CORN Options History — April 2015

In April 2015, CORN traded between $23.50 and $25.39. ATM implied volatility averaged 21.1%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 1.0% (HV 20d: 22.2%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2015-04-02: Highest Volume — 3,132 contracts
  • 2015-04-06: Largest IV spike — 36.2% change
  • 2015-04-06: Highest IV Rank — 57.7%
  • 2015-04-01: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.48$23.50$25.39$25.05$23.53
Max Pain$24.57$24.00$25.00$25.00$24.00
ATM IV21.1%17.6%26.6%23.6%17.6%
Expected Move6.0%5.0%6.8%6.8%5.0%
HV 20d22.2%14.1%24.8%24.3%14.1%
HV 60d19.7%18.1%21.1%20.9%18.1%
IV Rank29.6%11.3%57.7%42.4%11.3%
IV Percentile30.5%1.6%92.5%66.3%1.6%
Term Structure4.7%0.8%7.0%0.8%1.2%
VWIV20.3%13.5%22.7%22.7%15.0%
Skew 25d-1.9%-7.1%0.6%-2.5%-3.7%
Skew 10d-4.5%-14.3%20.5%20.5%-10.1%
Call IV 25d22.7%20.2%26.1%26.1%22.8%
Put IV 25d20.8%16.9%23.6%23.6%19.1%
Bid-Ask Spread %28.8920.8561.6339.3720.85
Gamma HHI0.140.130.170.140.13
Net GEX181.4K78.7K277.1K228.3K162.9K
Net DEX-1.8M-4.5M1.2M-3.5M907.5K
Net VEX-46.4K-52.0K-40.6K-47.1K-41.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.492.030.811.60
Total Volume1,532.1432463,1321,7711,468
Total OI12,050.95210,99412,73510,99412,696

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$25.05$25.0023.6%6.8%24.3%42.4%22.7%-2.5%0.8%228.3K-3.5M-47.1K0.8139.37N/AN/A9797927,9713,023
2015-04-02$25.39$25.0019.5%6.7%24.8%21.4%21.6%-2.6%5.1%277.1K-4.5M-50.1K2.0333.51N/AN/A1,0342,0988,1113,044
2015-04-06$25.24$25.0026.6%6.6%24.6%57.7%22.6%-3.1%5.9%249.7K-4.3M-52.0K1.4835.11N/AN/A7631,1298,1503,762
2015-04-07$25.13$25.0024.7%6.6%24.4%47.8%22.5%-3.4%6.0%231.4K-3.9M-51.8K1.2335.36N/AN/A7809568,2483,765
2015-04-08$24.89$25.0022.3%6.4%24.6%35.7%21.1%-1.5%6.0%211.7K-3.4M-51.0K0.5533.15N/AN/A159878,2623,766
2015-04-09$24.82$25.0022.6%6.5%24.4%37.1%21.6%-1.0%5.3%181.2K-2.6M-49.9K1.8423.01N/AN/A4418128,2573,776
2015-04-10$24.76$25.0022.5%6.5%24.4%36.7%20.9%-0.6%5.1%165.5K-2.4M-49.1K1.6924.08N/AN/A4717968,2263,776
2015-04-13$24.32$25.0021.0%6.0%24.0%28.9%21.5%0.1%6.9%108.7K-1.6M-46.5K2.0024.19N/AN/A4198388,2333,780
2015-04-14$24.50$25.0021.8%6.3%24.2%33.1%21.3%-0.3%4.6%78.7K-1.4M-46.6K1.6021.47N/AN/A4907838,2383,910
2015-04-15$24.64$25.0019.9%5.7%23.2%23.3%20.2%0.1%7.0%106.9K-1.6M-46.4K1.3226.46N/AN/A4746268,2473,903
2015-04-16$24.59$25.0021.1%6.1%22.9%29.6%20.1%-2.7%5.6%110.6K-1.6M-45.6K1.3425.61N/AN/A4626178,2483,879
2015-04-17$24.87$25.0020.5%5.9%23.2%26.4%13.5%-1.5%6.7%135.0K-2.1M-46.2K0.5423.19N/AN/A1,0875928,2483,869
2015-04-20$24.68$24.0020.2%5.8%21.6%25.0%18.9%-0.5%2.6%211.7K-3.0M-46.7K0.5726.59N/AN/A1,1096298,0863,547
2015-04-21$24.46$24.0019.4%5.6%21.1%20.6%18.9%-5.3%4.2%212.8K-2.1M-45.8K0.4925.57N/AN/A1,4347098,1883,554
2015-04-22$24.44$24.0020.0%5.7%20.7%23.5%19.5%0.6%4.3%225.9K-2.0M-46.4K0.7722.45N/AN/A9447308,5533,604
2015-04-23$24.24$24.0020.1%5.8%20.7%24.3%21.4%0.4%4.1%224.9K-2.3M-46.4K0.9430.66N/AN/A7497028,5963,604
2015-04-24$23.84$24.0018.9%5.4%21.1%18.0%18.2%-2.4%6.0%213.0K-472.1K-43.2K1.2024.51N/AN/A6617908,5633,612
2015-04-27$23.50$24.0019.1%5.5%21.4%18.9%21.0%-0.9%6.4%161.7K888.0K-41.1K0.9823.75N/AN/A8137948,5703,840
2015-04-28$23.51$24.0019.3%5.5%20.9%20.0%22.1%-2.9%3.0%157.3K1.2M-41.3K1.0726.25N/AN/A7668178,6513,979
2015-04-29$23.70$24.0023.0%6.6%15.0%39.2%22.2%-7.1%1.2%154.7K1.2M-40.6K1.2861.63N/AN/A6047718,6894,046
2015-04-30$23.53$24.0017.6%5.0%14.1%11.3%15.0%-3.7%1.2%162.9K907.5K-41.6K1.6020.85N/AN/A5659038,7103,986