.7%7.7%16.7%21.3%26.9%-0.3%-0.6%-2.1M16.6M-130.8K2.9036.91N/AN/A1,3834,0069,72321,121
2012-09-13$49.97$51.0024.7%7.1%16.3%18.1%25.8%-1.1%-1.0%-2.4M16.8M-150.7K4.1724.26N/AN/A7112,96210,10324,144
2012-09-14$50.50$51.0023.8%6.8%16.8%15.3%24.4%-0.6%-0.3%-2.0M11.5M-147.0K2.1426.52N/AN/A7301,56010,49323,660
2012-09-17$48.59$51.0025.8%7.4%21.6%21.5%26.6%-2.3%-1.4%-3.2M31.5M-151.2K1.7218.06N/AN/A1,6242,78810,55524,142
2012-09-18$48.01$51.0025.5%7.3%19.7%20.6%25.9%-1.1%-0.0%-3.4M36.1M-153.3K2.0022.41N/AN/A1,0862,17111,55524,089
2012-09-19$48.67$51.0025.5%7.3%19.7%20.6%25.8%1.0%0.6%-3.1M30.0M-154.0K3.9418.40N/AN/A3691,45311,51324,363
2012-09-20$48.28$51.0024.2%6.9%19.7%16.5%24.0%0.2%1.4%-3.5M33.4M-152.5K7.5524.56N/AN/A2892,18211,60624,667
2012-09-21$48.38$51.0023.6%6.8%18.6%14.5%23.9%-0.1%0.9%-3.5M32.8M-150.3K3.7426.72N/AN/A3921,46611,63025,038
2012-09-24$48.12$51.0023.9%6.8%18.7%15.4%23.8%-0.4%1.0%-1.9M23.4M-146.8K2.0120.76N/AN/A3456957,72618,456
2012-09-25$48.13$50.0022.4%6.4%18.6%10.5%22.8%-1.0%2.0%-2.0M23.8M-147.8K2.0919.11N/AN/A3196667,92318,880
2012-09-26$46.89$50.0024.1%6.9%20.4%16.1%24.3%-0.8%0.8%-2.2M32.3M-147.0K3.1019.79N/AN/A6381,9808,12719,055
2012-09-27$46.23$50.0025.6%7.3%19.5%21.0%26.1%-0.7%1.0%-2.0M35.9M-144.9K1.3317.74N/AN/A1,2441,6568,53218,806
2012-09-28$48.42$49.0025.4%7.3%26.8%20.5%25.5%-0.8%1.2%-1.5M17.4M-154.4K1.6118.05N/AN/A1,5612,5119,38118,556