CORN Options History — April 2014

In April 2014, CORN traded between $33.60 and $35.50. ATM implied volatility averaged 22.4%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.3% (HV 20d: 21.1%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.19.

Notable Days

  • 2014-04-01: Highest Volume — 3,919 contracts
  • 2014-04-07: Largest IV spike — 12.9% change
  • 2014-04-07: Highest IV Rank — 52.6%
  • 2014-04-07: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.68$33.60$35.50$35.04$35.23
Max Pain$31.62$31.00$33.00$32.00$32.00
ATM IV22.4%20.6%24.7%24.5%22.5%
Expected Move6.5%5.9%7.3%7.0%6.4%
HV 20d21.1%18.7%23.1%21.6%18.7%
HV 60d18.4%17.6%19.6%19.1%18.8%
IV Rank42.9%35.6%52.6%52.0%43.4%
IV Percentile38.9%26.2%56.0%55.2%41.7%
Term Structure4.1%0.9%7.1%1.7%2.2%
VWIV22.6%19.1%25.2%24.3%22.7%
Skew 25d-0.9%-2.3%1.3%-1.5%0.4%
Skew 10d-0.3%-8.1%11.0%-1.2%7.6%
Call IV 25d23.6%21.7%26.4%26.1%23.0%
Put IV 25d22.7%20.8%25.0%24.6%23.4%
Bid-Ask Spread %26.0416.2036.5624.6922.22
Gamma HHI0.310.240.430.320.26
Net GEX1.7M1.0M2.6M1.8M1.2M
Net DEX-27.9M-36.5M-16.6M-35.8M-24.4M
Net VEX-110.1K-125.2K-95.9K-121.9K-95.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.010.600.170.08
Total Volume1,160.9523523,9193,919447
Total OI23,004.28619,03625,85524,68819,522

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$35.04$32.0024.5%7.0%21.6%52.0%24.3%-1.5%1.7%1.8M-35.8M-121.9K0.1724.69N/AN/A3,35256718,7395,949
2014-04-02$34.25$33.0023.5%6.7%23.1%47.8%24.1%-2.1%1.8%1.6M-28.8M-124.5K0.1122.90N/AN/A1,82019418,5136,230
2014-04-03$34.64$33.0024.0%6.9%22.3%49.6%23.7%-0.2%0.9%1.8M-31.9M-125.2K0.1523.83N/AN/A3074519,0946,339
2014-04-04$34.92$31.0021.9%7.1%21.2%40.7%23.1%1.3%4.7%1.9M-33.7M-122.6K0.1736.56N/AN/A76012719,0776,362
2014-04-07$34.61$31.0024.7%7.3%20.5%52.6%25.2%-1.6%3.7%1.8M-32.3M-122.3K0.0131.65N/AN/A777719,1126,357
2014-04-08$35.22$31.0022.9%7.0%20.6%45.0%23.3%0.2%4.8%2.0M-36.5M-116.2K0.1131.61N/AN/A1,30014218,8716,357
2014-04-09$34.69$31.0022.2%7.0%21.5%42.0%24.1%-1.0%5.2%2.0M-32.4M-118.6K0.1030.49N/AN/A1,88518819,0086,417
2014-04-10$34.66$31.0022.9%6.6%21.3%44.9%23.9%-2.1%6.7%2.2M-32.1M-118.6K0.0631.94N/AN/A1,4949319,3586,497
2014-04-11$34.49$31.0022.9%6.6%21.5%45.3%23.1%-1.2%5.7%2.2M-29.9M-113.9K0.1627.73N/AN/A1,21719519,0196,554
2014-04-14$34.74$31.0022.5%6.4%21.1%43.4%22.5%-2.3%7.0%2.4M-32.8M-112.8K0.1325.34N/AN/A4756419,1586,541
2014-04-15$34.72$31.0022.3%6.4%20.5%42.4%22.1%-1.5%7.1%2.6M-32.4M-111.4K0.0629.35N/AN/A1,0856119,1006,591
2014-04-16$34.40$31.0022.0%6.3%20.7%41.3%21.8%1.0%6.3%2.0M-26.2M-104.6K0.0931.18N/AN/A1,39912417,7756,212
2014-04-17$34.12$31.0021.1%6.1%20.4%37.6%21.1%-1.5%6.5%2.3M-23.7M-104.0K0.4020.53N/AN/A82332717,8646,259
2014-04-21$33.60$32.0022.1%6.3%21.2%41.7%21.9%-0.2%3.1%1.0M-16.6M-99.1K0.6028.83N/AN/A84850714,3224,714
2014-04-22$34.16$32.0021.0%6.0%21.3%37.0%21.3%-0.9%3.1%1.1M-19.4M-100.7K0.5622.58N/AN/A54930514,3874,914
2014-04-23$34.70$32.0021.0%6.0%21.9%37.2%20.5%-0.9%2.9%1.2M-22.2M-100.8K0.3116.20N/AN/A36311414,4105,028
2014-04-24$34.68$32.0020.6%5.9%21.8%35.6%21.2%-1.7%4.0%1.2M-21.8M-100.9K0.2921.76N/AN/A2988614,4485,098
2014-04-25$34.84$32.0021.5%6.2%21.2%39.1%21.7%-1.5%3.3%1.2M-23.0M-101.6K0.2320.93N/AN/A50211614,4595,175
2014-04-28$34.97$32.0022.7%6.5%20.8%44.3%22.9%-0.5%2.0%1.2M-23.5M-99.1K0.1623.97N/AN/A3335314,4105,228
2014-04-29$35.50$32.0021.2%6.1%18.8%38.0%19.1%-1.8%3.9%1.3M-26.5M-96.6K0.1122.65N/AN/A92710414,3535,269
2014-04-30$35.23$32.0022.5%6.4%18.7%43.4%22.7%0.4%2.2%1.2M-24.4M-95.9K0.0822.22N/AN/A4143314,2315,291