CORN Options History — June 2013

In June 2013, CORN traded between $38.67 and $42.80. ATM implied volatility averaged 30.0%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 6.3% (HV 20d: 23.8%). Max pain ranged from $41.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2013-06-28: Highest Volume — 3,801 contracts
  • 2013-06-28: Largest IV drop — 23.8% change
  • 2013-06-25: Highest IV Rank — 60.1%
  • 2013-06-25: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.20$38.67$42.80$42.09$38.67
Max Pain$41.00$41.00$41.00$41.00$41.00
ATM IV30.0%24.7%35.9%27.7%26.7%
Expected Move8.9%7.6%10.3%7.9%7.7%
HV 20d23.8%21.8%27.7%25.3%27.7%
HV 60d29.0%26.8%30.6%28.7%28.4%
IV Rank43.9%29.0%60.1%37.4%34.6%
IV Percentile75.4%54.8%86.9%72.6%68.3%
Term Structure0.2%-2.6%4.5%2.6%1.3%
VWIV31.3%27.1%36.1%27.6%27.1%
Skew 25d-0.4%-1.6%0.9%-0.2%-0.8%
Skew 10d-1.1%-6.9%4.5%0.2%-6.3%
Call IV 25d31.7%26.8%36.3%27.8%27.7%
Put IV 25d31.3%26.9%35.6%27.6%26.9%
Bid-Ask Spread %27.9317.9737.5919.7018.93
Gamma HHI0.120.080.340.090.08
Net GEX419.7K66.4K1.1M368.9K66.4K
Net DEX-6.0M-14.1M3.3M-7.9M3.3M
Net VEX-66.7K-72.4K-55.6K-68.6K-55.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.133.030.150.60
Total Volume652.2953,8011,2223,801
Total OI13,818.2512,15015,78412,88613,108

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$42.09$41.0027.7%7.9%25.3%37.4%27.6%-0.2%2.6%368.9K-7.9M-68.6K0.1519.70N/AN/A1,0651577,3695,517
2013-06-04$41.74$41.0026.7%7.6%21.8%34.5%27.4%0.4%3.7%392.6K-7.6M-72.4K0.7717.97N/AN/A1311018,0545,645
2013-06-05$40.78$41.0026.9%7.7%23.5%35.0%27.4%0.1%4.5%256.5K-4.1M-70.9K0.8318.71N/AN/A1651378,0445,645
2013-06-06$41.50$41.0027.4%7.9%23.9%36.6%27.5%-0.6%2.5%369.6K-6.8M-70.6K0.9919.87N/AN/A1051048,1065,614
2013-06-07$42.00$41.0025.0%8.6%23.5%29.9%30.2%-0.7%0.4%503.2K-9.4M-70.4K3.0326.66N/AN/A912768,1475,624
2013-06-10$41.17$41.0024.7%9.0%23.6%29.0%32.0%-0.6%0.2%343.4K-5.9M-66.7K0.4434.72N/AN/A3441508,1795,658
2013-06-11$41.49$41.0025.4%8.9%22.0%31.0%31.1%-0.5%-0.3%448.2K-7.5M-68.1K0.1336.50N/AN/A104138,3755,668
2013-06-12$40.72$41.0026.3%8.9%23.0%33.4%32.1%-0.1%0.2%265.4K-4.1M-65.8K1.0537.11N/AN/A1791888,4065,662
2013-06-13$40.59$41.0031.1%8.9%22.7%46.9%31.2%-0.0%-0.3%243.3K-3.3M-65.0K0.3332.09N/AN/A272908,4245,731
2013-06-14$40.26$41.0031.0%8.9%22.2%46.5%31.1%0.7%0.1%167.6K-2.1M-64.1K1.3833.32N/AN/A40558,5585,768
2013-06-17$41.01$41.0030.7%8.8%23.0%45.8%30.9%-0.1%0.0%389.8K-5.4M-62.9K1.5129.94N/AN/A2413658,5615,793
2013-06-18$41.65$41.0030.9%8.9%23.4%46.3%31.0%0.9%-0.1%609.8K-8.5M-65.6K0.4637.59N/AN/A5572578,7196,090
2013-06-19$42.80$41.0031.8%9.1%24.7%48.6%31.1%-1.1%-0.2%800.7K-14.1M-66.6K0.6032.11N/AN/A8795278,7296,270
2013-06-20$42.09$41.0033.5%9.6%24.7%53.3%33.7%-1.0%-1.3%760.8K-11.1M-67.7K0.9228.34N/AN/A4103799,0076,456
2013-06-21$41.90$41.0033.9%9.7%24.7%54.5%34.1%-1.2%-0.9%1.1M-10.4M-68.9K0.7428.62N/AN/A1581179,2076,577
2013-06-24$41.16$41.0034.5%9.9%25.6%56.2%35.0%-1.6%-1.7%339.2K-4.5M-65.7K1.3027.95N/AN/A1291687,3444,806
2013-06-25$40.92$41.0035.9%10.3%23.9%60.1%36.1%-0.8%-2.3%321.6K-3.9M-65.7K0.8426.46N/AN/A1571327,4094,860
2013-06-26$40.91$41.0035.7%10.2%22.9%59.7%35.5%-0.2%-2.6%322.7K-3.8M-66.1K0.4230.54N/AN/A3131317,4634,965
2013-06-27$40.48$41.0035.1%10.1%23.1%57.8%34.7%-0.7%-1.1%297.1K-2.8M-67.6K0.5321.54N/AN/A3641927,7335,074
2013-06-28$38.67$41.0026.7%7.7%27.7%34.6%27.1%-0.8%1.3%66.4K3.3M-55.6K0.6018.93N/AN/A2,3731,4287,9295,179