CORN Options History — October 2013

In October 2013, CORN traded between $32.34 and $33.96. ATM implied volatility averaged 21.4%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 6.5% (HV 20d: 14.9%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 2.40.

Notable Days

  • 2013-10-10: Highest Volume — 3,378 contracts
  • 2013-10-28: Largest IV spike — 10.0% change
  • 2013-10-28: Highest IV Rank — 43.1%
  • 2013-10-28: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.23$32.34$33.96$33.37$32.34
Max Pain$35.17$35.00$36.00$36.00$35.00
ATM IV21.4%19.0%23.6%22.5%23.3%
Expected Move6.2%5.8%6.8%6.4%6.7%
HV 20d14.9%13.9%15.9%15.7%14.1%
HV 60d25.9%25.5%27.6%27.6%25.6%
IV Rank32.9%21.9%43.1%38.1%41.6%
IV Percentile35.6%17.9%55.6%40.9%51.6%
Term Structure-0.7%-2.2%0.6%-0.6%-1.3%
VWIV21.5%19.9%23.6%22.5%23.3%
Skew 25d0.4%-1.1%1.8%-1.1%0.5%
Skew 10d-1.0%-7.5%6.1%-7.1%-7.5%
Call IV 25d21.8%20.3%23.7%23.4%23.6%
Put IV 25d22.1%20.9%24.6%22.3%24.1%
Bid-Ask Spread %12.619.6416.1413.929.64
Gamma HHI0.320.120.670.270.14
Net GEX-456.8K-1.4M82.7K-363.6K-104.8K
Net DEX5.9M2.4M11.3M7.2M5.7M
Net VEX-59.3K-63.6K-53.0K-62.8K-54.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.400.1030.870.813.87
Total Volume420.1741003,378392292
Total OI16,664.47813,86319,23016,66515,265

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$33.37$36.0022.5%6.4%15.7%38.1%22.5%-1.1%-0.6%-363.6K7.2M-62.8K0.8113.92N/AN/A2161769,2317,434
2013-10-02$33.37$36.0022.2%6.4%15.5%36.9%20.1%0.5%0.0%-381.6K7.3M-62.9K0.6614.70N/AN/A94629,4127,500
2013-10-03$33.33$36.0021.0%6.0%14.7%31.3%21.5%-0.6%-0.2%-366.9K6.9M-63.2K0.5815.47N/AN/A136799,4847,507
2013-10-04$33.62$36.0019.1%6.0%14.6%22.7%20.9%1.6%-0.3%-364.6K6.1M-63.0K0.5012.21N/AN/A2181089,5977,538
2013-10-07$33.96$35.0019.3%6.0%15.1%23.2%22.1%1.1%-0.6%-272.8K4.7M-63.3K0.5811.67N/AN/A2981749,7267,603
2013-10-08$33.46$35.0019.4%6.2%15.1%23.8%20.5%-0.5%-0.5%-445.3K6.5M-63.6K2.2516.14N/AN/A751699,8557,764
2013-10-09$33.63$35.0019.0%5.9%15.0%21.9%21.1%-0.4%0.5%-400.2K5.7M-63.2K0.1915.08N/AN/A148289,9147,700
2013-10-10$33.27$35.0020.3%5.8%14.6%28.2%21.1%-0.1%0.6%-516.3K7.3M-61.5K30.8713.73N/AN/A1063,2729,9697,709
2013-10-11$32.90$35.0021.1%6.0%14.7%31.7%20.9%0.5%-0.2%-1.2M11.3M-61.1K0.9611.04N/AN/A1781709,9709,025
2013-10-14$33.07$35.0021.7%6.2%14.9%34.6%21.4%1.0%-0.6%-1.3M10.0M-60.6K0.1514.44N/AN/A871310,0359,056
2013-10-15$33.52$35.0021.4%6.2%15.9%33.3%21.4%-0.1%-0.7%-1.4M6.8M-60.4K0.3110.80N/AN/A1935910,0469,054
2013-10-16$33.38$35.0021.3%6.1%15.7%32.8%20.9%0.6%-1.0%-1.4M7.3M-60.4K1.0811.00N/AN/A11612510,1439,087
2013-10-17$33.18$35.0020.7%5.9%15.4%29.7%19.9%1.7%0.4%-857.4K8.3M-60.6K3.3910.72N/AN/A3612210,1869,042
2013-10-18$33.43$35.0021.0%6.0%14.6%31.3%20.8%0.2%-0.7%-1.4M5.9M-57.3K1.1414.35N/AN/A21024010,2068,986
2013-10-21$33.55$35.0020.1%5.8%14.6%27.2%20.5%1.0%-0.3%26.5K2.7M-56.7K0.1013.07N/AN/A348368,1645,699
2013-10-22$33.17$35.0022.0%6.3%14.9%35.8%21.8%-0.9%-1.5%45.1K3.2M-56.2K0.2410.82N/AN/A119298,4645,709
2013-10-23$33.44$35.0022.1%6.3%15.2%36.4%21.8%0.3%-1.7%82.7K2.4M-57.6K0.7810.61N/AN/A104818,5045,732
2013-10-24$33.33$35.0021.9%6.3%14.9%35.3%22.2%-0.1%-1.6%75.9K2.9M-56.0K0.1413.46N/AN/A91138,5935,723
2013-10-25$33.21$35.0021.4%6.1%14.8%33.2%22.0%-0.2%-1.2%76.7K3.0M-56.1K0.1811.54N/AN/A173328,6655,731
2013-10-28$32.67$35.0023.6%6.8%14.0%43.1%23.6%1.0%-2.2%-22.9K4.6M-53.0K1.9412.16N/AN/A2184228,6565,760
2013-10-29$32.68$35.0023.6%6.8%13.9%43.1%21.9%0.8%-1.3%-15.0K4.7M-54.7K2.9710.17N/AN/A972888,8205,955
2013-10-30$32.49$35.0023.3%6.7%14.0%42.0%22.2%1.8%-1.8%-72.6K5.3M-55.2K1.6113.37N/AN/A1582558,8676,197
2013-10-31$32.34$35.0023.3%6.7%14.1%41.6%23.3%0.5%-1.3%-104.8K5.7M-54.1K3.879.64N/AN/A602328,9246,341