CORN Options History — July 2014

In July 2014, CORN traded between $25.99 and $29.44. ATM implied volatility averaged 23.2%, placing in the 52.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.3% (HV 20d: 23.6%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2014-07-10: Highest Volume — 2,549 contracts
  • 2014-07-03: Largest IV drop — 14.1% change
  • 2014-07-28: Highest IV Rank — 62.7%
  • 2014-07-02: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.16$25.99$29.44$29.44$26.01
Max Pain$28.36$28.00$29.00$29.00$28.00
ATM IV23.2%20.5%25.4%22.2%23.6%
Expected Move6.5%6.3%6.9%6.8%6.5%
HV 20d23.6%18.3%26.2%25.0%18.4%
HV 60d20.4%19.6%21.2%20.4%19.6%
IV Rank52.4%39.2%62.7%47.3%54.0%
IV Percentile61.2%32.1%79.8%50.0%69.0%
Term Structure-0.7%-3.7%3.1%3.1%-1.0%
VWIV22.8%19.9%24.6%24.6%23.5%
Skew 25d-1.4%-4.9%3.4%1.9%-1.7%
Skew 10d-4.1%-10.9%5.0%-6.7%-8.1%
Call IV 25d24.6%21.2%26.3%23.6%25.2%
Put IV 25d23.3%20.1%27.0%25.5%23.4%
Bid-Ask Spread %50.1634.9265.6944.9643.48
Gamma HHI0.250.130.590.130.18
Net GEX-20.0K-677.1K173.2K152.3K173.2K
Net DEX6.2M2.8M9.4M2.8M5.2M
Net VEX-44.9K-51.2K-36.4K-49.8K-51.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.033.720.430.12
Total Volume941.8181822,5498231,892
Total OI19,143.22715,85621,79315,85621,584

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$29.44$29.0022.2%6.8%25.0%47.3%24.6%1.9%3.1%152.3K2.8M-49.8K0.4344.96N/AN/A57724610,7335,123
2014-07-02$29.16$29.0023.8%6.9%25.0%55.2%23.8%1.7%-0.1%133.8K3.3M-48.5K0.7636.58N/AN/A30322911,0245,133
2014-07-03$29.02$29.0020.5%6.7%24.7%39.2%23.4%3.4%1.5%94.2K3.9M-46.8K0.8639.99N/AN/A988411,0235,275
2014-07-07$28.50$29.0021.6%6.6%23.4%44.6%23.5%-2.5%0.1%28.8K6.0M-40.8K1.2549.38N/AN/A35143911,0495,345
2014-07-08$28.28$29.0021.1%6.7%23.3%42.2%23.3%-1.8%0.5%-1.1K6.4M-41.1K0.8034.92N/AN/A24519711,1265,524
2014-07-09$27.79$29.0023.4%6.4%23.5%52.9%22.4%-2.4%0.3%-1.2K7.5M-36.4K0.3746.70N/AN/A1,25847111,2645,513
2014-07-10$27.51$29.0023.5%6.5%23.6%53.6%23.3%-3.4%-0.3%30.1K7.2M-41.1K1.2753.03N/AN/A1,1221,42712,0465,773
2014-07-11$26.89$29.0023.3%6.5%23.8%52.5%22.9%-3.4%-0.8%-176.0K9.4M-40.3K0.2054.00N/AN/A1,69434313,0317,013
2014-07-14$27.30$28.0023.9%6.4%24.8%55.6%22.3%-0.9%-1.3%-86.1K7.4M-45.7K0.2449.23N/AN/A60814614,0687,141
2014-07-15$26.85$28.0022.7%6.5%25.1%49.9%22.4%-3.4%-0.0%-206.5K8.7M-42.5K0.5048.27N/AN/A57328414,3497,107
2014-07-16$27.25$28.0023.2%6.4%26.2%52.2%22.7%-1.5%-0.7%-677.1K6.8M-45.5K0.7747.19N/AN/A23317914,6297,116
2014-07-17$27.18$28.0023.5%6.4%26.1%53.7%22.6%-3.4%-1.4%-314.1K6.3M-46.5K1.0053.41N/AN/A25825714,5947,065
2014-07-18$26.67$28.0022.4%6.5%25.0%48.6%22.6%-4.9%-0.1%-435.1K9.3M-44.0K0.8654.45N/AN/A24821414,6807,113
2014-07-21$26.21$28.0023.5%6.5%24.2%53.6%23.4%-2.5%-1.2%119.6K6.2M-39.3K0.9455.70N/AN/A43340612,2035,358
2014-07-22$25.99$28.0023.0%6.5%23.6%51.2%23.0%-2.6%-0.5%106.7K6.4M-40.3K3.7254.91N/AN/A19070712,4815,477
2014-07-23$26.16$28.0023.3%6.6%24.1%52.7%19.9%-2.8%-0.7%20.1K6.9M-41.6K0.1650.32N/AN/A71511612,6186,148
2014-07-24$26.11$28.0023.4%6.5%24.0%53.1%22.6%-1.2%-1.0%66.5K6.5M-44.4K0.1558.56N/AN/A1,36420513,2546,079
2014-07-25$26.21$28.0024.2%6.4%24.1%57.1%23.9%0.7%-2.0%102.4K5.8M-49.1K0.3153.99N/AN/A1855713,8916,196
2014-07-28$26.50$28.0025.4%6.5%24.2%62.7%22.7%1.6%-2.7%138.3K4.8M-51.2K0.0353.12N/AN/A1,2503514,0066,217
2014-07-29$26.24$28.0025.1%6.4%18.3%61.2%21.6%-1.1%-3.7%131.2K5.5M-50.4K0.1755.58N/AN/A2374114,5856,227
2014-07-30$26.31$28.0025.0%6.3%18.4%60.6%21.3%0.0%-2.5%159.3K5.1M-51.0K0.0565.69N/AN/A7673614,7206,250
2014-07-31$26.01$28.0023.6%6.5%18.4%54.0%23.5%-1.7%-1.0%173.2K5.2M-51.0K0.1243.48N/AN/A1,68620615,3076,277