CORN Options History — January 2013

In January 2013, CORN traded between $42.77 and $45.50. ATM implied volatility averaged 22.9%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 8.5% (HV 20d: 14.4%). Max pain ranged from $46.00 to $49.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2013-01-08: Highest Volume — 2,399 contracts
  • 2013-01-08: Largest IV spike — 30.5% change
  • 2013-01-09: Highest IV Rank — 55.5%
  • 2013-01-10: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.37$42.77$45.50$43.66$45.50
Max Pain$47.95$46.00$49.00$46.00$48.00
ATM IV22.9%18.8%35.1%23.5%18.8%
Expected Move6.3%5.4%7.7%6.7%5.4%
HV 20d14.4%13.1%16.8%13.7%13.2%
HV 60d15.0%14.1%17.0%16.7%14.2%
IV Rank19.6%7.3%55.5%21.3%7.5%
IV Percentile27.9%5.6%86.1%29.8%6.3%
Term Structure0.9%-1.0%3.9%-0.9%0.9%
VWIV21.7%17.3%26.7%22.5%18.3%
Skew 25d-0.1%-0.9%0.8%-0.8%0.8%
Skew 10d0.1%-5.5%6.9%6.9%0.7%
Call IV 25d22.2%17.9%27.2%23.3%17.9%
Put IV 25d22.0%18.6%27.0%22.5%18.6%
Bid-Ask Spread %13.886.6421.6715.156.64
Gamma HHI0.190.120.600.200.18
Net GEX-181.8K-1.2M149.3K-399.3K149.3K
Net DEX11.3M3.9M19.2M16.4M7.8M
Net VEX-45.0K-57.6K-35.5K-47.8K-38.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.016.162.900.32
Total Volume530.0481132,399456125
Total OI15,166.71412,27318,42913,68313,087

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$43.66$46.0023.5%6.7%13.7%21.3%22.5%-0.8%-0.9%-399.3K16.4M-47.8K2.9015.15N/AN/A1173396,5837,100
2013-01-03$43.44$46.0023.8%6.8%13.6%22.1%23.6%0.6%-0.5%-422.9K17.1M-46.3K6.1616.28N/AN/A643946,6287,162
2013-01-04$42.77$49.0025.0%6.7%13.3%25.7%23.7%-0.9%1.5%-485.4K19.2M-43.2K0.7016.35N/AN/A1,1007666,6837,380
2013-01-07$42.92$49.0026.5%6.8%13.7%30.0%23.3%-0.5%1.0%-438.3K18.5M-46.6K1.0715.91N/AN/A1571687,6038,007
2013-01-08$43.20$49.0034.6%7.6%13.7%53.8%26.5%-0.5%-0.7%-334.9K16.3M-53.5K1.6419.53N/AN/A9091,4907,7398,118
2013-01-09$43.51$48.0035.1%7.6%14.3%55.5%26.7%0.6%-1.0%-330.0K16.1M-57.1K0.7920.54N/AN/A3953138,4598,944
2013-01-10$43.73$48.0026.8%7.7%14.6%30.8%26.4%0.2%-0.4%-279.0K14.8M-57.6K0.3017.12N/AN/A152458,5548,946
2013-01-11$43.99$48.0023.5%6.7%14.9%21.3%24.1%-0.8%1.1%-320.3K13.6M-52.5K0.5121.67N/AN/A9654898,6698,960
2013-01-14$44.78$48.0022.8%6.5%16.6%19.1%22.9%-0.2%1.2%26.1K7.5M-50.5K0.2910.96N/AN/A3701089,2159,089
2013-01-15$45.20$48.0022.5%6.4%16.6%18.1%22.4%-0.4%1.7%116.1K3.9M-51.2K0.8210.69N/AN/A2492059,2759,154
2013-01-16$45.22$48.0021.9%6.3%16.5%16.3%21.6%-0.3%2.3%-4.2K3.9M-47.8K0.2216.01N/AN/A93209,2599,099
2013-01-17$44.77$48.0022.0%6.3%16.8%16.8%22.0%-0.5%2.2%-135.2K7.0M-45.9K0.2813.97N/AN/A93269,2099,097
2013-01-18$45.01$48.0019.7%5.7%14.7%10.1%19.8%0.2%3.9%-1.2M5.3M-42.8K0.1115.27N/AN/A526609,2009,093
2013-01-22$45.04$48.0019.4%5.6%13.9%9.1%18.9%0.6%1.5%2839.6M-40.1K0.1412.39N/AN/A183256,2046,069
2013-01-23$44.73$48.0019.7%5.7%14.1%10.0%19.6%-0.3%1.0%4.8K10.4M-39.0K0.0611.58N/AN/A165106,3446,078
2013-01-24$44.68$48.0019.7%5.6%14.0%9.9%19.9%-0.4%1.1%31.8K10.4M-38.5K0.1612.65N/AN/A140226,4706,070
2013-01-25$44.42$48.0019.5%5.6%13.1%9.5%19.3%-0.5%0.8%3.6K11.2M-37.6K0.428.52N/AN/A100426,5046,092
2013-01-28$44.97$48.0018.8%5.4%13.7%7.4%18.5%0.3%1.5%32.3K10.2M-35.5K0.9811.15N/AN/A1031016,5276,094
2013-01-29$44.81$48.0019.4%5.6%13.8%9.0%19.4%-0.1%0.6%21.0K10.3M-36.3K0.0111.33N/AN/A26926,5936,164
2013-01-30$45.43$48.0018.8%5.4%14.6%7.3%17.3%0.3%1.0%125.4K8.2M-37.8K0.157.89N/AN/A201306,8376,143
2013-01-31$45.50$48.0018.8%5.4%13.2%7.5%18.3%0.8%0.9%149.3K7.8M-38.0K0.326.64N/AN/A95306,9406,147