CORN Options History — September 2014

In September 2014, CORN traded between $22.78 and $25.63. ATM implied volatility averaged 21.6%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.7% (HV 20d: 20.0%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2014-09-30: Highest Volume — 29,173 contracts
  • 2014-09-08: Largest IV spike — 7.1% change
  • 2014-09-25: Highest IV Rank — 62.2%
  • 2014-09-26: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.00$22.78$25.63$25.63$22.78
Max Pain$25.57$25.00$26.00$26.00$25.00
ATM IV21.6%20.3%23.5%20.3%22.4%
Expected Move6.3%6.1%6.6%6.3%6.5%
HV 20d20.0%14.7%21.5%14.7%21.5%
HV 60d20.7%19.1%21.7%19.8%19.2%
IV Rank51.2%38.6%62.2%38.6%56.4%
IV Percentile52.0%34.1%76.6%34.1%65.5%
Term Structure0.5%-0.9%1.8%0.8%1.0%
VWIV22.6%21.5%23.6%23.4%23.4%
Skew 25d-1.5%-9.2%4.3%-2.4%-2.0%
Skew 10d-2.9%-11.4%5.4%-3.2%-1.0%
Call IV 25d22.2%17.6%24.4%22.1%22.5%
Put IV 25d20.7%13.2%24.0%19.7%20.5%
Bid-Ask Spread %46.5131.3962.1862.1831.39
Gamma HHI0.190.170.230.220.19
Net GEX451.7K295.6K684.7K684.7K296.9K
Net DEX3.5M-4.1M5.8M-4.1M5.8M
Net VEX-73.0K-89.5K-60.3K-89.5K-62.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.021.080.310.02
Total Volume2,83430829,17330829,173
Total OI36,498.23831,11640,46131,11639,648

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$25.63$26.0020.3%6.3%14.7%38.6%23.4%-2.4%0.8%684.7K-4.1M-89.5K0.3162.18N/AN/A2367223,8597,257
2014-09-03$24.82$26.0020.7%6.2%18.3%40.5%22.2%-9.2%0.3%481.9K911.9K-77.7K0.2547.46N/AN/A2,26557524,0117,302
2014-09-04$24.51$26.0021.6%6.1%17.1%48.4%22.0%-4.6%-0.8%388.6K3.0M-74.5K0.3649.96N/AN/A1,13441324,2767,443
2014-09-05$25.15$26.0020.7%6.3%20.0%44.0%22.9%0.7%1.8%548.3K-470.0K-83.2K0.5345.78N/AN/A1,9451,03324,7727,589
2014-09-08$24.61$26.0022.2%6.4%20.6%54.5%21.9%-0.5%0.6%601.0K1.8M-81.2K0.7548.12N/AN/A61646225,7098,188
2014-09-09$24.39$26.0021.4%6.4%20.5%51.1%22.7%-1.1%1.6%534.9K3.6M-75.1K0.1951.67N/AN/A1,45227326,2018,323
2014-09-10$24.48$26.0021.7%6.3%20.5%52.4%22.6%-1.8%0.9%610.8K2.7M-78.4K1.0847.71N/AN/A42446027,0808,431
2014-09-11$24.19$26.0022.3%6.3%20.6%55.9%22.1%-2.3%0.9%501.2K4.8M-71.3K0.4142.83N/AN/A2,5341,02727,3548,236
2014-09-12$23.97$26.0021.6%6.2%19.9%51.7%21.5%-3.0%0.8%420.4K5.5M-73.0K0.8738.94N/AN/A96583929,3598,765
2014-09-15$24.30$26.0021.7%6.5%20.5%52.3%22.7%0.7%0.4%493.2K4.0M-77.7K0.2044.97N/AN/A99720029,9178,848
2014-09-16$24.35$26.0021.9%6.2%20.1%53.5%22.2%0.8%-0.3%669.6K2.4M-81.7K0.5345.48N/AN/A1,34371430,6938,904
2014-09-17$24.15$26.0021.3%6.6%20.1%50.3%22.8%0.1%1.1%511.1K3.6M-79.6K0.2555.56N/AN/A81720431,4868,899
2014-09-18$23.98$25.0020.4%6.3%20.1%45.5%22.5%1.1%0.9%338.5K3.9M-74.7K0.7841.46N/AN/A43934331,9378,524
2014-09-19$23.54$25.0020.9%6.2%20.5%48.3%22.4%-3.8%0.4%295.6K5.6M-68.1K1.0348.46N/AN/A68570531,9938,086
2014-09-22$23.35$25.0021.2%6.2%20.1%49.9%23.4%0.0%1.1%357.3K5.0M-60.5K0.3148.05N/AN/A1,27039228,2247,097
2014-09-23$23.08$25.0021.6%6.2%20.0%51.9%23.6%2.1%0.4%308.7K5.8M-60.3K0.9146.02N/AN/A64058328,7987,313
2014-09-24$23.42$25.0022.2%6.6%21.3%55.1%23.0%4.3%1.2%381.0K4.3M-67.0K0.4344.88N/AN/A74132229,1067,620
2014-09-25$23.22$25.0023.5%6.5%21.3%62.2%22.5%-5.3%-0.9%375.6K4.6M-65.6K0.3650.33N/AN/A1,06038629,6527,613
2014-09-26$22.99$25.0022.2%6.6%20.7%55.1%22.3%-0.6%-0.0%314.1K5.5M-63.3K0.3443.13N/AN/A1,05635630,5257,919
2014-09-29$23.14$25.0022.5%6.4%21.2%56.7%23.0%-4.8%-0.4%372.2K4.6M-67.8K0.3642.40N/AN/A2669731,3818,125
2014-09-30$22.78$25.0022.4%6.5%21.5%56.4%23.4%-2.0%1.0%296.9K5.8M-62.3K0.0231.39N/AN/A28,70646731,5628,086