CORN Options History — January 2015

In January 2015, CORN traded between $24.97 and $27.12. ATM implied volatility averaged 25.1%, placing in the 60.4% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.0% (HV 20d: 21.1%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2015-01-09: Highest Volume — 3,771 contracts
  • 2015-01-13: Largest IV drop — 26.1% change
  • 2015-01-09: Highest IV Rank — 100.0%
  • 2015-01-09: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.02$24.97$27.12$26.50$24.97
Max Pain$26.00$26.00$26.00$26.00$26.00
ATM IV25.1%19.8%34.9%23.6%22.1%
Expected Move7.0%5.7%8.0%7.0%6.3%
HV 20d21.1%18.6%22.9%18.6%21.1%
HV 60d20.9%20.1%21.8%20.4%20.3%
IV Rank60.4%33.3%100.0%59.7%43.7%
IV Percentile68.6%15.5%100.0%69.4%43.3%
Term Structure-0.1%-5.6%2.4%1.0%-0.7%
VWIV24.0%20.5%27.7%24.8%20.6%
Skew 25d-0.0%-6.0%3.1%-3.3%0.4%
Skew 10d-0.2%-10.9%8.8%-7.1%0.7%
Call IV 25d24.1%19.8%28.6%28.4%20.5%
Put IV 25d24.1%20.9%27.8%25.2%20.9%
Bid-Ask Spread %38.3828.0254.3742.0834.31
Gamma HHI0.320.150.820.450.18
Net GEX861.8K82.4K2.4M1.5M82.4K
Net DEX-13.4M-29.0M109.7K-25.3M109.7K
Net VEX-51.0K-63.2K-41.5K-63.2K-42.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.181.680.540.94
Total Volume1,4771453,7711,4181,783
Total OI27,532.3512,70940,97237,85713,765

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$26.50$26.0023.6%7.0%18.6%59.7%24.8%-3.3%1.0%1.5M-25.3M-63.2K0.5442.08N/AN/A91949931,8536,004
2015-01-05$27.12$26.0028.0%7.5%19.4%82.3%26.2%-0.4%0.3%1.3M-29.0M-60.9K0.4032.83N/AN/A36614631,7936,011
2015-01-06$27.05$26.0028.0%7.6%18.7%82.4%24.7%-1.1%0.2%1.2M-28.3M-60.9K1.1840.64N/AN/A52261731,7736,042
2015-01-07$26.52$26.0026.9%7.6%19.7%76.8%26.1%0.5%0.0%1.2M-24.4M-61.2K0.6354.37N/AN/A25516131,8546,561
2015-01-08$26.39$26.0026.8%7.7%19.3%76.2%25.8%-2.2%-0.8%1.2M-22.2M-60.7K0.4937.16N/AN/A1,17157131,8476,662
2015-01-09$26.67$26.0032.7%8.0%19.5%100.0%27.7%-1.8%-1.7%1.2M-24.2M-61.1K0.1843.73N/AN/A3,18558631,8826,668
2015-01-12$26.83$26.0034.9%7.6%19.3%100.0%26.2%2.5%-1.8%1.6M-27.9M-56.4K1.2953.81N/AN/A1,0311,32933,6616,693
2015-01-13$25.84$26.0025.8%7.4%21.8%59.7%24.4%-1.5%2.2%1.5M-18.6M-54.0K0.5933.96N/AN/A1,47887833,5077,245
2015-01-14$25.63$26.0026.0%7.5%21.7%60.9%25.4%0.7%0.6%2.4M-14.9M-51.7K1.3331.92N/AN/A1,1131,47733,1637,271
2015-01-15$25.44$26.0025.4%7.3%21.7%58.0%25.4%-6.0%0.1%2.2M-12.5M-52.6K0.8238.43N/AN/A1,02083833,1107,862
2015-01-16$25.87$26.0024.9%7.1%22.6%55.8%25.3%-0.2%1.0%157.9K-19.4M-47.2K0.1930.10N/AN/A73113833,0317,752
2015-01-20$26.10$26.0026.3%7.5%22.7%62.1%25.3%-0.7%-5.6%256.4K-3.7M-45.7K0.4842.30N/AN/A2371148,7383,971
2015-01-21$25.98$26.0023.8%6.8%22.7%51.2%22.7%3.1%-0.5%248.4K-3.4M-44.3K0.3633.27N/AN/A107388,7693,989
2015-01-22$25.81$26.0021.7%6.2%22.7%42.0%21.6%-0.4%1.0%249.2K-3.3M-44.0K0.9728.02N/AN/A7106898,8473,989
2015-01-23$26.00$26.0020.8%6.0%22.9%37.8%21.1%1.7%2.4%247.6K-3.2M-42.9K0.9440.92N/AN/A7497068,8594,063
2015-01-26$25.83$26.0021.0%6.0%22.7%38.9%22.5%1.5%0.4%240.6K-3.0M-43.0K1.3830.10N/AN/A2233088,8584,091
2015-01-27$25.62$26.0022.6%6.5%21.7%45.9%21.2%2.7%-1.0%215.1K-2.8M-43.8K1.6835.44N/AN/A2263808,9464,363
2015-01-28$25.21$26.0021.4%6.1%22.1%40.6%21.7%1.4%-0.1%155.9K-1.3M-43.1K1.0450.38N/AN/A1,0801,1249,0414,509
2015-01-29$25.11$26.0019.8%5.7%21.8%33.3%20.5%2.7%0.9%114.5K-192.0K-41.5K1.1033.73N/AN/A9701,0659,0264,578
2015-01-30$24.97$26.0022.1%6.3%21.1%43.7%20.6%0.4%-0.7%82.4K109.7K-42.3K0.9434.31N/AN/A9218629,0474,718