CORN Options History — December 2014

In December 2014, CORN traded between $25.71 and $27.70. ATM implied volatility averaged 23.1%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.4% (HV 20d: 19.7%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.47.

Notable Days

  • 2014-12-12: Highest Volume — 4,014 contracts
  • 2014-12-26: Largest IV spike — 13.0% change
  • 2014-12-15: Highest IV Rank — 70.3%
  • 2014-12-17: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.91$25.71$27.70$26.24$26.64
Max Pain$25.45$25.00$26.00$25.00$26.00
ATM IV23.1%20.0%25.7%22.6%24.1%
Expected Move7.0%6.3%7.6%6.8%7.1%
HV 20d19.7%16.7%22.0%20.4%18.5%
HV 60d20.8%20.3%21.4%20.9%20.7%
IV Rank56.9%40.6%70.3%54.1%62.2%
IV Percentile61.9%24.2%87.3%61.5%74.2%
Term Structure0.9%-1.0%3.7%-0.3%0.2%
VWIV24.5%21.6%27.1%21.6%24.6%
Skew 25d0.2%-2.7%2.6%1.0%0.6%
Skew 10d-0.4%-5.2%5.7%-2.1%-3.9%
Call IV 25d23.5%19.9%26.1%21.8%24.8%
Put IV 25d23.7%20.4%26.3%22.8%25.5%
Bid-Ask Spread %48.7936.2468.4556.2236.24
Gamma HHI0.310.230.450.370.38
Net GEX1.4M1.1M1.9M1.2M1.4M
Net DEX-29.0M-36.3M-16.5M-22.1M-25.1M
Net VEX-83.6K-102.2K-64.6K-101.2K-67.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.040.870.780.46
Total Volume1,916.1362644,0141,589741
Total OI40,075.63637,28042,27440,75337,935

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$26.24$25.0022.6%6.8%20.4%54.1%21.6%1.0%-0.3%1.2M-22.1M-101.2K0.7856.22N/AN/A89269732,6798,074
2014-12-02$25.73$25.0023.0%6.8%21.4%56.2%25.6%-2.5%0.1%1.2M-17.8M-102.2K0.4644.72N/AN/A1,62774632,6518,120
2014-12-03$25.71$25.0021.0%6.8%19.9%45.8%22.1%-1.1%1.6%1.1M-16.5M-98.5K0.5842.31N/AN/A1,67297732,7708,233
2014-12-04$26.16$25.0021.6%6.7%20.3%49.0%23.6%2.6%-0.0%1.2M-21.4M-96.9K0.3144.55N/AN/A60518532,7468,353
2014-12-05$26.57$25.0020.0%6.3%20.9%40.6%21.6%0.8%1.2%1.3M-25.8M-91.2K0.6642.43N/AN/A1,35189632,4748,300
2014-12-08$26.27$25.0021.8%6.7%21.2%49.8%25.1%-0.4%-0.3%1.1M-23.7M-94.3K0.7147.44N/AN/A1,19485032,4178,398
2014-12-09$26.58$25.0021.1%7.3%21.5%46.5%25.1%-0.9%2.9%1.4M-26.9M-85.8K0.6145.47N/AN/A99560532,3908,330
2014-12-10$26.42$25.0020.8%7.1%21.3%45.0%24.0%0.7%3.7%1.2M-25.1M-86.4K0.4144.19N/AN/A1,12746432,3298,334
2014-12-11$26.68$25.0021.9%6.5%21.2%50.5%23.3%2.3%1.4%1.2M-27.4M-86.0K0.4751.26N/AN/A1,03348232,3188,328
2014-12-12$27.29$25.0024.0%7.2%22.0%61.7%24.8%0.2%1.8%1.4M-33.5M-82.3K0.2559.67N/AN/A3,22379132,4108,356
2014-12-15$27.38$25.0025.7%7.4%21.7%70.3%26.1%0.7%0.7%1.6M-36.3M-87.8K0.1540.75N/AN/A3,33849233,6168,362
2014-12-16$27.15$25.0025.6%7.5%21.6%69.8%26.9%-0.5%0.8%1.6M-34.2M-87.4K0.3144.85N/AN/A1,61050533,7628,322
2014-12-17$27.35$26.0025.2%7.6%20.9%67.7%27.1%2.2%2.7%1.8M-34.4M-83.3K0.3768.45N/AN/A1,39551333,7198,324
2014-12-18$27.51$26.0024.7%7.2%18.7%65.2%26.7%0.9%-0.7%1.9M-35.7M-80.9K0.3944.49N/AN/A1,82971533,4398,349
2014-12-19$27.55$26.0022.7%6.9%17.3%54.6%24.4%1.1%1.3%1.9M-35.9M-76.8K0.0450.75N/AN/A1,2845333,7198,555
2014-12-22$27.52$26.0024.1%6.8%17.2%61.9%24.6%0.2%-0.1%1.4M-32.3M-76.9K0.3459.71N/AN/A1,79960731,7055,575
2014-12-23$27.62$26.0024.0%6.8%16.7%61.7%24.1%-1.5%-0.7%1.4M-33.1M-76.8K0.5052.26N/AN/A1,31065231,7655,729
2014-12-24$27.28$26.0022.6%6.8%17.0%54.0%24.2%-2.7%1.8%1.4M-32.0M-74.8K0.5950.03N/AN/A1,04061731,8245,751
2014-12-26$27.70$26.0025.5%7.3%17.5%69.3%24.8%-1.2%-1.0%1.4M-34.2M-64.6K0.8248.08N/AN/A76862631,8435,771
2014-12-29$27.55$26.0023.1%7.3%17.5%56.9%24.5%1.9%0.1%1.4M-33.0M-71.4K0.8750.57N/AN/A84873731,8525,785
2014-12-30$27.15$26.0023.3%7.1%18.6%57.9%24.3%-0.0%2.3%1.3M-30.6M-66.7K0.1748.92N/AN/A2253931,9286,024
2014-12-31$26.64$26.0024.1%7.1%18.5%62.2%24.6%0.6%0.2%1.4M-25.1M-67.7K0.4636.24N/AN/A50623531,8756,060