CORN Options History — April 2013

In April 2013, CORN traded between $38.91 and $41.84. ATM implied volatility averaged 22.4%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 8.0% (HV 20d: 30.4%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.61.

Notable Days

  • 2013-04-01: Highest Volume — 1,924 contracts
  • 2013-04-11: Largest IV spike — 13.0% change
  • 2013-04-30: Highest IV Rank — 30.3%
  • 2013-04-30: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.23$38.91$41.84$40.20$41.49
Max Pain$43.23$43.00$45.00$45.00$43.00
ATM IV22.4%19.4%25.1%21.8%25.1%
Expected Move6.5%5.7%7.2%6.2%7.2%
HV 20d30.4%22.2%33.5%30.0%31.6%
HV 60d21.4%19.8%25.9%20.2%25.9%
IV Rank22.8%14.3%30.3%21.0%30.3%
IV Percentile40.0%19.8%59.1%31.7%59.1%
Term Structure2.2%-0.5%4.0%-0.5%0.4%
VWIV23.0%20.3%25.0%20.4%25.0%
Skew 25d0.2%-1.5%1.5%0.1%1.5%
Skew 10d1.6%-11.3%14.0%7.0%-0.5%
Call IV 25d23.1%20.1%25.1%21.6%24.9%
Put IV 25d23.4%19.8%26.4%21.8%26.4%
Bid-Ask Spread %17.0112.1321.5721.2613.42
Gamma HHI0.110.090.130.110.09
Net GEX-78.6K-212.7K140.9K-38.0K105.6K
Net DEX4.4M-1.6M6.8M5.6M-891.2K
Net VEX-43.4K-51.9K-38.0K-40.6K-51.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.065.250.683.47
Total Volume463.182441,9241,9241,398
Total OI10,506.8648,78612,1239,7659,946

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$40.20$45.0021.8%6.2%30.0%21.0%20.4%0.1%-0.5%-38.0K5.6M-40.6K0.6821.26N/AN/A1,1477776,4623,303
2013-04-02$40.19$44.0020.6%5.9%29.8%17.7%20.5%-1.1%1.8%-52.7K5.6M-43.1K4.5321.57N/AN/A904086,7233,662
2013-04-03$40.32$44.0020.0%5.7%29.7%15.9%20.3%0.3%2.1%-101.4K5.7M-43.9K2.4819.62N/AN/A2085156,7113,880
2013-04-04$39.92$44.0020.9%6.0%29.1%18.5%20.7%-1.5%1.9%-119.2K6.3M-42.8K1.6620.47N/AN/A1672776,7343,954
2013-04-05$39.82$43.0020.3%6.4%29.0%16.7%22.5%-0.2%3.0%-135.5K6.5M-43.0K0.8814.74N/AN/A1201056,8473,992
2013-04-08$39.67$43.0021.4%6.3%28.7%19.8%22.2%0.1%3.6%-139.0K6.8M-41.0K0.7213.79N/AN/A79576,9483,989
2013-04-09$40.25$43.0021.6%6.5%28.8%20.4%22.7%0.2%2.9%-110.6K5.7M-43.4K2.2412.94N/AN/A1623636,9973,991
2013-04-10$40.58$43.0019.4%6.3%28.8%14.3%21.9%0.4%3.5%-94.3K4.9M-43.8K2.0018.61N/AN/A1963927,0793,974
2013-04-11$40.63$43.0021.9%6.3%28.8%21.2%22.2%-1.1%3.4%-128.7K4.7M-44.9K5.2520.69N/AN/A281477,1114,163
2013-04-12$41.19$43.0021.8%6.2%29.1%20.9%22.2%-0.1%3.7%-85.2K3.6M-46.2K0.4419.24N/AN/A165737,1394,267
2013-04-15$39.76$43.0023.1%6.6%31.3%24.5%24.8%0.6%3.2%-212.7K6.8M-41.2K0.3417.41N/AN/A3301117,2134,298
2013-04-16$40.56$43.0022.8%6.5%32.3%23.7%23.2%0.2%2.3%-110.9K4.9M-44.3K0.9319.83N/AN/A76717,4534,298
2013-04-17$40.77$43.0023.3%6.7%32.4%25.2%24.3%0.7%4.0%-40.6K3.9M-45.2K3.0118.69N/AN/A1213647,5114,235
2013-04-18$40.43$43.0023.9%6.9%32.1%26.9%24.0%1.4%2.6%-131.0K5.1M-45.1K0.8614.84N/AN/A72627,5664,502
2013-04-19$40.62$43.0023.1%6.6%32.1%24.7%23.8%0.5%3.3%-40.4K4.3M-46.3K2.1714.47N/AN/A41897,6274,496
2013-04-22$39.78$43.0023.4%6.7%32.6%25.5%24.0%0.6%0.6%-70.3K3.0M-41.8K1.8517.49N/AN/A1041925,6223,164
2013-04-23$38.91$43.0023.3%6.7%32.8%25.1%23.6%-0.4%1.0%-118.2K4.5M-38.0K0.1417.68N/AN/A146205,7063,214
2013-04-24$39.34$43.0024.1%6.9%33.3%27.4%24.0%1.4%1.0%-85.6K3.7M-40.2K0.9216.99N/AN/A76705,7913,206
2013-04-25$39.58$43.0023.9%6.9%33.5%26.9%24.7%0.4%1.4%-69.0K3.3M-41.3K0.1612.13N/AN/A3865,8653,242
2013-04-26$39.27$43.0024.0%6.9%22.2%27.0%24.0%-0.1%1.5%-91.6K3.8M-39.9K0.0615.66N/AN/A9365,8963,242
2013-04-29$41.84$43.0024.2%6.9%31.4%27.5%24.6%1.5%1.4%140.9K-1.6M-46.9K0.5612.78N/AN/A7864425,8843,248
2013-04-30$41.49$43.0025.1%7.2%31.6%30.3%25.0%1.5%0.4%105.6K-891.2K-51.9K3.4713.42N/AN/A3131,0856,3353,611