CORN Options History — May 2015

In May 2015, CORN traded between $22.55 and $23.64. ATM implied volatility averaged 21.1%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.4% (HV 20d: 14.7%). Max pain ranged from $21.00 to $24.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2015-05-13: Highest Volume — 4,080 contracts
  • 2015-05-07: Largest IV spike — 55.1% change
  • 2015-05-14: Highest IV Rank — 45.4%
  • 2015-05-07: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.19$22.55$23.64$23.35$22.63
Max Pain$22.35$21.00$24.00$24.00$21.00
ATM IV21.1%14.9%24.0%17.1%21.4%
Expected Move6.4%4.9%7.4%4.9%6.1%
HV 20d14.7%12.7%16.4%12.7%16.3%
HV 60d18.2%18.0%18.5%18.2%18.5%
IV Rank30.7%0.0%45.4%9.0%32.6%
IV Percentile36.2%0.0%69.0%0.8%32.1%
Term Structure2.8%-1.5%7.8%7.8%4.8%
VWIV21.9%16.9%26.5%16.9%24.3%
Skew 25d-1.5%-3.5%0.8%-2.0%-1.3%
Skew 10d-7.5%-13.0%2.3%-9.6%-4.4%
Call IV 25d23.4%19.0%27.5%19.0%21.6%
Put IV 25d21.9%17.0%25.4%17.0%20.3%
Bid-Ask Spread %28.1418.1943.1918.1924.21
Gamma HHI0.140.120.180.140.15
Net GEX178.6K48.9K322.7K129.5K170.1K
Net DEX-1.4M-6.8M2.9M1.9M-2.8M
Net VEX-43.2K-48.9K-36.5K-40.1K-45.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.202.131.210.41
Total Volume1,908.65864,0801,3392,300
Total OI13,391.3512,32517,43912,83513,046

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$23.35$24.0017.1%4.9%12.7%9.0%16.9%-2.0%7.8%129.5K1.9M-40.1K1.2118.19N/AN/A6057348,7314,104
2015-05-04$23.22$24.0016.7%6.3%12.7%6.8%24.0%-2.1%2.6%112.0K2.4M-37.7K0.2023.17N/AN/A203418,7544,093
2015-05-05$23.28$24.0023.6%6.6%12.9%42.2%23.5%-1.4%2.7%108.4K2.3M-38.5K1.0727.11N/AN/A7548068,8764,136
2015-05-06$23.51$24.0014.9%7.3%13.6%0.0%25.1%-2.1%0.1%146.4K1.7M-41.1K0.8826.71N/AN/A7796879,0114,275
2015-05-07$23.18$24.0023.2%7.4%14.2%41.3%23.9%-1.4%-1.5%119.9K2.1M-39.9K0.8636.48N/AN/A8197019,0734,286
2015-05-08$23.34$24.0018.9%6.5%14.6%19.6%26.5%-0.5%3.0%122.8K2.3M-39.9K2.1330.16N/AN/A621329,1134,289
2015-05-11$23.10$24.0021.3%6.3%13.8%31.8%23.1%-3.4%3.6%89.6K2.5M-38.0K1.0041.62N/AN/A43439,1434,257
2015-05-12$23.09$24.0018.8%6.9%13.4%19.5%21.7%-1.1%0.8%48.9K2.9M-36.5K0.8343.19N/AN/A8897359,1874,271
2015-05-13$23.20$24.0022.0%6.3%13.3%35.4%19.2%-2.2%5.2%123.1K2.1M-39.0K0.2434.03N/AN/A3,2778039,4194,321
2015-05-14$23.64$21.0024.0%6.9%15.4%45.4%21.9%0.8%1.9%322.7K-3.2M-46.5K0.3223.12N/AN/A3,04998511,6794,352
2015-05-15$23.45$21.0023.0%6.6%14.7%40.4%21.7%-2.0%2.7%253.7K-4.3M-47.4K0.5228.43N/AN/A2,0501,06512,8244,615
2015-05-18$23.63$21.0023.3%6.7%15.0%42.1%23.1%-1.8%0.0%249.7K-6.8M-48.0K0.5530.07N/AN/A2441339,4983,278
2015-05-19$23.29$21.0024.0%6.9%15.5%45.3%22.7%-1.2%1.3%271.3K-5.9M-46.6K0.6230.00N/AN/A2041269,5943,212
2015-05-20$23.10$21.0022.4%6.4%15.6%37.6%18.9%0.2%1.6%274.1K-5.9M-46.6K0.4627.36N/AN/A1,6647679,7093,142
2015-05-21$23.39$21.0021.8%6.3%16.4%34.5%21.0%-1.8%2.6%264.7K-5.1M-46.7K0.3621.89N/AN/A2,0467399,3183,340
2015-05-22$23.18$21.0021.6%6.2%15.6%33.7%17.4%-1.0%1.8%278.9K-6.0M-48.9K0.2924.25N/AN/A2,5877459,7603,350
2015-05-26$22.88$21.0022.2%6.4%15.5%36.4%21.3%-2.7%4.6%168.8K-3.3M-46.4K0.4125.74N/AN/A1,7597238,8423,483
2015-05-27$22.55$21.0019.5%5.6%16.2%23.1%19.4%-3.5%7.7%154.3K-2.7M-45.4K0.4127.31N/AN/A1,7197018,9973,615
2015-05-28$22.77$21.0022.2%6.4%16.3%36.5%21.9%0.3%2.5%163.7K-2.7M-45.6K0.4219.69N/AN/A1,7277279,1573,677
2015-05-29$22.63$21.0021.4%6.1%16.3%32.6%24.3%-1.3%4.8%170.1K-2.8M-45.5K0.4124.21N/AN/A1,6336679,2863,760