CORN Options History — December 2013

In December 2013, CORN traded between $30.58 and $31.98. ATM implied volatility averaged 19.7%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.4% (HV 20d: 15.3%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 3.63.

Notable Days

  • 2013-12-27: Highest Volume — 1,663 contracts
  • 2013-12-27: Largest IV spike — 8.8% change
  • 2013-12-30: Highest IV Rank — 37.4%
  • 2013-12-30: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.31$30.58$31.98$31.00$30.58
Max Pain$33.00$33.00$33.00$33.00$33.00
ATM IV19.7%17.8%22.3%19.4%22.1%
Expected Move5.7%5.3%6.4%5.6%6.3%
HV 20d15.3%13.7%18.0%16.6%14.0%
HV 60d14.9%14.5%15.3%14.7%14.6%
IV Rank25.1%16.3%37.4%24.0%36.1%
IV Percentile22.2%5.2%43.7%21.4%42.9%
Term Structure0.2%-1.6%1.9%-0.0%-0.8%
VWIV19.6%15.5%22.7%18.2%22.7%
Skew 25d0.1%-2.9%4.0%0.6%-1.2%
Skew 10d0.6%-10.5%7.1%2.4%2.0%
Call IV 25d20.1%16.0%24.1%20.1%24.1%
Put IV 25d20.1%17.2%23.0%20.7%23.0%
Bid-Ask Spread %21.0514.9830.3115.7121.03
Gamma HHI0.190.140.300.160.28
Net GEX-39.6K-277.1K103.5K-115.7K-277.1K
Net DEX4.6M2.3M6.8M6.1M6.3M
Net VEX-43.7K-48.0K-40.3K-42.2K-43.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.630.0560.592.483.09
Total Volume326.81431,663526773
Total OI13,549.1911,73214,58913,19613,477

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$31.00$33.0019.4%5.6%16.6%24.0%18.2%0.6%-0.0%-115.7K6.1M-42.2K2.4815.71N/AN/A1513757,9775,219
2013-12-03$31.42$33.0019.9%5.7%17.5%26.0%19.8%4.0%-0.5%-71.4K5.1M-46.1K0.2416.81N/AN/A194467,9725,388
2013-12-04$31.76$33.0019.3%5.5%18.0%23.2%18.9%-1.6%1.2%3.1K3.7M-48.0K1.1214.98N/AN/A1802028,1435,411
2013-12-05$31.65$33.0018.5%5.3%17.5%19.6%18.0%-2.2%1.3%-39.2K4.2M-47.9K0.2317.83N/AN/A86208,2535,559
2013-12-06$31.68$33.0018.2%5.7%17.5%18.3%19.3%1.4%0.1%-39.7K4.3M-47.1K0.0722.00N/AN/A7258,3035,564
2013-12-09$31.96$33.0018.2%5.7%16.7%18.2%18.4%1.2%-0.4%-8.6K3.5M-46.5K0.3521.94N/AN/A165578,3395,565
2013-12-10$31.78$33.0017.8%5.6%15.1%16.3%19.4%2.0%-0.9%-36.4K4.1M-45.4K0.9024.14N/AN/A100908,4245,607
2013-12-11$31.98$33.0018.2%5.5%15.1%18.2%18.2%1.4%0.2%743.5M-45.7K2.5518.08N/AN/A421078,3925,599
2013-12-12$31.61$33.0019.6%5.6%15.4%24.6%19.8%0.4%-0.3%-66.9K4.8M-43.9K0.1619.28N/AN/A197328,4115,590
2013-12-13$30.99$33.0019.3%5.5%16.4%23.4%19.3%-0.6%1.2%-145.9K6.3M-41.9K0.6417.50N/AN/A80518,5115,587
2013-12-16$30.79$33.0020.4%5.9%15.9%28.7%20.3%-0.2%0.3%-152.5K6.8M-40.3K1.1616.69N/AN/A2452838,5565,582
2013-12-17$31.05$33.0020.1%5.8%14.2%27.0%20.0%1.1%0.1%-36.3K5.8M-41.2K0.2117.37N/AN/A105228,7895,637
2013-12-18$31.00$33.0021.1%6.0%13.7%31.7%21.3%-1.9%-0.5%-33.8K5.8M-41.2K0.0522.64N/AN/A228118,8645,648
2013-12-19$31.27$33.0020.1%5.8%14.0%27.2%20.3%0.2%0.0%57.5K4.7M-42.8K0.1023.83N/AN/A5968,9525,602
2013-12-20$31.44$33.0019.5%5.6%13.7%24.4%19.7%1.7%0.8%65.3K4.1M-42.8K0.1620.12N/AN/A283458,9885,601
2013-12-23$31.43$33.0018.6%5.3%13.7%20.0%19.6%0.9%1.9%84.2K2.4M-42.9K0.1021.67N/AN/A124137,4984,234
2013-12-24$31.49$33.0019.0%5.5%13.7%22.1%15.5%-0.2%1.7%103.5K2.3M-42.1K0.1025.16N/AN/A3947,6024,246
2013-12-26$31.05$33.0020.0%5.7%13.9%26.7%19.3%-0.6%0.8%60.2K3.1M-40.8K0.2027.90N/AN/A323657,6264,243
2013-12-27$30.95$33.0021.8%6.2%13.8%34.9%22.7%-1.7%-0.4%85.2K3.0M-41.7K60.5930.31N/AN/A271,6367,7954,306
2013-12-30$30.71$33.0022.3%6.4%14.0%37.4%21.8%-2.9%-1.6%-267.6K5.9M-44.5K1.7127.02N/AN/A1182027,8045,669
2013-12-31$30.58$33.0022.1%6.3%14.0%36.1%22.7%-1.2%-0.8%-277.1K6.3M-43.3K3.0921.03N/AN/A1895847,7965,681