CORN Options History — December 2012

In December 2012, CORN traded between $44.04 and $48.29. ATM implied volatility averaged 20.0%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 6.5% (HV 20d: 13.5%). Max pain ranged from $46.00 to $48.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.08.

Notable Days

  • 2012-12-19: Highest Volume — 2,992 contracts
  • 2012-12-10: Largest IV spike — 23.1% change
  • 2012-12-28: Highest IV Rank — 20.8%
  • 2012-12-28: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.00$44.04$48.29$47.98$44.32
Max Pain$47.10$46.00$48.00$47.00$46.00
ATM IV20.0%16.3%23.4%17.4%23.1%
Expected Move5.8%4.9%6.7%5.0%6.6%
HV 20d13.5%11.4%15.4%13.9%13.3%
HV 60d19.5%16.4%20.9%20.8%16.4%
IV Rank10.2%0.0%20.8%0.0%20.0%
IV Percentile10.1%0.0%28.2%0.0%25.8%
Term Structure0.8%-0.3%1.7%1.0%-0.3%
VWIV20.2%15.4%23.1%16.5%23.1%
Skew 25d-0.2%-0.8%0.8%-0.2%0.8%
Skew 10d1.1%-8.8%7.5%4.6%5.7%
Call IV 25d20.3%17.4%22.8%17.5%22.8%
Put IV 25d20.2%16.9%23.6%17.3%23.6%
Bid-Ask Spread %22.6213.2337.7516.2518.44
Gamma HHI0.230.150.640.150.21
Net GEX-387.2K-2.2M77.6K70.8K-279.5K
Net DEX10.8M627.9K23.3M2.0M13.9M
Net VEX-67.6K-77.6K-54.5K-77.6K-54.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.1110.441.780.51
Total Volume467.3162,992164535
Total OI14,273.9513,23717,33613,23713,696

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$47.98$47.0017.4%5.0%13.9%0.0%16.5%-0.2%1.0%70.8K2.0M-77.6K1.7816.25N/AN/A591056,1267,111
2012-12-04$47.94$47.0017.6%5.0%13.8%0.5%0.0%0.1%1.3%44.9K2.4M-77.0K0.1113.23N/AN/A107126,1237,164
2012-12-05$48.29$47.0017.0%4.9%13.9%0.0%16.9%-0.7%1.5%77.6K627.9K-77.3K1.1915.13N/AN/A80956,1987,168
2012-12-06$47.96$47.0017.1%4.9%14.2%0.4%15.4%-0.5%1.5%75.7K2.0M-76.7K0.1215.98N/AN/A3346,2497,195
2012-12-07$47.18$48.0016.3%5.3%15.3%0.0%18.5%-0.4%0.4%20.0K5.5M-74.8K5.6335.43N/AN/A724056,2657,191
2012-12-10$46.86$48.0020.1%5.9%15.4%11.1%20.2%-0.6%-0.2%-67.3K7.4M-71.8K6.1828.34N/AN/A1871,1556,2797,362
2012-12-11$46.60$48.0019.5%5.8%12.3%9.4%20.4%-0.3%0.8%-442.3K9.8M-73.7K0.3337.75N/AN/A104346,3458,225
2012-12-12$46.34$48.0017.9%5.5%12.5%4.7%19.3%-0.4%0.8%-471.5K11.2M-71.1K3.7321.96N/AN/A772876,4278,237
2012-12-13$46.16$48.0019.4%5.6%12.6%9.1%19.3%0.3%0.7%-445.1K12.1M-69.7K0.4622.71N/AN/A3181456,4648,079
2012-12-14$46.57$48.0018.9%5.4%12.8%7.5%19.5%-0.6%1.7%-303.8K9.6M-72.2K0.3826.51N/AN/A177676,6578,136
2012-12-17$46.22$48.0019.6%5.6%13.0%9.7%19.4%-0.6%1.4%-416.2K11.3M-68.3K0.2327.70N/AN/A94226,7078,121
2012-12-18$46.13$48.0019.7%5.6%11.4%10.0%19.7%0.0%0.5%-503.8K12.0M-67.0K0.8428.55N/AN/A70596,7498,126
2012-12-19$45.06$48.0021.7%6.2%13.8%15.9%21.9%0.1%0.3%-632.3K16.8M-61.9K1.1723.02N/AN/A1,3821,6106,7748,115
2012-12-20$44.48$46.0021.9%6.3%14.2%16.6%22.0%0.4%1.6%-1.4M23.3M-62.8K1.5725.15N/AN/A3825997,6149,441
2012-12-21$44.70$46.0021.7%6.2%14.2%15.8%21.7%-0.4%0.7%-2.2M22.2M-65.2K3.1525.73N/AN/A20637,8629,474
2012-12-24$44.82$46.0022.1%6.3%14.1%16.9%21.9%-0.1%0.9%-152.5K11.7M-61.8K0.2014.30N/AN/A51106,5846,717
2012-12-26$44.16$46.0022.4%6.4%12.9%17.9%22.8%-0.8%0.6%-212.9K13.9M-56.0K10.4423.25N/AN/A434496,6196,718
2012-12-27$44.04$46.0022.7%6.5%12.8%18.7%23.0%0.1%0.3%-249.0K14.4M-55.9K2.3215.67N/AN/A1262926,6476,826
2012-12-28$44.17$46.0023.4%6.7%13.1%20.8%22.7%0.8%0.1%-275.8K14.0M-57.2K1.2917.23N/AN/A796,6877,001
2012-12-31$44.32$46.0023.1%6.6%13.3%20.0%23.1%0.8%-0.3%-279.5K13.9M-54.5K0.5118.44N/AN/A3541816,6917,005