CORN Options History — November 2012

In November 2012, CORN traded between $45.93 and $48.34. ATM implied volatility averaged 20.1%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.3% (HV 20d: 16.8%). Max pain ranged from $47.00 to $55.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.97.

Notable Days

  • 2012-11-01: Highest Volume — 6,532 contracts
  • 2012-11-12: Largest IV spike — 27.8% change
  • 2012-11-01: Highest IV Rank — 16.2%
  • 2012-11-01: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.26$45.93$48.34$48.26$47.85
Max Pain$48.62$47.00$55.00$54.00$47.00
ATM IV20.1%17.4%24.1%24.1%17.4%
Expected Move5.7%5.0%6.9%6.9%5.0%
HV 20d16.8%14.1%21.1%20.4%14.8%
HV 60d21.3%20.9%22.0%21.8%20.9%
IV Rank5.8%0.0%16.2%16.2%0.0%
IV Percentile4.3%0.0%21.0%21.0%0.0%
Term Structure1.2%-1.3%2.5%-1.3%1.7%
VWIV20.0%16.9%24.7%24.5%17.1%
Skew 25d-0.3%-1.4%0.7%-1.4%-0.1%
Skew 10d0.0%-4.7%8.8%-1.9%-0.4%
Call IV 25d20.3%17.4%24.2%24.2%17.5%
Put IV 25d20.0%17.3%22.8%22.8%17.3%
Bid-Ask Spread %25.8113.7746.9613.7714.96
Gamma HHI0.240.150.540.240.15
Net GEX-1.3M-3.0M121.7K-2.4M76.5K
Net DEX20.3M368.0K41.5M34.8M2.5M
Net VEX-91.2K-123.3K-78.8K-123.3K-78.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.970.3811.785.473.27
Total Volume957.857606,5326,532209
Total OI23,94712,53634,44734,44713,049

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$48.26$54.0024.1%6.9%20.4%16.2%24.5%-1.4%-1.3%-2.4M34.8M-123.3K5.4713.77N/AN/A1,0105,52210,21324,234
2012-11-02$47.58$50.0022.9%6.6%21.0%12.2%24.7%-0.9%-0.3%-2.1M29.7M-115.8K11.7815.82N/AN/A911,07210,50021,822
2012-11-05$47.34$55.0022.4%6.3%21.1%10.6%22.3%-1.2%1.2%-2.1M29.1M-103.8K4.7546.96N/AN/A16076010,53621,131
2012-11-06$47.57$54.0023.8%6.5%20.9%15.3%22.9%-0.2%0.8%-2.0M26.7M-105.0K0.9639.75N/AN/A18217510,60520,809
2012-11-07$47.69$50.0022.5%6.4%20.9%11.0%22.6%-0.2%1.0%-1.9M25.4M-101.2K1.1836.30N/AN/A31937510,55520,763
2012-11-08$47.56$50.0021.7%6.4%20.9%8.4%22.1%-0.8%0.5%-1.8M26.7M-99.3K1.0239.15N/AN/A27227710,67920,657
2012-11-09$47.32$50.0018.1%5.9%21.0%0.0%20.7%-0.9%1.2%-1.9M28.9M-94.5K1.4737.00N/AN/A6811,00010,87620,757
2012-11-12$46.10$47.0023.1%5.6%17.3%15.6%19.0%-0.1%1.5%-3.0M41.5M-91.4K3.0323.22N/AN/A8212,48711,33121,190
2012-11-13$46.05$47.0020.7%5.8%15.4%8.2%20.0%-0.7%1.0%-2.8M40.4M-89.1K4.1127.07N/AN/A18475711,71921,004
2012-11-14$46.14$47.0020.0%5.7%14.2%5.8%19.7%-0.5%1.8%-2.7M38.6M-88.2K0.4020.95N/AN/A81232211,77021,041
2012-11-15$45.93$47.0019.6%5.6%14.3%4.8%19.7%-0.6%2.5%-2.8M39.1M-87.1K1.5214.46N/AN/A9814912,02420,915
2012-11-16$46.18$47.0019.4%5.6%14.1%4.1%19.4%-0.5%1.7%-2.0M36.1M-83.6K2.9620.40N/AN/A29687712,06020,798
2012-11-19$46.96$47.0019.2%5.5%14.3%3.5%19.3%-0.4%0.9%-9.7K6.1M-83.2K0.9425.97N/AN/A53505,8116,725
2012-11-20$47.15$47.0018.6%5.3%14.4%1.5%18.4%0.3%1.5%13.9K5.2M-83.5K0.4428.53N/AN/A126555,8466,749
2012-11-21$47.15$47.0018.2%5.2%14.4%0.3%18.8%-0.1%1.4%28.5K5.2M-82.8K3.3528.81N/AN/A23775,8866,736
2012-11-23$47.39$47.0018.1%5.2%14.5%0.2%17.0%-0.2%2.3%37.4K4.5M-82.4K0.4627.03N/AN/A41195,9096,796
2012-11-26$47.59$47.0019.2%5.5%14.6%3.3%18.3%0.0%1.1%49.5K3.6M-80.7K0.3814.90N/AN/A120465,9356,796
2012-11-27$48.34$47.0017.9%5.1%15.3%0.0%16.9%0.7%1.2%102.3K810.4K-79.7K1.1427.76N/AN/A1161326,0176,810
2012-11-28$48.34$47.0017.8%5.1%15.2%0.0%19.3%0.4%1.8%121.7K368.0K-81.5K4.5715.08N/AN/A371696,0676,799
2012-11-29$48.07$47.0017.9%5.1%14.8%0.2%18.1%0.3%2.1%105.0K1.4M-80.2K9.2124.11N/AN/A141296,0876,880
2012-11-30$47.85$47.0017.4%5.0%14.8%0.0%17.1%-0.1%1.7%76.5K2.5M-78.8K3.2714.96N/AN/A491606,0906,959