CORN Options History — November 2013

In November 2013, CORN traded between $30.81 and $32.82. ATM implied volatility averaged 21.5%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 6.7% (HV 20d: 14.9%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2013-11-08: Highest Volume — 5,345 contracts
  • 2013-11-14: Largest IV drop — 12.2% change
  • 2013-11-04: Highest IV Rank — 53.6%
  • 2013-11-01: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.66$30.81$32.82$32.15$31.03
Max Pain$33.10$33.00$35.00$35.00$33.00
ATM IV21.5%18.5%25.9%23.5%19.3%
Expected Move5.9%5.3%6.7%6.7%5.5%
HV 20d14.9%11.8%16.8%13.6%16.7%
HV 60d19.7%15.0%25.6%25.6%15.0%
IV Rank33.7%19.5%53.6%42.8%23.2%
IV Percentile36.7%13.9%67.9%54.0%18.3%
Term Structure0.1%-1.7%1.2%-1.7%0.1%
VWIV20.5%17.5%23.2%23.2%19.9%
Skew 25d0.1%-1.2%1.2%0.8%-0.1%
Skew 10d-1.6%-8.5%5.6%-5.5%-5.7%
Call IV 25d20.6%18.5%22.6%22.6%19.6%
Put IV 25d20.7%18.2%23.6%23.4%19.5%
Bid-Ask Spread %20.2511.6731.1211.6726.47
Gamma HHI0.220.140.590.140.16
Net GEX97.2K-384.3K1.5M-163.1K-100.8K
Net DEX4.9M-4.6M10.0M6.5M5.9M
Net VEX-51.2K-62.3K-42.9K-53.6K-43.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.052.842.840.05
Total Volume787.45425,34585242
Total OI16,553.412,31824,13615,48913,194

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$32.15$35.0023.5%6.7%13.6%42.8%23.2%0.8%-1.7%-163.1K6.5M-53.6K2.8411.67N/AN/A2226308,9286,561
2013-11-04$32.05$33.0025.9%6.3%12.8%53.6%22.4%0.3%-0.7%-283.1K7.3M-53.9K1.7827.61N/AN/A1202149,0057,019
2013-11-05$32.05$33.0025.2%6.2%12.0%50.6%21.8%0.0%-0.1%-354.7K7.6M-53.0K0.5231.12N/AN/A89469,0707,195
2013-11-06$31.68$33.0024.8%6.3%12.2%48.8%22.4%0.5%-0.6%-384.3K8.7M-50.8K2.4924.30N/AN/A1243099,1217,199
2013-11-07$31.66$33.0025.2%6.7%11.8%50.6%22.6%1.2%-1.3%-379.7K8.6M-50.4K0.8725.72N/AN/A1,4261,2449,1907,142
2013-11-08$32.21$33.0022.7%6.2%13.3%39.0%21.1%0.5%0.3%-142.3K4.8M-55.9K0.4828.64N/AN/A3,6191,72610,5568,323
2013-11-11$32.82$33.0024.8%6.1%14.9%48.6%21.7%0.4%-0.1%753.7K-4.6M-59.4K0.8215.82N/AN/A66154013,2289,028
2013-11-12$32.52$33.0022.9%5.9%14.3%40.1%20.6%-1.2%0.2%921.5K-2.8M-59.2K1.0716.58N/AN/A62667113,6229,286
2013-11-13$32.29$33.0023.4%6.0%14.4%42.5%21.0%-0.9%0.1%984.6K-277.0K-62.3K1.8511.88N/AN/A8415514,2249,912
2013-11-14$31.92$33.0020.6%5.9%14.7%29.3%20.2%0.7%0.0%1.5M3.4M-58.6K1.6116.18N/AN/A8413514,1199,722
2013-11-15$31.49$33.0020.0%5.7%14.8%26.6%19.8%-0.2%0.6%88.0K10.0M-52.7K1.8616.91N/AN/A21239414,1179,726
2013-11-18$30.81$33.0019.4%5.6%16.0%24.1%20.8%-1.2%1.2%-71.0K5.7M-46.0K1.1222.70N/AN/A2903247,4084,910
2013-11-19$31.15$33.0019.7%5.6%16.7%25.1%19.9%-0.0%0.4%-55.8K5.1M-48.0K1.9320.40N/AN/A1623137,4365,092
2013-11-20$31.04$33.0019.4%5.6%16.1%23.8%20.2%-1.0%0.7%-67.7K5.4M-46.9K1.0518.07N/AN/A1101167,5655,100
2013-11-21$31.32$33.0019.0%5.4%16.7%21.9%19.2%0.2%1.0%-55.6K5.1M-47.4K0.1822.65N/AN/A114207,5835,109
2013-11-22$31.38$33.0019.1%5.5%16.8%22.5%17.5%0.9%0.3%-41.0K4.8M-47.9K0.2314.73N/AN/A132317,6065,112
2013-11-25$31.42$33.0018.5%5.3%16.1%19.5%18.9%0.1%1.1%-31.2K4.7M-47.8K1.9116.98N/AN/A22427,7035,135
2013-11-26$31.03$33.0018.8%5.4%16.5%21.2%18.2%-0.3%0.2%-108.6K6.0M-42.9K0.2318.01N/AN/A375877,7085,147
2013-11-27$31.19$33.0018.7%5.4%16.7%20.7%18.6%0.8%0.1%-77.8K5.5M-44.2K0.3218.51N/AN/A180587,8065,161
2013-11-29$31.03$33.0019.3%5.5%16.7%23.2%19.9%-0.1%0.1%-100.8K5.9M-43.4K0.0526.47N/AN/A4027,9755,219