CORN Options History — October 2014 In October 2014, CORN traded between $22.88 and $26.27. ATM implied volatility averaged 24.7%, placing in the 66.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 3.9% (HV 20d: 20.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.33.
Notable Days 2014-10-15 : Highest Volume — 9,100 contracts2014-10-15 : Largest IV spike — 50.4% change2014-10-13 : Highest IV Rank — 100.0%2014-10-17 : Largest Expected Move — 6.8%Monthly Statistics Metric Avg Min Max Open Close Price $24.64 $22.88 $26.27 $22.88 $26.27 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 24.7% 19.5% 31.4% 22.0% 24.6% Expected Move 6.6% 6.3% 6.8% 6.5% 6.6% HV 20d 20.8% 16.4% 22.9% 19.4% 22.9% HV 60d 20.1% 19.1% 21.2% 19.2% 20.9% IV Rank 66.4% 37.9% 100.0% 54.0% 64.6% IV Percentile 78.5% 22.2% 100.0% 57.5% 79.8% Term Structure -1.2% -3.3% 1.0% 0.6% -0.9% VWIV 23.1% 22.4% 24.1% 23.2% 22.5% Skew 25d 0.6% -3.3% 2.5% 1.2% 1.8% Skew 10d 5.2% -6.6% 12.4% 0.8% 7.9% Call IV 25d 24.4% 21.7% 27.0% 22.3% 25.7% Put IV 25d 25.0% 22.0% 27.4% 23.5% 27.4% Bid-Ask Spread % 52.94 29.91 76.42 44.20 49.43 Gamma HHI 0.50 0.36 0.58 0.50 0.36 Net GEX 2.4M 1.2M 2.8M 1.2M 2.6M Net DEX -26.3M -43.1M -4.8M -4.8M -43.1M Net VEX -172.7K -202.4K -131.8K -131.8K -163.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.33 0.03 0.95 0.03 0.79 Total Volume 4,059.652 1,473 9,100 7,727 4,106 Total OI 58,922.522 53,309 66,121 56,298 55,442
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-10-01 $22.88 $25.00 22.0% 6.5% 19.4% 54.0% 23.2% 1.2% 0.6% 1.2M -4.8M -131.8K 0.03 44.20 N/A N/A 7,468 259 48,008 8,290 2014-10-02 $23.02 $25.00 22.1% 6.5% 19.4% 54.4% 22.9% 0.3% 0.2% 1.6M -9.5M -154.1K 0.09 31.27 N/A N/A 2,012 177 52,386 8,290 2014-10-03 $23.10 $25.00 21.3% 6.4% 16.4% 50.5% 22.9% 1.6% 0.3% 1.7M -11.1M -165.8K 0.18 52.84 N/A N/A 1,389 256 53,878 8,377 2014-10-06 $23.70 $25.00 23.1% 6.5% 18.2% 60.2% 23.2% 0.2% 1.0% 2.2M -19.4M -183.8K 0.13 29.91 N/A N/A 2,262 299 54,844 8,399 2014-10-07 $24.20 $25.00 25.0% 6.6% 19.7% 70.9% 23.0% 1.1% -0.2% 2.6M -26.9M -202.4K 0.04 50.41 N/A N/A 6,121 264 55,773 8,487 2014-10-08 $24.34 $25.00 24.6% 6.5% 19.8% 68.5% 22.9% 1.2% -0.4% 2.7M -26.8M -192.5K 0.21 53.86 N/A N/A 3,027 629 53,694 8,655 2014-10-09 $24.34 $25.00 27.4% 6.5% 19.3% 84.3% 22.9% -0.1% -1.2% 2.7M -28.3M -200.1K 0.19 52.55 N/A N/A 4,901 928 54,129 8,808 2014-10-10 $23.86 $25.00 26.8% 6.6% 20.3% 80.7% 22.8% -3.3% -0.7% 2.5M -21.2M -185.0K 0.89 45.31 N/A N/A 2,064 1,829 54,482 9,265 2014-10-13 $24.47 $25.00 31.4% 6.5% 21.8% 100.0% 23.3% 1.0% -3.3% 2.7M -28.1M -195.1K 0.64 54.61 N/A N/A 2,778 1,768 54,993 10,451 2014-10-14 $24.52 $25.00 19.5% 6.6% 21.8% 37.9% 23.0% -0.3% -2.7% 2.8M -30.2M -198.6K 0.47 46.12 N/A N/A 2,085 981 55,355 10,766 2014-10-15 $24.50 $25.00 29.3% 6.7% 21.5% 89.2% 23.9% 0.5% -2.1% 2.4M -24.9M -176.5K 0.12 64.07 N/A N/A 8,099 1,001 50,972 10,747 2014-10-16 $24.82 $25.00 25.5% 6.7% 21.7% 69.3% 24.0% 1.1% -2.5% 2.7M -28.8M -175.1K 0.10 34.08 N/A N/A 1,341 132 49,858 10,579 2014-10-17 $24.55 $25.00 24.1% 6.8% 21.0% 62.0% 24.1% 0.1% -1.6% 2.4M -23.9M -166.9K 0.19 47.67 N/A N/A 1,563 296 49,922 10,624 2014-10-20 $24.57 $25.00 22.4% 6.3% 20.6% 53.3% 22.6% 1.9% -0.7% 2.2M -20.3M -158.0K 0.12 57.11 N/A N/A 5,405 631 46,320 7,839 2014-10-21 $25.07 $25.00 24.0% 6.7% 20.8% 61.5% 22.4% 2.2% -1.7% 2.3M -26.5M -165.8K 0.23 65.37 N/A N/A 5,387 1,248 45,382 7,927 2014-10-22 $24.91 $25.00 24.5% 6.6% 20.7% 64.2% 23.2% -0.2% -1.3% 2.3M -24.9M -164.8K 0.25 67.30 N/A N/A 3,101 763 45,929 8,206 2014-10-23 $25.33 $25.00 24.4% 6.3% 20.8% 63.4% 22.7% 2.5% -1.6% 2.5M -30.5M -168.5K 0.37 63.27 N/A N/A 2,230 825 46,270 8,318 2014-10-24 $24.91 $25.00 24.4% 6.6% 21.5% 63.8% 23.1% -2.0% -1.3% 2.3M -25.5M -165.7K 0.31 56.03 N/A N/A 2,513 773 46,162 8,358 2014-10-27 $25.54 $25.00 25.1% 6.7% 22.8% 67.1% 22.7% 1.5% -1.4% 2.5M -33.4M -164.7K 0.37 69.20 N/A N/A 1,973 736 46,049 8,455 2014-10-28 $25.58 $25.00 26.0% 6.7% 21.5% 72.0% 23.4% 1.2% -3.0% 2.6M -34.7M -165.2K 0.31 49.73 N/A N/A 2,341 728 46,086 8,487 2014-10-29 $26.22 $25.00 25.1% 6.4% 22.5% 67.2% 22.9% 1.4% -0.8% 2.7M -43.1M -160.5K 0.95 76.42 N/A N/A 2,107 2,000 45,987 8,486 2014-10-30 $26.07 $25.00 25.4% 6.6% 22.9% 68.6% 22.5% -1.0% -1.9% 2.5M -40.3M -167.2K 0.52 56.89 N/A N/A 1,693 883 45,843 9,640 2014-10-31 $26.27 $25.00 24.6% 6.6% 22.9% 64.6% 22.5% 1.8% -0.9% 2.6M -43.1M -163.3K 0.79 49.43 N/A N/A 2,293 1,813 45,847 9,595
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