CORN Options History — May 2014

In May 2014, CORN traded between $31.57 and $35.16. ATM implied volatility averaged 20.7%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.6% (HV 20d: 19.1%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2014-05-09: Highest Volume — 1,448 contracts
  • 2014-05-15: Largest IV spike — 16.4% change
  • 2014-05-07: Highest IV Rank — 44.1%
  • 2014-05-07: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.44$31.57$35.16$34.59$31.57
Max Pain$33.81$32.00$34.00$32.00$34.00
ATM IV20.7%17.5%22.7%22.2%19.7%
Expected Move6.2%5.6%7.0%6.4%5.6%
HV 20d19.1%17.8%20.8%18.0%18.3%
HV 60d20.2%19.1%20.7%19.1%20.0%
IV Rank35.9%22.3%44.1%42.2%31.6%
IV Percentile29.6%6.7%45.2%40.1%23.8%
Term Structure4.8%1.7%6.5%1.7%6.3%
VWIV21.7%18.7%24.6%20.3%18.7%
Skew 25d-1.6%-4.9%0.2%-0.3%-4.9%
Skew 10d-4.6%-11.6%4.9%-5.7%-11.4%
Call IV 25d22.7%20.0%25.3%22.6%20.5%
Put IV 25d21.1%15.6%24.2%22.3%15.6%
Bid-Ask Spread %20.4911.7030.7718.3513.89
Gamma HHI0.250.160.370.270.19
Net GEX785.5K153.6K1.6M1.2M153.6K
Net DEX-11.3M-25.1M-501.5K-20.5M-501.5K
Net VEX-77.5K-95.1K-61.1K-94.7K-61.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.081.740.230.98
Total Volume5381241,448963480
Total OI16,882.42912,15020,38519,75313,292

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$34.59$32.0022.2%6.4%18.0%42.2%20.3%-0.3%1.7%1.2M-20.5M-94.7K0.2318.35N/AN/A78318014,4425,311
2014-05-02$34.06$32.0021.7%6.2%18.4%40.1%22.2%-1.5%2.9%1.2M-17.8M-95.1K0.1818.13N/AN/A3155814,8605,358
2014-05-05$34.47$34.0022.4%6.9%18.7%43.0%24.6%-1.3%3.8%1.4M-20.6M-94.1K0.1824.46N/AN/A2374214,9655,379
2014-05-06$35.12$34.0022.6%6.8%19.6%43.6%24.1%-1.2%4.6%1.5M-25.1M-93.3K0.3624.04N/AN/A53219214,9875,398
2014-05-07$35.03$34.0022.7%7.0%18.6%44.1%24.5%-0.9%3.3%1.5M-24.2M-91.7K0.1330.77N/AN/A2192814,8515,451
2014-05-08$35.16$34.0022.0%6.8%17.8%41.2%22.8%-1.1%4.9%1.6M-24.4M-90.2K0.4726.37N/AN/A35016614,7155,436
2014-05-09$34.34$34.0020.2%6.6%19.8%33.9%23.2%-1.6%4.2%1.5M-18.7M-88.9K0.7621.82N/AN/A82562314,7345,501
2014-05-12$33.96$34.0019.5%6.5%20.1%30.8%23.2%-0.7%4.5%1.3M-14.6M-84.1K0.9220.63N/AN/A40637314,4695,650
2014-05-13$34.04$34.0017.5%6.5%19.9%22.3%20.8%0.2%4.5%1.4M-15.0M-83.1K0.0824.45N/AN/A4023314,4975,748
2014-05-14$33.78$34.0018.9%6.4%20.0%28.1%24.6%-1.6%5.0%1.1M-12.7M-80.8K0.2121.64N/AN/A75916314,5735,759
2014-05-15$33.14$34.0022.0%6.3%20.8%41.2%22.1%-1.9%4.7%252.1K-7.8M-72.3K0.5630.22N/AN/A61834713,6535,523
2014-05-16$33.19$34.0021.3%6.1%20.7%38.4%21.5%-0.9%4.9%273.4K-7.0M-70.1K0.4928.59N/AN/A38819213,2735,477
2014-05-19$32.78$34.0021.4%6.1%20.5%38.9%22.3%-2.0%5.3%292.1K-4.8M-68.7K0.2219.75N/AN/A275608,4293,721
2014-05-20$32.55$34.0021.5%6.2%19.5%39.3%21.5%-2.5%5.0%282.9K-4.1M-66.7K0.7518.11N/AN/A2782088,4463,764
2014-05-21$32.55$34.0020.5%5.9%18.3%35.0%20.8%-0.9%5.1%262.9K-3.8M-67.1K0.6218.64N/AN/A130808,5453,952
2014-05-22$32.62$34.0020.3%5.8%18.4%34.1%19.5%-1.2%5.8%270.0K-3.9M-67.3K0.4213.27N/AN/A146618,6104,023
2014-05-23$32.77$34.0020.1%5.8%18.4%33.1%19.8%-1.3%5.8%279.1K-4.2M-67.4K0.6513.46N/AN/A75498,6624,054
2014-05-27$32.10$34.0019.7%5.7%19.2%31.6%21.6%-3.3%5.7%222.1K-2.4M-63.5K0.1514.37N/AN/A483748,7034,091
2014-05-28$32.39$34.0019.6%5.6%18.5%31.1%19.3%-1.9%6.4%250.7K-2.9M-64.3K1.7417.64N/AN/A1192078,8824,129
2014-05-29$31.93$34.0019.5%5.6%18.8%30.7%19.6%-1.7%6.5%187.6K-1.7M-62.9K0.3011.70N/AN/A264788,9224,296
2014-05-30$31.57$34.0019.7%5.6%18.3%31.6%18.7%-4.9%6.3%153.6K-501.5K-61.1K0.9813.89N/AN/A2432378,9524,340