CORN Options History — September 2013

In September 2013, CORN traded between $33.57 and $36.04. ATM implied volatility averaged 26.3%, placing in the 55.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 3.9% (HV 20d: 30.2%). Max pain ranged from $36.00 to $36.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2013-09-12: Highest Volume — 1,923 contracts
  • 2013-09-30: Largest IV spike — 9.4% change
  • 2013-09-03: Highest IV Rank — 87.8%
  • 2013-09-03: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.83$33.57$36.04$36.04$33.57
Max Pain$36.00$36.00$36.00$36.00$36.00
ATM IV26.3%21.8%33.2%33.2%23.8%
Expected Move7.5%6.2%9.5%9.5%6.8%
HV 20d30.2%14.8%40.3%39.5%16.0%
HV 60d29.0%27.5%30.1%30.1%27.7%
IV Rank55.9%34.7%87.8%87.8%44.2%
IV Percentile66.0%34.5%96.8%96.8%51.6%
Term Structure-1.7%-3.5%0.0%-3.5%-1.3%
VWIV26.1%20.8%33.4%33.4%23.2%
Skew 25d0.3%-0.6%1.7%-0.0%0.0%
Skew 10d-1.9%-8.8%10.7%-0.6%-5.6%
Call IV 25d26.1%21.4%34.6%34.6%23.0%
Put IV 25d26.4%21.5%34.6%34.6%23.0%
Bid-Ask Spread %20.5514.0130.1617.2514.01
Gamma HHI0.150.100.260.110.26
Net GEX-10.1K-403.6K333.8K296.5K-325.3K
Net DEX3.6M-1.8M9.5M-1.8M6.4M
Net VEX-60.2K-68.3K-53.0K-64.3K-63.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.165.320.520.33
Total Volume646.051531,9231,002471
Total OI17,898.714,71021,36816,79116,341

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$36.04$36.0033.2%9.5%39.5%87.8%33.4%-0.0%-3.5%296.5K-1.8M-64.3K0.5217.25N/AN/A6593439,5867,205
2013-09-04$35.63$36.0031.5%9.0%39.8%79.8%32.2%-0.1%-2.6%261.9K5.5K-64.9K0.3114.18N/AN/A50415710,0467,415
2013-09-05$35.05$36.0031.5%9.0%40.2%79.9%31.1%1.5%-3.1%92.0K3.3M-60.9K0.4715.59N/AN/A4982329,9617,502
2013-09-06$35.40$36.0030.6%8.0%40.3%75.4%28.4%0.1%-2.0%194.7K1.3M-64.3K0.9230.16N/AN/A27024910,2537,641
2013-09-09$35.16$36.0029.9%8.2%39.9%72.5%28.8%0.1%-2.6%130.3K2.5M-61.5K0.7127.10N/AN/A16011310,3637,670
2013-09-10$35.54$36.0029.5%8.0%39.0%70.7%27.4%-0.3%-1.9%247.2K455.1K-62.1K0.2530.01N/AN/A1754310,4757,663
2013-09-11$35.76$36.0028.7%8.0%36.5%66.9%27.9%0.1%-2.4%333.8K-745.6K-61.2K5.3221.48N/AN/A11460710,5307,684
2013-09-12$35.24$36.0026.5%7.6%36.6%56.8%27.5%-0.6%-1.4%118.7K3.1M-58.3K0.1622.88N/AN/A1,65726610,5738,015
2013-09-13$34.90$36.0025.9%7.4%34.5%53.7%26.7%0.3%-1.6%6.5K4.4M-60.3K0.3221.41N/AN/A38012111,4428,089
2013-09-16$34.64$36.0026.6%7.6%33.9%57.2%26.8%0.2%-2.5%-43.8K5.7M-57.2K0.3524.49N/AN/A2789611,6458,080
2013-09-17$34.47$36.0025.9%7.4%30.5%53.9%25.8%0.8%-2.2%-130.5K6.9M-54.9K0.2223.17N/AN/A3327311,7358,160
2013-09-18$34.65$36.0025.0%7.2%30.2%49.8%25.0%0.7%-2.1%-81.3K6.4M-53.5K0.6421.14N/AN/A24015411,8368,166
2013-09-19$34.91$36.0023.0%6.6%29.9%40.3%24.0%0.2%-0.9%2.4K5.5M-53.0K3.6521.12N/AN/A3241,18411,9618,121
2013-09-20$34.27$36.0022.6%6.5%28.2%38.7%23.0%0.2%-1.0%-403.6K9.5M-53.6K0.6824.52N/AN/A31121012,1439,225
2013-09-23$34.31$36.0022.8%6.5%28.0%39.5%23.0%-0.2%-0.9%-183.5K3.8M-53.4K0.4115.50N/AN/A3531448,0876,623
2013-09-24$34.07$36.0023.1%6.6%16.8%40.9%22.7%0.1%-1.0%-220.7K4.6M-53.3K1.0514.93N/AN/A7547958,3506,714
2013-09-25$34.23$36.0022.0%6.3%14.8%35.8%20.8%-0.2%-0.4%-181.5K3.9M-67.9K0.3416.32N/AN/A166578,8387,271
2013-09-26$34.47$36.0022.6%6.5%15.0%38.6%22.3%1.4%-1.0%-136.1K3.1M-68.3K1.4315.98N/AN/A63908,9217,308
2013-09-27$34.30$36.0021.8%6.2%14.8%34.7%22.7%1.7%0.0%-180.1K3.6M-68.0K1.0719.66N/AN/A1341448,9637,373
2013-09-30$33.57$36.0023.8%6.8%16.0%44.2%23.2%0.0%-1.3%-325.3K6.4M-63.7K0.3314.01N/AN/A3541178,9687,373