CORN Options History — November 2014

In November 2014, CORN traded between $25.43 and $26.87. ATM implied volatility averaged 23.8%, placing in the 60.5% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.7% (HV 20d: 22.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.57.

Notable Days

  • 2014-11-12: Highest Volume — 3,903 contracts
  • 2014-11-12: Largest IV spike — 11.2% change
  • 2014-11-04: Highest IV Rank — 77.8%
  • 2014-11-28: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.07$25.43$26.87$26.07$26.20
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV23.8%20.9%27.1%26.9%22.2%
Expected Move6.7%6.5%7.1%6.8%7.1%
HV 20d22.0%20.5%23.8%22.3%20.5%
HV 60d21.6%20.7%22.7%20.7%21.6%
IV Rank60.5%45.5%77.8%76.4%52.1%
IV Percentile70.3%36.5%95.2%94.8%54.8%
Term Structure-0.7%-3.3%1.4%-2.8%0.6%
VWIV22.9%20.8%24.4%24.4%24.4%
Skew 25d-0.1%-4.0%2.9%1.3%-4.0%
Skew 10d2.4%-7.0%13.4%5.5%-1.2%
Call IV 25d23.3%16.7%27.1%26.7%19.0%
Put IV 25d23.2%15.0%27.9%27.9%15.0%
Bid-Ask Spread %51.9835.6563.5746.2351.95
Gamma HHI0.360.260.490.340.39
Net GEX2.5M1.1M3.9M2.5M1.3M
Net DEX-34.0M-52.9M-17.7M-39.4M-22.6M
Net VEX-136.0K-164.6K-104.9K-164.6K-105.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.140.950.870.58
Total Volume2,2652163,9033,566415
Total OI53,309.52640,19957,89956,58240,745

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$26.07$25.0026.9%6.8%22.3%76.4%24.4%1.3%-2.8%2.5M-39.4M-164.6K0.8746.23N/AN/A1,9111,65545,98910,593
2014-11-04$25.51$25.0027.1%6.7%23.3%77.8%23.9%0.4%-3.3%2.4M-30.9M-164.1K0.3952.95N/AN/A1,82971246,23210,760
2014-11-05$25.85$25.0025.1%6.6%23.6%67.1%23.3%2.1%-1.8%2.5M-35.6M-160.6K0.4848.69N/AN/A2,3361,12846,10710,819
2014-11-06$25.98$25.0025.9%6.6%23.5%71.3%21.7%-0.3%-1.9%2.5M-37.4M-161.7K0.9543.63N/AN/A1,1051,04946,83211,009
2014-11-07$25.78$25.0024.8%6.5%22.3%65.5%21.2%-0.4%-0.5%2.6M-34.9M-157.7K0.6735.65N/AN/A99466346,85311,046
2014-11-10$25.85$25.0025.1%6.6%20.8%67.2%22.6%-0.9%-1.4%2.7M-36.8M-153.0K0.6761.07N/AN/A1,31588046,78511,039
2014-11-11$26.15$25.0023.3%6.6%21.1%57.8%23.1%2.5%-1.3%2.8M-40.6M-147.6K0.6645.10N/AN/A1,10473146,44511,004
2014-11-12$26.47$25.0025.9%6.8%21.2%71.5%22.2%-0.2%0.3%2.9M-46.1M-144.5K0.4749.05N/AN/A2,6561,24746,71211,019
2014-11-13$26.87$25.0023.3%7.0%21.4%57.8%22.3%1.0%-0.5%2.6M-52.9M-138.5K0.4461.14N/AN/A2,5121,10846,30011,175
2014-11-14$26.61$25.0022.9%6.8%21.3%55.9%23.4%-1.4%-1.5%2.8M-48.3M-137.5K0.5860.34N/AN/A47727746,01411,222
2014-11-17$26.38$25.0023.8%7.0%21.7%60.3%22.0%-0.0%-0.6%2.9M-44.0M-136.7K0.7263.57N/AN/A1,5681,12946,05211,374
2014-11-18$26.01$25.0023.6%6.7%21.6%59.4%23.9%-1.3%-0.7%3.2M-37.7M-137.1K0.3442.02N/AN/A2,18174446,12011,475
2014-11-19$25.43$25.0023.6%6.8%23.2%59.6%24.2%-0.2%-0.8%2.7M-24.8M-133.9K0.5151.21N/AN/A69635846,16911,358
2014-11-20$26.02$25.0022.7%6.8%23.8%54.6%22.0%1.7%-0.3%2.7M-27.4M-112.1K0.4560.08N/AN/A1,91786740,73811,282
2014-11-21$25.93$25.0020.9%6.6%22.9%45.5%22.8%-0.9%1.1%3.9M-24.9M-110.9K0.4551.69N/AN/A2,7001,20340,84411,400
2014-11-24$25.71$25.0022.3%6.8%21.5%52.6%24.4%-3.6%0.7%1.2M-17.7M-108.3K0.5455.70N/AN/A81844232,5767,623
2014-11-25$26.11$25.0021.1%6.7%22.2%46.2%20.8%2.9%1.4%1.1M-20.5M-104.9K0.8755.97N/AN/A1,11897432,5647,927
2014-11-26$26.33$25.0021.9%6.5%20.6%50.5%22.9%-0.4%0.0%1.2M-23.3M-106.0K0.1451.58N/AN/A1892732,6778,002
2014-11-28$26.20$25.0022.2%7.1%20.5%52.1%24.4%-4.0%0.6%1.3M-22.6M-105.1K0.5851.95N/AN/A26315232,7318,014