CORN Options History — June 2014

In June 2014, CORN traded between $29.43 and $31.62. ATM implied volatility averaged 23.9%, placing in the 49.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 6.3% (HV 20d: 17.6%). Max pain ranged from $23.00 to $34.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2014-06-30: Highest Volume — 1,693 contracts
  • 2014-06-12: Largest IV spike — 26.1% change
  • 2014-06-27: Highest IV Rank — 70.3%
  • 2014-06-20: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.84$29.43$31.62$31.62$29.43
Max Pain$31.05$23.00$34.00$34.00$29.00
ATM IV23.9%18.8%28.3%20.0%25.0%
Expected Move7.0%5.4%7.7%5.7%7.1%
HV 20d17.6%14.8%25.1%17.9%25.1%
HV 60d19.3%18.1%20.5%19.5%20.5%
IV Rank49.7%27.9%70.3%32.7%61.0%
IV Percentile57.8%15.1%90.9%25.0%69.4%
Term Structure0.6%-2.5%7.6%6.8%-0.6%
VWIV24.0%14.6%28.5%19.8%24.4%
Skew 25d-2.5%-5.2%-0.4%-0.6%-1.2%
Skew 10d-6.1%-14.6%9.9%3.8%-9.4%
Call IV 25d26.7%20.4%30.1%20.4%27.7%
Put IV 25d24.1%18.8%28.4%19.7%26.6%
Bid-Ask Spread %37.5712.5554.5115.8240.07
Gamma HHI0.170.130.230.190.14
Net GEX227.9K116.0K362.7K145.8K157.5K
Net DEX-16.6K-2.5M2.2M-149.6K2.2M
Net VEX-55.2K-58.3K-46.4K-58.2K-46.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.041.520.250.68
Total Volume551.4761851,6932541,693
Total OI14,437.57113,43815,74713,43814,170

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$31.62$34.0020.0%5.7%17.9%32.7%19.8%-0.6%6.8%145.8K-149.6K-58.2K0.2515.82N/AN/A204509,0184,420
2014-06-03$31.31$34.0019.4%5.6%17.0%30.3%20.5%-1.9%6.8%131.6K464.9K-58.2K0.9617.17N/AN/A1341299,0604,436
2014-06-04$31.34$34.0018.8%5.4%14.8%27.9%19.2%-1.8%7.6%126.5K499.9K-58.0K0.5017.44N/AN/A191969,0964,508
2014-06-05$30.88$34.0019.7%5.7%15.1%31.7%18.5%-2.0%6.3%116.0K1.4M-54.3K0.6412.55N/AN/A2461589,1294,496
2014-06-06$31.55$33.0019.0%7.2%17.8%28.7%25.2%-0.4%1.1%153.7K-149.2K-58.3K0.1452.79N/AN/A690969,2734,541
2014-06-09$31.13$33.0019.3%7.1%16.7%30.0%25.4%-1.2%0.3%221.6K-170.1K-56.6K0.5848.05N/AN/A2331369,8704,605
2014-06-10$30.71$32.0019.8%7.5%16.9%32.1%26.3%-3.7%-0.3%250.3K660.0K-55.0K0.8554.51N/AN/A1681439,9724,658
2014-06-11$30.57$32.0020.9%7.4%16.6%36.6%24.8%-5.2%0.1%269.2K1.5M-52.2K0.7653.62N/AN/A35226910,0734,677
2014-06-12$30.82$32.0026.3%7.5%17.3%59.6%26.0%-2.0%-1.2%252.4K960.8K-54.2K1.5248.70N/AN/A8512910,1934,879
2014-06-13$30.91$32.0026.7%7.7%16.6%61.2%26.7%-0.9%-2.0%238.3K181.8K-56.2K0.5548.94N/AN/A32818110,2324,922
2014-06-16$30.60$32.0026.1%7.5%16.6%58.5%28.5%-5.1%-0.9%293.6K853.4K-54.8K0.2744.35N/AN/A1915210,4094,850
2014-06-17$30.46$32.0026.5%7.6%16.3%60.1%27.2%-5.2%-2.5%362.7K1.2M-53.2K0.6848.11N/AN/A1107510,5684,793
2014-06-18$30.47$32.0025.1%7.2%16.3%54.6%26.0%-2.5%0.7%344.3K1.1M-52.1K0.1646.72N/AN/A1752810,6144,799
2014-06-19$31.01$32.0026.8%7.7%17.9%61.5%27.8%-2.8%-0.7%151.9K-1.0M-55.2K0.3841.14N/AN/A62723710,6114,753
2014-06-20$31.35$32.0026.8%7.7%18.5%61.7%23.3%-2.3%-1.8%220.1K-2.5M-57.3K0.1534.75N/AN/A1,38220110,9344,813
2014-06-23$30.63$0.0027.0%7.1%19.8%62.4%0.0%-5.1%-2.4%280.5K-1.5M-56.2K0.6634.68N/AN/A3132079,3534,213
2014-06-24$30.57$0.0026.3%7.1%18.7%59.6%14.6%-1.4%-0.2%265.4K-914.3K-55.5K0.7137.27N/AN/A2862029,4874,331
2014-06-25$30.58$24.0026.1%7.1%18.2%58.5%24.5%-2.9%-0.8%256.2K-986.4K-55.1K0.0427.56N/AN/A272119,6484,527
2014-06-26$30.67$24.0027.2%7.2%17.8%63.6%27.0%-3.1%-2.1%265.2K-1.5M-55.2K0.2932.28N/AN/A266769,5744,535
2014-06-27$30.96$23.0028.3%7.1%17.9%70.3%24.8%-1.7%-1.7%282.5K-2.3M-56.6K0.1932.47N/AN/A9761839,5564,593
2014-06-30$29.43$29.0025.0%7.1%25.1%61.0%24.4%-1.2%-0.6%157.5K2.2M-46.4K0.6840.07N/AN/A1,0096849,5564,614