CORN Options History — February 2014

In February 2014, CORN traded between $31.03 and $32.48. ATM implied volatility averaged 17.6%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 4.5% (HV 20d: 13.1%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.18.

Notable Days

  • 2014-02-28: Highest Volume — 3,921 contracts
  • 2014-02-04: Largest IV spike — 17.2% change
  • 2014-02-11: Highest IV Rank — 28.6%
  • 2014-02-10: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.74$31.03$32.48$31.03$32.48
Max Pain$30.42$30.00$32.00$32.00$30.00
ATM IV17.6%15.3%19.0%15.3%18.8%
Expected Move5.1%4.4%5.5%4.4%5.4%
HV 20d13.1%9.0%19.9%19.5%14.5%
HV 60d15.8%15.0%16.9%16.7%16.2%
IV Rank22.7%13.0%28.6%13.0%27.7%
IV Percentile10.4%1.2%19.4%1.2%17.9%
Term Structure1.9%-0.7%3.7%0.8%2.3%
VWIV17.5%14.7%19.3%14.7%19.1%
Skew 25d-0.6%-5.0%3.4%1.5%-1.9%
Skew 10d-2.3%-8.7%17.9%17.9%-6.1%
Call IV 25d17.6%14.1%20.2%15.2%20.2%
Put IV 25d17.0%12.4%19.3%16.6%18.3%
Bid-Ask Spread %25.7816.5558.9819.5136.15
Gamma HHI0.350.260.550.260.27
Net GEX1.2M329.2K2.9M329.2K1.7M
Net DEX-11.3M-23.4M-2.0M-2.0M-23.4M
Net VEX-74.4K-108.9K-47.4K-47.4K-108.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.000.560.210.16
Total Volume1,354.2631773,9213223,921
Total OI16,09210,90021,54410,90020,653

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$31.03$32.0015.3%4.4%19.5%13.0%14.7%1.5%0.8%329.2K-2.0M-47.4K0.2119.51N/AN/A267557,2463,654
2014-02-04$31.52$32.0017.9%5.1%19.9%24.1%17.6%-0.4%-0.7%441.6K-4.0M-48.9K0.0816.55N/AN/A1,261987,3853,702
2014-02-05$31.51$32.0017.6%5.0%19.6%22.8%16.5%-2.7%0.5%549.3K-4.9M-53.8K0.0617.70N/AN/A1,341828,1873,714
2014-02-06$31.55$32.0018.1%5.2%17.6%24.9%17.8%-5.0%-0.3%725.8K-6.5M-57.8K0.0618.19N/AN/A381249,4093,767
2014-02-07$31.61$30.0016.9%5.2%17.1%19.9%16.3%-0.1%1.1%774.4K-6.9M-59.4K0.1323.45N/AN/A269359,6423,791
2014-02-10$31.55$30.0018.1%5.5%9.9%25.0%19.3%-0.1%0.6%790.7K-7.1M-62.0K0.2128.37N/AN/A1,4272939,8233,818
2014-02-11$31.25$30.0019.0%5.2%10.3%28.6%17.9%-1.0%2.2%862.5K-7.2M-65.8K0.3329.66N/AN/A2468111,0113,856
2014-02-12$31.40$30.0016.6%5.0%10.4%18.5%17.8%-1.2%2.1%921.5K-7.7M-63.1K0.0027.03N/AN/A230011,0993,879
2014-02-13$31.27$30.0016.9%4.8%9.0%19.6%17.3%-1.1%2.6%899.2K-7.2M-63.8K0.2724.12N/AN/A1393811,1733,879
2014-02-14$31.49$30.0016.7%4.8%9.3%19.0%17.1%0.3%2.9%1.1M-8.7M-65.9K0.0526.00N/AN/A7223911,1953,895
2014-02-18$31.98$30.0018.5%5.3%10.3%26.4%18.2%0.6%1.5%1.4M-12.4M-68.3K0.4258.98N/AN/A2,34197611,6693,928
2014-02-19$32.26$30.0018.1%5.2%10.3%24.7%17.4%-1.8%3.4%1.6M-15.1M-75.4K0.1125.65N/AN/A2,93132913,2144,652
2014-02-20$32.35$30.0018.3%5.2%10.3%25.7%18.3%0.0%2.9%1.9M-18.4M-88.5K0.3732.73N/AN/A1,54456815,2714,824
2014-02-21$31.88$30.0017.7%5.1%12.0%23.1%17.6%-0.2%2.4%2.9M-13.5M-93.2K0.0822.63N/AN/A1,65113016,2745,270
2014-02-24$31.91$30.0017.2%4.9%11.9%21.0%17.0%0.5%3.7%1.5M-15.5M-94.3K0.0820.82N/AN/A7055514,2723,709
2014-02-25$32.25$30.0018.4%5.3%12.3%26.2%18.6%3.4%1.9%1.6M-18.1M-96.0K0.0519.63N/AN/A1,2776214,6903,737
2014-02-26$31.98$30.0017.2%4.9%12.8%20.9%16.9%-0.2%2.7%1.7M-18.7M-98.7K0.5622.73N/AN/A70739615,5823,756
2014-02-27$31.76$30.0016.9%4.8%12.7%19.8%17.0%-1.9%3.2%1.7M-17.0M-102.3K0.1719.92N/AN/A95016016,0014,121
2014-02-28$32.48$30.0018.8%5.4%14.5%27.7%19.1%-1.9%2.3%1.7M-23.4M-108.9K0.1636.15N/AN/A3,36955216,4414,212