CORN Options History — February 2013

In February 2013, CORN traded between $41.68 and $45.21. ATM implied volatility averaged 18.0%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 5.0% (HV 20d: 13.0%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.13.

Notable Days

2013-02-08: Highest Volume — 584 contracts
2013-02-07: Largest IV spike — 8.5% change
2013-02-07: Highest IV Rank — 9.0%
2013-02-06: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.05	$41.68	$45.21	$45.18	$42.58
Max Pain	$43.63	$43.00	$45.00	$45.00	$43.00
ATM IV	18.0%	16.7%	19.4%	17.7%	16.7%
Expected Move	5.3%	4.8%	5.8%	5.6%	4.8%
HV 20d	13.0%	11.7%	15.1%	13.4%	12.3%
HV 60d	13.9%	13.1%	14.8%	14.2%	13.7%
IV Rank	5.0%	1.3%	9.0%	4.2%	1.3%
IV Percentile	5.6%	0.4%	12.7%	2.4%	0.4%
Term Structure	2.9%	0.9%	4.5%	3.0%	4.0%
VWIV	17.7%	12.9%	20.1%	19.3%	16.7%
Skew 25d	-0.1%	-1.0%	0.9%	-0.3%	0.6%
Skew 10d	-1.4%	-9.9%	6.3%	-4.6%	2.3%
Call IV 25d	18.7%	16.7%	20.1%	20.1%	16.9%
Put IV 25d	18.6%	17.2%	19.8%	19.8%	17.6%
Bid-Ask Spread %	23.27	16.71	31.53	25.55	19.15
Gamma HHI	0.16	0.09	0.24	0.18	0.11
Net GEX	132.6K	57.6K	206.5K	114.8K	133.2K
Net DEX	7.7M	-247.2K	15.9M	8.5M	-247.2K
Net VEX	-30.0K	-37.9K	-25.8K	-37.9K	-30.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.13	0.04	5.38	0.04	0.28
Total Volume	248.947	79	584	504	188
Total OI	10,406.421	4,911	14,669	13,158	5,782

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-02-01	$45.18	$45.00	17.7%	5.6%	13.4%	4.2%	19.3%	-0.3%	3.0%	114.8K	8.5M	-37.9K	0.04	25.55	N/A	N/A	484	20	7,009	6,149
2013-02-04	$45.21	$45.00	18.1%	5.6%	11.7%	5.4%	19.5%	-0.4%	2.8%	206.5K	7.9M	-37.2K	0.22	29.60	N/A	N/A	65	14	7,471	6,148
2013-02-05	$45.07	$45.00	17.3%	5.6%	11.9%	2.9%	20.1%	0.2%	2.7%	136.7K	8.7M	-35.5K	0.05	25.91	N/A	N/A	194	10	7,522	6,146
2013-02-06	$44.34	$45.00	17.8%	5.8%	13.5%	4.5%	19.6%	-0.3%	0.9%	98.2K	11.1M	-34.7K	1.67	31.53	N/A	N/A	30	50	7,664	6,146
2013-02-07	$43.57	$45.00	19.4%	5.5%	14.9%	9.0%	19.4%	-0.5%	3.0%	57.6K	13.8M	-31.0K	0.50	22.75	N/A	N/A	139	69	7,663	6,178
2013-02-08	$43.35	$45.00	17.8%	5.1%	14.8%	4.5%	18.1%	-0.3%	3.7%	125.2K	14.7M	-29.1K	0.29	19.80	N/A	N/A	453	131	7,766	6,202
2013-02-11	$42.86	$43.00	18.1%	5.2%	15.1%	5.2%	18.1%	-0.6%	3.1%	154.8K	15.6M	-27.8K	1.34	23.86	N/A	N/A	53	71	8,134	6,284
2013-02-12	$42.75	$43.00	18.1%	5.2%	13.3%	5.2%	17.7%	0.2%	2.7%	134.8K	15.8M	-27.2K	5.38	29.94	N/A	N/A	34	183	8,168	6,285
2013-02-13	$42.65	$43.00	18.0%	5.2%	12.6%	5.1%	18.2%	-0.5%	3.3%	96.4K	15.9M	-26.4K	0.71	26.24	N/A	N/A	195	138	8,173	6,248
2013-02-14	$42.62	$43.00	17.9%	5.1%	12.6%	4.8%	17.9%	-0.8%	3.6%	113.9K	15.9M	-26.8K	0.49	27.27	N/A	N/A	187	91	8,237	6,281
2013-02-15	$42.65	$43.00	17.2%	4.9%	12.4%	2.6%	12.9%	-1.0%	4.5%	151.6K	15.8M	-27.5K	0.58	25.47	N/A	N/A	248	144	8,372	6,297
2013-02-19	$42.44	$43.00	17.8%	5.1%	12.0%	4.3%	17.3%	0.2%	2.2%	187.3K	13.2K	-25.8K	2.73	20.45	N/A	N/A	83	227	3,659	1,252
2013-02-20	$42.59	$43.00	18.4%	5.3%	12.2%	6.3%	16.9%	0.2%	2.2%	198.8K	-159.3K	-29.1K	0.14	16.71	N/A	N/A	192	27	3,731	1,457
2013-02-21	$42.01	$43.00	18.4%	5.3%	12.7%	6.2%	18.1%	-0.7%	2.7%	147.4K	432.0K	-28.8K	4.83	19.45	N/A	N/A	35	169	3,787	1,483
2013-02-22	$41.96	$43.00	18.4%	5.3%	12.7%	6.3%	17.7%	-0.2%	2.5%	129.4K	561.2K	-28.4K	1.40	19.01	N/A	N/A	42	59	3,814	1,502
2013-02-25	$41.68	$43.00	18.9%	5.4%	12.7%	7.8%	14.0%	0.5%	1.8%	95.6K	940.5K	-27.7K	0.38	20.50	N/A	N/A	167	64	3,853	1,558
2013-02-26	$42.29	$43.00	18.5%	5.3%	13.1%	6.4%	18.7%	0.9%	1.8%	135.8K	131.7K	-29.4K	0.35	19.62	N/A	N/A	262	91	3,989	1,613
2013-02-27	$42.24	$43.00	17.0%	4.9%	13.1%	2.1%	16.5%	0.7%	4.3%	100.7K	236.1K	-30.1K	0.15	19.33	N/A	N/A	105	16	4,004	1,695
2013-02-28	$42.58	$43.00	16.7%	4.8%	12.3%	1.3%	16.7%	0.6%	4.0%	133.2K	-247.2K	-30.4K	0.28	19.15	N/A	N/A	147	41	4,078	1,704