CORN Options History — October 2012

In October 2012, CORN traded between $47.12 and $49.24. ATM implied volatility averaged 23.8%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 2.8% (HV 20d: 26.6%). Max pain ranged from $49.00 to $55.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.76.

Notable Days

  • 2012-10-11: Highest Volume — 9,773 contracts
  • 2012-10-09: Largest IV spike — 9.2% change
  • 2012-10-09: Highest IV Rank — 26.8%
  • 2012-10-02: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.93$47.12$49.24$48.36$48.14
Max Pain$52.43$49.00$55.00$49.00$54.00
ATM IV23.8%20.7%27.4%26.3%20.7%
Expected Move6.8%5.9%7.7%7.5%5.9%
HV 20d26.6%19.9%30.6%26.7%20.4%
HV 60d22.7%21.4%26.2%26.2%21.8%
IV Rank15.3%5.3%26.8%23.2%5.3%
IV Percentile18.4%1.2%54.8%41.3%1.2%
Term Structure0.7%-0.7%3.0%1.2%3.0%
VWIV24.0%21.3%26.9%26.6%21.3%
Skew 25d-0.5%-1.8%0.6%0.6%-1.2%
Skew 10d-2.1%-5.5%1.6%-3.2%-1.8%
Call IV 25d24.4%21.0%27.8%26.2%23.0%
Put IV 25d23.9%21.2%26.8%26.8%21.8%
Bid-Ask Spread %14.207.7819.7214.7119.72
Gamma HHI0.190.150.240.160.24
Net GEX-2.2M-2.9M-1.2M-1.6M-2.5M
Net DEX33.8M15.0M54.1M18.5M36.4M
Net VEX-150.0K-179.1K-115.7K-161.3K-115.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.760.776.883.542.78
Total Volume1,478.6673729,7731,211446
Total OI34,922.57129,81741,26729,81734,493

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$48.36$49.0026.3%7.5%26.7%23.2%26.6%0.6%1.2%-1.6M18.5M-161.3K3.5414.71N/AN/A26794410,33619,481
2012-10-02$48.38$49.0027.0%7.7%26.5%25.5%26.1%0.5%-0.3%-1.6M18.9M-158.4K2.0715.52N/AN/A15832710,48919,898
2012-10-03$48.29$49.0026.1%7.5%26.4%22.5%25.5%-0.5%0.4%-1.6M19.0M-159.9K2.9717.32N/AN/A16649310,55420,029
2012-10-04$48.12$49.0025.5%7.3%26.3%20.5%24.3%-0.9%1.8%-1.7M20.3M-156.9K3.3019.71N/AN/A12641610,64620,028
2012-10-05$47.72$50.0024.3%7.5%26.3%16.6%26.4%-0.1%-0.7%-1.8M24.2M-154.5K1.9617.34N/AN/A19438110,68120,089
2012-10-08$47.45$50.0025.1%7.4%26.1%19.4%26.2%-0.6%-0.4%-2.0M26.5M-146.4K4.0314.92N/AN/A7429810,70620,175
2012-10-09$47.42$50.0027.4%7.7%26.1%26.8%26.8%-0.9%-0.5%-1.9M26.0M-146.1K0.9616.12N/AN/A86883410,69720,085
2012-10-10$47.35$50.0026.5%7.2%26.0%23.9%24.8%-0.2%1.5%-1.9M26.9M-142.7K2.3315.87N/AN/A1,6293,79311,42320,435
2012-10-11$49.24$50.0025.0%7.2%29.8%18.9%26.9%-0.5%0.5%-1.2M15.0M-160.9K3.0212.88N/AN/A2,4297,34412,56023,325
2012-10-12$48.06$55.0023.4%6.7%30.6%13.9%24.0%-1.2%1.0%-2.4M42.9M-179.1K6.8816.47N/AN/A3952,71713,48127,651
2012-10-15$47.19$55.0023.6%6.8%28.2%14.6%24.3%-1.8%-0.3%-2.6M53.4M-163.7K1.4015.14N/AN/A46665213,48627,585
2012-10-16$47.12$55.0023.3%6.7%27.9%13.7%23.5%-1.1%0.6%-2.7M54.1M-159.8K3.0615.53N/AN/A13240413,73227,527
2012-10-17$47.46$55.0022.5%6.5%27.5%11.1%22.8%-0.3%0.7%-2.6M50.2M-157.0K2.4313.44N/AN/A16239313,75227,402
2012-10-18$48.22$55.0022.4%6.4%28.1%10.7%22.7%-0.8%0.2%-1.8M39.8M-154.6K2.7713.88N/AN/A24969013,64027,250
2012-10-19$48.24$55.0021.9%6.3%28.1%8.9%21.9%-1.0%0.5%-2.9M39.3M-148.4K0.9712.76N/AN/A43141713,67927,588
2012-10-22$48.24$55.0022.6%6.5%28.0%11.3%22.6%0.3%0.0%-2.4M38.0M-141.5K1.3211.79N/AN/A2693569,80924,118
2012-10-23$48.05$54.0022.1%6.4%28.0%9.9%22.1%-0.4%1.3%-2.5M39.3M-140.9K0.777.78N/AN/A2632029,85524,166
2012-10-24$48.18$54.0022.0%6.3%26.3%9.5%22.1%0.1%1.4%-2.4M37.8M-140.1K0.958.28N/AN/A3573399,89424,095
2012-10-25$47.76$54.0021.4%6.1%25.9%7.6%21.7%0.1%1.8%-2.6M41.6M-134.3K6.6210.10N/AN/A7348310,13924,124
2012-10-26$47.57$54.0021.2%6.1%19.9%6.8%21.4%0.2%1.1%-2.6M42.2M-128.3K3.838.85N/AN/A8632910,16224,109
2012-10-31$48.14$54.0020.7%5.9%20.4%5.3%21.3%-1.2%3.0%-2.5M36.4M-115.7K2.7819.72N/AN/A11832810,22324,270