CORN Options History — February 2015

In February 2015, CORN traded between $24.95 and $26.27. ATM implied volatility averaged 21.3%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.3% (HV 20d: 20.0%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.26.

Notable Days

  • 2015-02-18: Highest Volume — 2,659 contracts
  • 2015-02-06: Largest IV spike — 19.6% change
  • 2015-02-19: Highest IV Rank — 41.9%
  • 2015-02-09: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.77$24.95$26.27$24.95$25.80
Max Pain$25.68$25.00$26.00$26.00$25.00
ATM IV21.3%17.4%24.4%21.8%21.0%
Expected Move6.2%5.0%7.2%6.2%6.0%
HV 20d20.0%17.5%23.0%21.1%18.8%
HV 60d20.3%19.7%20.8%19.8%19.9%
IV Rank25.7%2.7%41.9%33.1%22.6%
IV Percentile32.3%1.2%71.0%38.5%20.6%
Term Structure1.1%-2.5%5.5%0.2%0.8%
VWIV20.0%15.1%22.3%18.2%19.1%
Skew 25d-1.1%-7.4%3.0%-7.4%0.1%
Skew 10d-2.6%-11.4%8.7%-2.3%-2.1%
Call IV 25d21.4%19.5%24.2%24.2%20.0%
Put IV 25d20.3%16.8%23.2%16.8%20.1%
Bid-Ask Spread %29.5721.3846.9836.5746.98
Gamma HHI0.170.140.210.170.18
Net GEX209.0K101.5K310.7K101.5K164.3K
Net DEX-3.5M-4.7M-275.6K-275.6K-4.2M
Net VEX-44.4K-48.0K-41.0K-42.0K-47.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.142.080.741.68
Total Volume1,362.6321642,6591641,629
Total OI12,992.5268,90615,44613,8759,254

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$24.95$26.0021.8%6.2%21.1%33.1%18.2%-7.4%0.2%101.5K-275.6K-42.0K0.7436.57N/AN/A94709,1474,728
2015-02-03$25.80$26.0023.3%6.7%23.0%40.7%22.3%-0.1%-2.5%207.9K-2.8M-44.8K1.1233.99N/AN/A7478369,2024,713
2015-02-04$25.74$26.0021.6%6.2%23.0%27.3%20.8%-0.9%-0.5%191.4K-2.8M-43.8K1.3431.74N/AN/A5917939,2704,718
2015-02-05$25.85$26.0019.7%6.4%22.2%17.1%21.1%-1.5%0.8%218.5K-3.3M-43.9K1.1825.33N/AN/A6918129,3384,717
2015-02-06$25.91$26.0023.6%6.2%22.2%38.3%21.5%-0.4%1.3%230.4K-3.6M-44.2K0.9826.66N/AN/A7957809,4464,724
2015-02-09$26.27$26.0021.7%7.2%22.4%27.7%21.7%0.2%-2.5%289.9K-4.7M-42.1K1.0422.25N/AN/A7497809,5194,728
2015-02-10$26.04$26.0021.8%6.5%22.5%28.3%22.3%-1.1%-0.7%261.9K-4.3M-43.8K1.3928.91N/AN/A6268739,5524,727
2015-02-11$25.85$26.0022.3%6.4%18.2%31.0%22.1%0.5%0.3%242.9K-3.6M-43.2K1.3828.77N/AN/A6188529,5574,764
2015-02-12$25.69$26.0022.1%6.3%18.1%30.1%21.2%-0.1%1.1%224.9K-3.2M-42.6K1.6721.38N/AN/A6391,0649,5654,793
2015-02-13$26.00$26.0021.7%6.2%18.3%27.3%20.8%-2.5%2.0%274.4K-3.8M-42.2K1.1428.74N/AN/A6897889,6174,801
2015-02-17$26.15$26.0022.1%6.3%17.5%29.8%18.3%0.1%0.9%296.9K-4.7M-41.4K1.2031.57N/AN/A6537829,7224,804
2015-02-18$25.76$26.0020.9%6.0%18.0%22.1%21.8%-1.0%3.2%252.4K-3.1M-41.0K1.0640.01N/AN/A1,2911,3689,6944,802
2015-02-19$26.14$26.0024.4%7.0%18.7%41.9%19.4%3.0%-1.5%310.7K-4.4M-48.0K0.1431.40N/AN/A2944210,2905,156
2015-02-20$25.87$25.0020.3%5.8%18.9%19.2%21.9%-1.4%3.2%160.6K-3.4M-46.9K0.7222.60N/AN/A15611210,2865,028
2015-02-23$25.47$25.0021.4%6.1%19.5%25.1%16.3%-2.3%1.7%134.2K-3.5M-46.7K1.6923.44N/AN/A4066875,8243,082
2015-02-24$25.41$25.0017.4%5.0%19.4%2.7%18.5%-1.5%5.5%131.5K-3.5M-46.3K1.5723.78N/AN/A5648835,9053,130
2015-02-25$25.34$25.0018.2%5.2%19.3%7.1%17.7%-0.7%3.7%123.1K-3.3M-45.0K2.0828.77N/AN/A4991,0386,0802,949
2015-02-26$25.60$25.0019.8%5.7%18.7%16.2%15.1%-3.1%3.3%152.7K-3.6M-47.9K1.8328.97N/AN/A5661,0336,0843,142
2015-02-27$25.80$25.0021.0%6.0%18.8%22.6%19.1%0.1%0.8%164.3K-4.2M-47.5K1.6846.98N/AN/A6071,0226,1093,145