CORN Options History — August 2014

In August 2014, CORN traded between $25.60 and $26.60. ATM implied volatility averaged 21.9%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.2% (HV 20d: 18.8%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2014-08-13: Highest Volume — 2,868 contracts
  • 2014-08-13: Largest IV drop — 20.8% change
  • 2014-08-11: Highest IV Rank — 78.6%
  • 2014-08-01: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.05$25.60$26.60$25.60$25.75
Max Pain$26.81$26.00$28.00$28.00$26.00
ATM IV21.9%18.8%28.7%24.8%19.3%
Expected Move6.4%6.2%6.7%6.7%6.4%
HV 20d18.8%16.8%21.4%18.8%16.8%
HV 60d20.5%19.7%21.0%19.7%20.5%
IV Rank46.3%31.4%78.6%59.7%33.6%
IV Percentile46.1%15.5%94.8%74.6%20.6%
Term Structure0.7%-1.8%2.4%-1.8%1.4%
VWIV22.5%20.7%24.4%23.6%21.9%
Skew 25d-1.1%-3.7%2.3%-3.7%-2.0%
Skew 10d-3.9%-14.4%4.0%-14.4%-2.4%
Call IV 25d22.4%19.6%25.5%25.5%21.1%
Put IV 25d21.3%18.6%25.0%21.8%19.2%
Bid-Ask Spread %46.0833.5563.2855.8445.62
Gamma HHI0.190.150.230.160.22
Net GEX589.0K176.3K833.4K176.3K724.4K
Net DEX-2.4M-7.8M5.5M5.5M-5.0M
Net VEX-77.2K-97.9K-52.3K-52.3K-95.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.080.600.130.43
Total Volume1,379.5713732,8681,9741,141
Total OI27,040.33322,66830,89322,95830,893

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$25.60$28.0024.8%6.7%18.8%59.7%23.6%-3.7%-1.8%176.3K5.5M-52.3K0.1355.84N/AN/A1,75222216,6806,278
2014-08-04$26.18$28.0022.2%6.3%20.8%47.5%22.8%2.3%0.6%231.1K3.7M-58.2K0.3763.28N/AN/A1,60959918,1046,398
2014-08-05$25.99$27.0024.9%6.6%20.8%60.1%23.0%-0.7%0.4%387.7K2.7M-60.1K0.2052.30N/AN/A92318619,1445,920
2014-08-06$26.43$27.0023.5%6.4%21.4%53.5%22.3%0.2%0.7%499.5K511.0K-67.5K0.1752.18N/AN/A5449019,8885,955
2014-08-07$26.20$27.0022.4%6.6%21.4%48.7%23.3%0.4%-1.1%462.8K1.3M-63.9K0.0854.91N/AN/A3462720,0685,949
2014-08-08$25.79$27.0026.0%6.5%20.6%65.5%23.3%-3.0%0.9%430.8K2.1M-63.2K0.6048.18N/AN/A62437320,3555,975
2014-08-11$25.94$27.0028.7%6.6%19.8%78.6%23.0%-1.0%-0.4%443.4K1.4M-66.1K0.0845.16N/AN/A4754020,7906,256
2014-08-12$26.01$27.0026.4%6.5%19.2%67.6%23.1%-2.1%1.0%455.7K819.3K-67.0K0.1645.95N/AN/A1,69226721,0666,271
2014-08-13$26.08$27.0020.9%6.4%18.3%41.4%24.4%-1.0%0.8%544.6K-853.5K-70.3K0.4340.71N/AN/A2,01285622,4056,338
2014-08-14$26.38$27.0021.0%6.3%18.9%41.6%20.7%0.6%0.5%692.6K-2.7M-76.8K0.2836.64N/AN/A59616923,5676,725
2014-08-15$26.60$27.0021.1%6.4%18.0%42.0%21.9%0.6%1.5%833.4K-4.7M-80.8K0.3233.55N/AN/A1,06433723,8076,724
2014-08-18$26.18$27.0020.0%6.2%17.9%37.2%22.5%-2.6%1.2%699.1K-6.5M-80.9K0.1753.82N/AN/A79113617,9624,706
2014-08-19$26.20$27.0020.4%6.3%17.6%39.2%21.9%0.3%-0.1%690.9K-5.9M-78.8K0.3245.71N/AN/A95630218,1984,810
2014-08-20$25.96$27.0020.6%6.2%17.7%40.1%22.0%-1.4%1.0%685.8K-5.8M-81.4K0.3438.98N/AN/A2,04470218,8305,078
2014-08-21$26.03$27.0019.7%6.3%17.8%35.5%22.2%-1.2%1.7%734.4K-6.7M-89.2K0.4346.47N/AN/A2,00186620,2915,664
2014-08-22$26.21$26.0019.8%6.4%17.9%36.1%22.9%-2.5%0.9%779.2K-7.8M-96.5K0.1144.85N/AN/A8068621,7546,360
2014-08-25$25.89$26.0020.7%6.3%17.9%40.5%22.6%-1.5%0.8%738.6K-5.8M-92.5K0.1442.01N/AN/A1,34018422,0606,427
2014-08-26$25.78$26.0020.0%6.2%17.6%36.8%22.4%-1.8%0.8%705.8K-4.6M-90.7K0.2139.81N/AN/A1,27526922,9466,589
2014-08-27$25.78$26.0018.8%6.2%17.6%31.4%21.4%-0.5%2.4%694.5K-4.7M-92.7K0.5137.48N/AN/A55828423,2656,749
2014-08-28$25.99$26.0019.6%6.4%17.4%34.9%21.2%-2.2%2.2%758.4K-6.4M-97.9K0.0944.26N/AN/A3933423,5907,012
2014-08-29$25.75$26.0019.3%6.4%16.8%33.6%21.9%-2.0%1.4%724.4K-5.0M-95.0K0.4345.62N/AN/A80034123,8667,027