CORN Options History — March 2013

In March 2013, CORN traded between $40.90 and $44.02. ATM implied volatility averaged 19.1%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.4% (HV 20d: 14.7%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2013-03-15: Highest Volume — 1,962 contracts
  • 2013-03-14: Largest IV spike — 37.6% change
  • 2013-03-21: Highest IV Rank — 20.3%
  • 2013-03-21: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.93$40.90$44.02$42.69$40.90
Max Pain$43.40$42.00$45.00$43.00$45.00
ATM IV19.1%14.2%21.6%17.4%21.2%
Expected Move5.9%5.0%6.2%5.0%6.1%
HV 20d14.7%12.4%29.5%12.4%29.5%
HV 60d14.4%13.7%20.2%13.7%20.2%
IV Rank11.2%0.0%20.3%3.4%19.3%
IV Percentile15.6%0.0%29.0%3.2%27.8%
Term Structure1.8%0.3%3.2%3.2%0.3%
VWIV20.5%15.3%21.7%15.3%20.8%
Skew 25d-0.8%-5.1%0.0%-0.5%-5.1%
Skew 10d1.3%-9.5%9.4%3.8%-2.8%
Call IV 25d20.9%17.1%22.4%17.1%20.7%
Put IV 25d20.1%15.6%21.6%16.6%15.6%
Bid-Ask Spread %25.1411.1332.7015.2226.52
Gamma HHI0.140.100.220.120.13
Net GEX296.6K-9.1K524.5K178.8K-9.1K
Net DEX-1.7M-4.5M4.4M-578.4K4.4M
Net VEX-44.3K-58.3K-29.9K-31.3K-45.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.043.700.240.56
Total Volume395.8431,96267856
Total OI7,612.255,9309,5945,9399,594

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$42.69$43.0017.4%5.0%12.4%3.4%15.3%-0.5%3.2%178.8K-578.4K-31.3K0.2415.22N/AN/A54134,1971,742
2013-03-04$42.25$42.0018.1%5.9%12.6%5.2%20.8%-1.0%1.7%148.1K223.7K-29.9K0.4527.00N/AN/A212964,1761,754
2013-03-05$42.54$42.0017.1%5.9%13.0%2.5%20.9%-0.0%1.1%171.2K-271.9K-33.1K0.2732.70N/AN/A55154,3451,828
2013-03-06$41.66$42.0016.7%5.7%14.5%1.2%20.6%0.0%2.3%85.2K1.0M-31.0K0.0432.54N/AN/A506204,3521,841
2013-03-07$41.70$42.0016.9%5.8%13.8%1.6%20.4%-0.5%2.1%114.1K640.2K-34.1K1.0130.43N/AN/A1661684,7791,853
2013-03-08$42.11$42.0016.9%5.5%13.4%1.8%19.7%-0.1%1.3%175.8K-34.5K-36.2K0.3311.13N/AN/A225744,8551,958
2013-03-11$42.64$42.0016.7%5.8%14.2%1.2%20.4%-0.9%1.6%267.7K-1.1M-37.9K0.0931.53N/AN/A303264,9681,986
2013-03-12$43.00$42.0016.7%5.6%14.0%1.1%19.9%-0.5%1.9%332.1K-1.8M-39.1K0.0826.59N/AN/A179145,2241,994
2013-03-13$42.68$42.0014.2%5.7%14.3%0.0%21.0%-0.7%2.6%370.4K-1.4M-39.2K0.1428.48N/AN/A80115,3561,999
2013-03-14$43.11$42.0019.6%5.6%14.7%14.9%19.9%-0.8%1.7%426.8K-2.4M-40.1K0.0728.67N/AN/A187145,4322,009
2013-03-15$43.22$42.0020.5%5.9%14.7%17.4%20.9%-0.4%1.3%524.5K-2.8M-40.3K0.5127.82N/AN/A1,3026605,4962,001
2013-03-18$43.31$45.0020.6%5.9%14.7%17.8%20.3%-1.3%1.7%347.4K-2.5M-50.1K0.9323.10N/AN/A1211125,4402,206
2013-03-19$43.45$45.0021.0%6.0%14.5%18.8%21.2%-0.5%1.7%356.5K-3.0M-52.3K1.5914.62N/AN/A2644205,5372,311
2013-03-20$43.86$45.0021.4%6.1%14.8%19.9%21.5%-0.4%1.8%389.3K-4.1M-55.5K0.4816.47N/AN/A3871855,7732,583
2013-03-21$44.02$45.0021.6%6.2%13.7%20.3%21.6%-1.1%1.5%410.9K-4.5M-58.3K0.1618.00N/AN/A3766,0272,729
2013-03-22$43.59$45.0021.4%6.1%14.3%19.9%21.5%-0.2%1.5%373.0K-3.4M-57.1K1.4029.74N/AN/A771086,0492,730
2013-03-25$43.99$45.0020.8%6.0%14.2%18.2%21.7%-0.1%2.4%426.0K-4.4M-58.3K3.7029.30N/AN/A20746,1192,829
2013-03-26$43.96$45.0021.5%6.2%13.5%20.0%20.9%-0.8%1.6%412.9K-4.2M-57.8K0.7825.02N/AN/A1441126,1242,881
2013-03-27$43.98$45.0021.1%6.0%13.4%19.0%21.1%-0.9%2.1%431.1K-4.4M-58.1K1.5427.95N/AN/A2413726,1982,970
2013-03-28$40.90$45.0021.2%6.1%29.5%19.3%20.8%-5.1%0.3%-9.1K4.4M-45.7K0.5626.52N/AN/A5493076,2893,305