CORN Options History — May 2013

In May 2013, CORN traded between $39.27 and $42.47. ATM implied volatility averaged 26.3%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 5.9% (HV 20d: 32.2%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.84.

Notable Days

  • 2013-05-09: Highest Volume — 2,371 contracts
  • 2013-05-16: Largest IV spike — 9.7% change
  • 2013-05-17: Highest IV Rank — 37.0%
  • 2013-05-17: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.71$39.27$42.47$41.10$42.47
Max Pain$40.82$40.00$43.00$43.00$41.00
ATM IV26.3%24.2%27.6%26.8%26.5%
Expected Move7.6%7.2%7.9%7.7%7.6%
HV 20d32.2%25.1%35.3%31.9%25.1%
HV 60d27.7%26.0%29.0%26.0%28.6%
IV Rank33.4%27.5%37.0%34.9%34.1%
IV Percentile63.8%52.8%72.2%68.3%64.3%
Term Structure2.5%-0.1%3.8%-0.1%3.2%
VWIV26.7%25.1%28.6%26.2%25.4%
Skew 25d0.1%-0.9%1.1%1.1%0.8%
Skew 10d3.1%-1.9%10.7%7.6%4.0%
Call IV 25d26.9%25.7%28.1%26.9%26.1%
Put IV 25d27.0%25.2%28.1%28.1%26.9%
Bid-Ask Spread %24.9311.9733.3211.9720.66
Gamma HHI0.110.080.180.080.10
Net GEX40.8K-413.6K452.6K52.9K452.6K
Net DEX-1.0M-9.6M4.9M42.1K-9.6M
Net VEX-63.5K-69.2K-56.1K-56.1K-69.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.0710.390.482.22
Total Volume563.0451402,371909518
Total OI12,950.36410,72215,63711,15212,564

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$41.10$43.0026.8%7.7%31.9%34.9%26.2%1.1%-0.1%52.9K42.1K-56.1K0.4811.97N/AN/A6142956,4794,673
2013-05-02$41.86$43.0026.7%7.7%32.2%34.6%26.6%0.1%-0.0%183.8K-2.5M-61.5K0.4813.09N/AN/A183887,0184,954
2013-05-03$41.62$43.0025.4%7.3%32.2%31.0%26.9%-0.2%1.4%154.2K-2.1M-61.2K1.4712.71N/AN/A4436497,0954,944
2013-05-06$40.18$40.0027.0%7.8%34.8%35.5%27.3%-0.5%3.7%-86.2K2.2M-59.0K0.6728.41N/AN/A3082067,4295,348
2013-05-07$40.29$40.0025.8%7.9%34.5%32.0%27.4%-0.2%3.3%-86.6K1.7M-60.3K0.1632.57N/AN/A177287,6545,480
2013-05-08$39.86$40.0025.9%7.7%34.5%32.4%27.4%-0.2%3.2%-149.2K3.1M-58.0K0.4925.07N/AN/A136667,7655,476
2013-05-09$40.55$40.0025.2%7.3%35.1%30.4%25.4%-0.2%3.5%-36.3K867.2K-59.5K0.7331.69N/AN/A1,3739987,8715,517
2013-05-10$39.78$40.0024.4%7.2%35.3%28.3%25.1%-0.6%3.8%-200.1K3.3M-67.1K4.0523.57N/AN/A913698,9686,289
2013-05-13$40.82$41.0025.2%7.6%34.3%30.4%26.8%1.0%2.8%-64.8K-755.8K-68.6K1.0233.32N/AN/A2802868,9886,473
2013-05-14$40.81$41.0025.9%7.7%33.6%32.3%26.7%0.9%2.0%-155.7K-280.0K-66.7K10.3930.42N/AN/A383958,8766,596
2013-05-15$40.34$41.0024.2%7.7%33.8%27.5%27.1%0.1%2.2%-272.2K1.8M-66.3K1.0431.10N/AN/A1121168,8866,715
2013-05-16$39.73$41.0026.5%7.6%34.1%34.1%26.7%0.0%3.2%-413.6K4.3M-63.4K2.9530.29N/AN/A611808,9016,719
2013-05-17$39.59$41.0027.6%7.9%34.0%37.0%27.5%0.7%1.4%-281.4K4.9M-61.8K1.7731.92N/AN/A2233958,9576,680
2013-05-20$39.55$41.0027.2%7.8%33.2%35.9%26.8%-0.4%1.7%124.2K-122.5K-60.8K4.7627.16N/AN/A1034906,3494,373
2013-05-21$39.27$40.0026.9%7.7%32.3%35.3%26.5%-0.1%2.5%74.2K957.4K-61.2K1.0126.21N/AN/A1691716,4134,696
2013-05-22$40.20$40.0026.5%7.6%33.2%33.9%26.7%-0.5%3.2%152.1K-1.6M-64.0K0.4427.22N/AN/A176786,4634,739
2013-05-23$40.54$40.0027.0%7.7%33.2%35.4%25.7%0.7%1.9%191.5K-2.7M-65.1K0.9424.42N/AN/A1571476,5404,803
2013-05-24$40.62$40.0026.7%7.6%33.0%34.5%27.0%0.4%2.0%193.3K-2.9M-66.1K4.1921.37N/AN/A271136,6104,906
2013-05-28$41.68$40.0026.9%7.7%25.6%35.1%27.0%-0.5%2.8%289.0K-6.2M-65.7K0.8021.54N/AN/A4513596,6124,988
2013-05-29$42.44$41.0026.9%7.7%26.2%35.2%26.2%0.1%3.2%378.5K-8.7M-66.4K0.3719.23N/AN/A5281936,7635,144
2013-05-30$42.37$41.0026.7%7.6%25.9%34.5%28.6%-0.9%3.4%396.3K-8.7M-68.4K0.0724.60N/AN/A557406,9805,214
2013-05-31$42.47$41.0026.5%7.6%25.1%34.1%25.4%0.8%3.2%452.6K-9.6M-69.2K2.2220.66N/AN/A1613577,3335,231