CORN Options History — March 2015

In March 2015, CORN traded between $24.46 and $25.89. ATM implied volatility averaged 22.2%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 5.2% (HV 20d: 16.9%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.03.

Notable Days

  • 2015-03-31: Highest Volume — 2,055 contracts
  • 2015-03-11: Largest IV spike — 48.8% change
  • 2015-03-27: Highest IV Rank — 54.0%
  • 2015-03-27: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.39$24.46$25.89$25.59$24.75
Max Pain$25.41$25.00$26.00$25.00$25.00
ATM IV22.2%15.4%25.9%19.0%19.3%
Expected Move6.6%5.4%7.4%5.4%5.5%
HV 20d16.9%14.6%23.8%18.9%23.8%
HV 60d19.3%18.2%21.3%19.5%21.3%
IV Rank32.6%0.0%54.0%9.2%20.1%
IV Percentile45.3%0.0%86.9%2.8%5.2%
Term Structure1.1%-2.3%5.3%5.3%2.6%
VWIV23.2%19.0%28.4%19.0%22.7%
Skew 25d-3.4%-7.2%3.4%-0.7%-6.8%
Skew 10d-2.9%-13.1%22.4%-4.4%-5.0%
Call IV 25d24.4%20.1%28.7%20.1%24.0%
Put IV 25d21.0%17.1%27.7%19.4%17.2%
Bid-Ask Spread %37.0822.5351.1434.4851.14
Gamma HHI0.180.140.290.180.14
Net GEX161.5K-15.5K287.4K175.1K229.3K
Net DEX-3.7M-5.7M-1.2M-4.3M-3.9M
Net VEX-45.8K-50.7K-42.8K-47.3K-48.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.032.331.490.60
Total Volume743.818272,0551,7192,055
Total OI9,711.2279,05310,5119,28010,511

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$25.59$25.0019.0%5.4%18.9%9.2%19.0%-0.7%5.3%175.1K-4.3M-47.3K1.4934.48N/AN/A6891,0306,1363,144
2015-03-03$25.77$25.0019.2%5.5%19.0%10.5%21.9%-3.1%3.4%201.7K-4.2M-46.4K1.7539.77N/AN/A5891,0306,2663,155
2015-03-04$25.60$25.0019.2%5.5%15.0%10.2%20.1%-3.4%3.7%173.5K-4.1M-47.1K1.7622.53N/AN/A5841,0296,2553,154
2015-03-05$25.63$26.0019.1%6.7%15.0%9.5%22.5%-1.1%0.8%186.5K-4.1M-46.9K1.7724.38N/AN/A5771,0246,2613,158
2015-03-06$25.36$26.0016.5%6.8%15.3%0.0%22.4%-2.2%-0.3%149.9K-3.5M-46.1K1.9925.23N/AN/A4979886,2533,164
2015-03-09$25.57$26.0020.9%6.7%15.6%23.9%23.3%-1.8%0.3%166.8K-3.9M-45.8K1.2528.24N/AN/A12156,2323,235
2015-03-10$25.49$26.0015.4%6.6%14.7%0.0%21.8%-2.3%0.2%153.0K-3.5M-45.3K0.4334.79N/AN/A122536,2273,233
2015-03-11$25.68$26.0022.9%6.6%14.7%38.4%22.2%-5.8%1.7%186.5K-4.2M-45.5K0.5740.63N/AN/A53306,2393,277
2015-03-12$25.54$26.0022.1%6.4%14.6%34.8%20.2%-0.5%2.6%164.9K-3.8M-45.6K0.7644.74N/AN/A123946,2913,302
2015-03-13$25.00$26.0024.4%7.0%16.3%46.5%23.5%-0.4%-2.3%105.8K-3.0M-45.0K0.8838.77N/AN/A2231966,3903,373
2015-03-16$24.96$26.0023.3%6.7%15.5%40.4%24.8%-1.8%1.6%40.9K-2.1M-44.4K1.7346.19N/AN/A26456,4733,474
2015-03-17$24.46$26.0021.3%6.1%16.5%30.2%21.0%-6.1%1.1%-15.5K-1.2M-43.0K0.7741.16N/AN/A1681306,4713,494
2015-03-18$24.74$25.0025.4%7.3%16.7%51.3%25.1%-5.7%-2.2%25.9K-1.4M-43.1K1.6839.98N/AN/A37626,5703,517
2015-03-19$24.67$25.0023.7%6.8%15.5%42.6%23.6%-7.2%0.3%26.5K-1.3M-42.8K2.3349.33N/AN/A481126,5903,514
2015-03-20$25.27$25.0025.3%7.3%17.9%51.1%26.0%-4.6%4.0%160.1K-2.8M-43.8K0.2949.09N/AN/A337976,6163,501
2015-03-23$25.61$25.0024.1%6.9%17.7%44.6%23.4%-4.7%0.9%185.4K-3.9M-44.8K0.2138.65N/AN/A196416,1162,937
2015-03-24$25.84$25.0025.7%7.4%18.0%53.0%23.9%-5.9%-1.6%206.6K-4.4M-44.6K0.1534.37N/AN/A342536,2452,944
2015-03-25$25.87$25.0025.8%7.4%17.9%53.3%28.4%-5.2%-1.0%227.7K-4.7M-44.8K0.0337.76N/AN/A35496,4352,948
2015-03-26$25.64$25.0024.7%7.1%17.9%47.7%23.7%-3.7%0.6%243.0K-5.0M-47.5K0.8528.22N/AN/A1,0348826,7682,949
2015-03-27$25.64$25.0025.9%7.4%17.7%54.0%25.6%-4.6%0.4%272.6K-5.2M-50.7K0.1031.83N/AN/A5057,4472,939
2015-03-30$25.89$25.0024.4%7.0%17.8%46.5%24.9%3.4%1.6%287.4K-5.7M-49.9K1.1434.47N/AN/A6177067,4992,944
2015-03-31$24.75$25.0019.3%5.5%23.8%20.1%22.7%-6.8%2.6%229.3K-3.9M-48.1K0.6051.14N/AN/A1,2827737,5682,943