CORN Options History — January 2014

In January 2014, CORN traded between $29.94 and $31.36. ATM implied volatility averaged 18.9%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.6% (HV 20d: 18.3%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2014-01-10: Highest Volume — 2,151 contracts
  • 2014-01-31: Largest IV spike — 34.8% change
  • 2014-01-09: Highest IV Rank — 45.7%
  • 2014-01-02: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.76$29.94$31.36$30.53$30.90
Max Pain$32.10$32.00$33.00$33.00$32.00
ATM IV18.9%12.2%24.1%22.4%16.5%
Expected Move5.2%3.5%6.4%6.4%4.7%
HV 20d18.3%12.7%21.4%13.0%19.7%
HV 60d16.2%14.3%17.1%14.4%16.7%
IV Rank22.6%0.0%45.7%37.5%18.0%
IV Percentile21.6%0.0%57.9%44.4%2.4%
Term Structure1.7%-1.4%7.1%-1.4%-0.1%
VWIV18.2%14.1%22.4%22.2%16.0%
Skew 25d7.1%-1.5%39.9%-0.3%0.2%
Skew 10d35.5%-6.4%85.7%-6.4%20.6%
Call IV 25d18.2%14.5%23.6%23.0%16.0%
Put IV 25d25.3%14.8%61.3%22.7%16.2%
Bid-Ask Spread %19.7915.4229.4222.9319.84
Gamma HHI0.260.170.510.290.24
Net GEX-201.7K-799.0K281.6K-403.1K281.6K
Net DEX3.0M-1.3M9.4M7.2M-1.3M
Net VEX-43.7K-47.5K-39.6K-42.3K-45.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.033.380.660.23
Total Volume469.143822,151326222
Total OI13,118.2868,38917,03914,08310,863

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$30.53$33.0022.4%6.4%13.0%37.5%22.2%-0.3%-1.4%-403.1K7.2M-42.3K0.6622.93N/AN/A1961307,9066,177
2014-01-03$30.76$33.0021.3%6.1%12.7%32.6%22.4%-1.0%-1.4%-448.3K6.7M-42.9K0.5318.87N/AN/A2161158,0496,262
2014-01-06$31.14$32.0021.0%5.8%13.6%31.1%20.2%6.4%1.4%-421.3K5.0M-43.4K0.6129.42N/AN/A2191338,2216,333
2014-01-07$30.89$32.0021.4%5.9%13.8%33.3%20.1%14.3%0.6%-431.8K5.6M-44.9K0.5028.29N/AN/A175878,4276,406
2014-01-08$30.21$32.0023.5%5.7%15.1%42.8%20.1%39.9%1.7%-476.6K8.3M-41.7K0.8019.02N/AN/A2742188,4876,412
2014-01-09$29.94$32.0024.1%5.9%15.2%45.7%20.3%-1.5%0.8%-461.7K9.4M-40.0K0.5116.03N/AN/A5832978,6246,460
2014-01-10$31.16$32.0022.0%5.9%21.4%35.9%19.6%0.3%-0.4%-325.6K3.7M-45.3K0.8322.74N/AN/A1,1749778,9256,554
2014-01-13$31.36$32.0022.9%5.3%21.2%40.0%19.0%0.6%2.3%-314.5K2.0M-43.8K0.1221.47N/AN/A757939,3707,040
2014-01-14$31.24$32.0021.9%5.3%20.0%35.3%19.1%4.0%1.4%-363.8K2.0M-45.0K0.1717.25N/AN/A82149,8587,070
2014-01-15$30.80$32.0020.0%5.3%20.5%26.8%18.0%0.7%1.6%-646.4K4.4M-43.7K0.1120.04N/AN/A105129,8056,938
2014-01-16$30.79$32.0018.8%5.4%20.3%21.0%18.7%17.1%1.7%-799.0K5.0M-42.8K3.3820.54N/AN/A1043529,8206,945
2014-01-17$30.63$32.0017.3%5.0%20.3%14.1%17.4%20.1%2.9%-622.9K6.2M-41.1K0.3217.02N/AN/A78259,8677,172
2014-01-21$30.52$32.0017.6%5.1%20.1%15.7%17.5%7.3%2.5%83.5K771.4K-39.6K0.0415.70N/AN/A16065,2523,137
2014-01-22$30.58$32.0016.5%4.7%19.9%10.5%15.1%15.6%1.6%96.9K569.0K-40.0K0.7118.09N/AN/A8956395,4023,141
2014-01-23$30.60$32.0016.8%4.8%20.0%11.9%15.4%2.0%0.7%143.1K-342.8K-47.5K0.0516.31N/AN/A7846,2513,740
2014-01-24$30.76$32.0016.2%4.6%20.1%8.9%16.0%17.6%1.3%142.5K-390.3K-46.5K1.1018.99N/AN/A1031136,2943,736
2014-01-27$30.91$32.0014.1%4.0%19.6%0.0%14.1%1.7%6.4%172.8K-748.6K-45.9K0.3217.82N/AN/A223726,3853,712
2014-01-28$30.84$32.0015.7%4.5%19.5%7.4%17.3%-0.3%2.4%194.7K-761.6K-45.7K0.2115.42N/AN/A113246,3893,673
2014-01-29$30.60$32.0015.4%4.4%19.6%6.2%16.3%5.0%1.6%159.9K-113.1K-44.6K0.0621.24N/AN/A10566,4923,667
2014-01-30$30.83$32.0012.2%3.5%19.7%0.0%16.5%-1.0%7.1%203.6K-937.5K-45.7K0.0318.61N/AN/A656176,5533,669
2014-01-31$30.90$32.0016.5%4.7%19.7%18.0%16.0%0.2%-0.1%281.6K-1.3M-45.8K0.2319.84N/AN/A180427,1893,674