CORN Options History — March 2014

In March 2014, CORN traded between $32.95 and $34.66. ATM implied volatility averaged 25.1%, placing in the 54.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 5.1% (HV 20d: 20.0%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.20.

Notable Days

  • 2014-03-03: Highest Volume — 7,358 contracts
  • 2014-03-13: Largest IV spike — 22.6% change
  • 2014-03-28: Highest IV Rank — 76.3%
  • 2014-03-28: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.56$32.95$34.66$32.97$34.66
Max Pain$31.14$30.00$32.00$30.00$32.00
ATM IV25.1%20.6%30.3%21.2%27.6%
Expected Move7.4%6.0%8.7%6.1%7.9%
HV 20d20.0%15.2%22.3%15.2%22.3%
HV 60d17.6%16.2%19.0%16.2%19.0%
IV Rank54.4%35.6%76.3%37.9%65.2%
IV Percentile63.9%30.2%91.7%36.5%85.3%
Term Structure-0.1%-2.1%3.8%3.0%1.0%
VWIV25.7%18.5%30.6%21.3%27.7%
Skew 25d-1.7%-3.2%0.0%-1.9%-0.9%
Skew 10d-3.8%-11.5%8.0%-0.0%-0.5%
Call IV 25d27.2%22.9%33.3%23.0%28.6%
Put IV 25d25.6%20.6%30.3%21.2%27.7%
Bid-Ask Spread %37.0219.3255.7522.4019.91
Gamma HHI0.230.200.330.250.27
Net GEX1.9M1.1M2.6M1.9M1.4M
Net DEX-34.2M-47.3M-21.3M-31.1M-29.8M
Net VEX-126.6K-140.8K-116.3K-116.8K-116.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.040.860.360.13
Total Volume2,523.9057787,3587,3585,545
Total OI27,406.57121,87930,43423,35122,501

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$32.97$30.0021.2%6.1%15.2%37.9%21.3%-1.9%3.0%1.9M-31.1M-116.8K0.3622.40N/AN/A5,4061,95218,6984,653
2014-03-04$33.64$30.0023.7%6.8%16.3%48.6%23.8%-1.6%0.8%1.9M-40.3M-137.7K0.0620.16N/AN/A4,93029721,9936,336
2014-03-05$33.41$31.0023.3%6.7%16.1%46.8%23.5%-2.7%0.6%2.2M-39.5M-140.8K0.1319.32N/AN/A1,99325422,7856,470
2014-03-06$34.12$31.0021.0%6.0%17.3%37.0%18.5%-2.3%3.8%2.2M-47.3M-133.9K0.0419.91N/AN/A2,5089123,2266,639
2014-03-07$33.51$31.0023.7%7.4%19.0%48.7%26.1%-2.7%-0.2%2.2M-41.7M-140.4K0.2036.77N/AN/A1,71633723,3606,677
2014-03-10$32.95$31.0020.6%7.1%20.3%35.6%25.6%-1.3%-1.1%2.6M-33.3M-135.7K0.1828.69N/AN/A2,57645323,0496,791
2014-03-11$33.48$31.0022.0%7.2%20.8%41.3%25.3%-0.5%-0.5%2.4M-39.0M-132.3K0.1142.00N/AN/A1,72219323,1487,022
2014-03-12$33.69$31.0021.1%7.6%20.3%37.7%26.4%-1.0%-1.1%2.1M-40.0M-132.7K0.1141.47N/AN/A1,21713322,4867,055
2014-03-13$33.49$31.0025.9%7.4%20.6%58.0%25.8%-2.0%-0.1%2.2M-37.9M-129.9K0.4152.02N/AN/A55122722,2527,124
2014-03-14$33.54$31.0025.3%7.3%20.4%55.4%25.6%-1.0%-0.1%2.2M-37.8M-129.6K0.0448.93N/AN/A2,71010022,3447,315
2014-03-17$33.22$31.0024.8%7.1%20.9%53.0%26.0%-2.4%-0.2%2.3M-35.1M-122.5K0.6348.97N/AN/A57536122,6077,368
2014-03-18$33.77$31.0026.1%7.5%20.9%58.6%26.5%-1.7%-0.7%2.1M-40.6M-123.3K0.1453.13N/AN/A90612422,6417,458
2014-03-19$33.63$31.0025.5%7.3%20.9%56.1%25.8%-2.4%0.4%2.0M-41.7M-123.6K0.0755.75N/AN/A1,61510822,9727,462
2014-03-20$33.20$31.0025.0%7.2%21.6%54.0%25.4%-0.9%0.4%2.5M-34.4M-120.4K0.1039.22N/AN/A1,55316322,5327,479
2014-03-21$33.15$31.0026.1%7.5%20.8%58.8%25.3%-1.8%-1.4%2.2M-29.9M-120.3K0.1644.25N/AN/A1,82328421,6397,608
2014-03-24$33.68$31.0027.5%7.9%21.4%64.7%26.0%0.0%-1.7%1.3M-25.3M-120.0K0.1339.18N/AN/A1,60721617,3225,920
2014-03-25$33.60$32.0028.3%8.1%21.2%68.1%26.4%-1.6%-2.1%1.2M-23.6M-119.4K0.1641.95N/AN/A1,17918817,0336,070
2014-03-26$33.45$32.0027.5%7.9%21.0%64.4%28.6%-1.5%-0.6%1.1M-21.3M-119.9K0.8636.72N/AN/A1,9441,67616,9096,217
2014-03-27$33.98$32.0030.1%8.6%21.2%75.5%30.6%-1.8%-1.5%1.1M-24.4M-120.1K0.0541.33N/AN/A1,95810116,2545,625
2014-03-28$33.65$32.0030.3%8.7%20.5%76.3%30.6%-3.2%-1.3%1.1M-23.4M-122.2K0.1125.37N/AN/A1,54416616,8135,685
2014-03-31$34.66$32.0027.6%7.9%22.3%65.2%27.7%-0.9%1.0%1.4M-29.8M-116.3K0.1319.91N/AN/A4,89165416,8165,685