CORN Options History — August 2013

In August 2013, CORN traded between $34.16 and $37.71. ATM implied volatility averaged 27.7%, placing in the 58.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 0.6% (HV 20d: 27.0%). Max pain ranged from $35.00 to $39.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2013-08-26: Highest Volume — 5,067 contracts
  • 2013-08-26: Largest IV spike — 18.0% change
  • 2013-08-28: Highest IV Rank — 85.2%
  • 2013-08-28: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.66$34.16$37.71$35.55$36.50
Max Pain$35.82$35.00$39.00$39.00$36.00
ATM IV27.7%23.4%32.7%24.6%31.9%
Expected Move7.8%6.7%9.4%7.0%9.2%
HV 20d27.0%13.8%40.2%23.5%39.3%
HV 60d26.5%23.2%30.7%24.6%30.2%
IV Rank58.1%33.3%85.2%37.4%81.8%
IV Percentile77.5%47.2%96.8%55.2%95.6%
Term Structure-0.7%-2.9%1.5%0.2%-2.5%
VWIV27.5%24.0%32.8%25.4%32.8%
Skew 25d-0.6%-2.4%0.8%-1.1%-1.1%
Skew 10d-2.9%-11.3%4.6%-7.9%0.9%
Call IV 25d27.9%24.1%33.1%25.5%33.0%
Put IV 25d27.3%23.0%33.3%24.5%31.8%
Bid-Ask Spread %18.8910.8133.9410.8117.26
Gamma HHI0.150.090.330.170.11
Net GEX98.5K-247.4K510.1K-204.7K333.7K
Net DEX4.1M-7.7M12.3M10.4M-3.8M
Net VEX-49.4K-67.7K-35.4K-38.2K-67.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.044.540.560.10
Total Volume1,205.52815,067925473
Total OI17,227.40910,73424,87817,77116,462

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$35.55$39.0024.6%7.0%23.5%37.4%25.4%-1.1%0.2%-204.7K10.4M-38.2K0.5610.81N/AN/A59333211,7426,029
2013-08-02$35.28$39.0023.4%6.7%23.0%33.3%24.9%-2.4%0.4%-234.7K11.0M-38.3K0.3113.84N/AN/A37811611,9706,199
2013-08-05$35.08$35.0025.6%6.9%22.5%41.1%24.0%0.0%0.9%-247.4K11.8M-35.4K1.1633.94N/AN/A31836912,3026,244
2013-08-06$35.12$35.0024.6%6.8%15.9%37.8%24.4%-1.4%1.5%-236.6K11.5M-36.7K0.6228.53N/AN/A37723412,5016,226
2013-08-07$34.92$35.0024.8%7.1%15.8%41.1%24.8%-1.0%0.4%-205.8K11.5M-37.8K0.3226.38N/AN/A33110712,8426,364
2013-08-08$35.07$35.0026.1%6.9%15.6%46.4%24.4%-0.7%0.5%-145.6K10.7M-38.7K0.9923.97N/AN/A31331013,1216,343
2013-08-09$34.50$35.0027.2%7.2%13.8%50.5%25.6%-0.8%-0.4%-137.9K11.7M-38.6K0.8221.17N/AN/A89773213,3786,478
2013-08-12$35.43$35.0027.4%7.5%17.8%51.4%26.1%0.6%-1.3%-41.2K9.0M-42.2K0.2415.41N/AN/A2,06049513,9176,974
2013-08-13$34.16$35.0026.9%7.5%20.4%49.2%25.9%-0.8%-1.8%23.9K12.3M-40.9K0.3613.95N/AN/A92733714,9467,277
2013-08-14$34.68$35.0026.7%7.3%21.5%57.5%25.7%-0.2%-0.1%302.1K9.6M-45.6K0.3120.67N/AN/A40612415,7077,433
2013-08-15$35.92$35.0027.9%8.0%25.7%63.0%28.0%-0.1%-2.3%438.2K2.4M-49.6K0.6915.85N/AN/A2,0921,44615,9417,414
2013-08-16$35.23$36.0027.2%7.8%26.3%59.8%27.3%-0.2%-1.6%510.1K6.5M-50.6K0.4316.95N/AN/A83735916,4948,384
2013-08-19$36.63$35.0026.9%7.7%30.3%58.6%27.4%0.8%0.8%214.0K-3.0M-52.7K0.4316.55N/AN/A7533246,0014,733
2013-08-20$36.03$36.0027.3%7.8%30.0%60.4%27.6%-1.4%-0.4%169.6K-1.5M-54.0K0.2918.88N/AN/A7232106,2254,973
2013-08-21$36.48$36.0027.5%7.9%30.1%61.3%27.1%-0.8%-1.0%261.5K-3.3M-55.2K4.5417.63N/AN/A1557036,5704,989
2013-08-22$35.27$36.0026.9%7.7%32.4%58.7%27.2%-1.1%0.2%113.9K850.9K-54.1K0.8820.91N/AN/A3633186,5845,386
2013-08-23$35.58$36.0026.6%7.6%32.5%57.2%26.9%-0.8%0.4%211.1K-729.5K-54.4K0.0415.01N/AN/A271106,8895,269
2013-08-26$37.71$36.0031.4%9.0%38.6%79.2%31.9%-0.3%-1.9%348.6K-7.7M-56.9K0.7814.55N/AN/A2,8522,2157,0205,270
2013-08-27$36.68$36.0032.6%9.4%40.1%85.0%32.8%0.5%-2.9%229.6K-4.0M-65.3K0.8515.59N/AN/A5534698,0496,818
2013-08-28$36.27$36.0032.7%9.4%40.2%85.2%32.8%-0.0%-2.6%198.2K-2.1M-66.7K0.1516.88N/AN/A7141058,3937,108
2013-08-29$36.38$36.0032.2%9.2%39.4%82.8%32.3%-0.2%-2.5%266.2K-2.9M-67.5K0.0920.77N/AN/A751698,8597,179
2013-08-30$36.50$36.0031.9%9.2%39.3%81.8%32.8%-1.1%-2.5%333.7K-3.8M-67.7K0.1017.26N/AN/A431429,2597,203