CME
SP ES NK ND ED EY
JY BP AD CD MP SF
LC FC LH LB
CBOT
DJ US TY WT
SB BO SM C
CBOE
SX OX
CSCE
CA CF HS
NYCE
OJ CT
NYMEX
HO CL NG HU
COMEX
GC SI HG
DAILY SUMMARY
Main Page
Opt Calc
NEW - Web POP
Bookstore
Sponsored by PMpublishing
NEW FEATURE - Web POP, interactive, online options risk management. Click Here for more information.

Daily Corn Option Analysis - Thu, January 15, 2004
Hit reload on your browser if the date is incorrect.
Help
FREE Email Summaries
Month
FEB
MAR
MAY
JUL
SEP
DEC
 Futures
Closing Price
268.06
268.06
272.04
276.00
270.04
268.06
 Days Left
7
27
72
117
162
227
 Implied ATM
Volatility
23.90%
25.09%
82.06%
27.36%
29.37%
97.87%
 Last Trading Date
Fri, Jan. 23, 2004
Fri, Feb. 20, 2004
Fri, Apr. 23, 2004
Fri, Jun. 25, 2004
Fri, Aug. 27, 2004
Fri, Nov. 26, 2004
ArrowHistorical v. Implied Volatility Graphs
ArrowHistorical Volatility Tables
ArrowImplied Standard Deviations

FEB Implied Volatility v. 2-Week Historical Volatility
June 17, 2010 - January 15, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

FEB Futures
June 17, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

MAR Implied Volatility v. 2-Week Historical Volatility
June 3, 2010 - January 15, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

MAR Futures
June 3, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

APR Implied Volatility v. 2-Week Historical Volatility
June 17, 2010 - January 15, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

APR Futures
June 17, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

MAY Implied Volatility v. 2-Week Historical Volatility
June 3, 2010 - January 15, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

MAY Futures
June 3, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

JUN Implied Volatility v. 2-Week Historical Volatility
September 17, 2010 - January 15, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

JUN Futures
September 17, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

JUL Implied Volatility v. 2-Week Historical Volatility
June 24, 2010 - January 15, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

JUL Futures
June 24, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

AUG Futures
August 26, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

SEP Implied Volatility v. 2-Week Historical Volatility
September 9, 2010 - January 15, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

SEP Futures
September 9, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

OCT Futures
December 2, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

NOV Futures
December 2, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

DEC Implied Volatility v. 2-Week Historical Volatility
December 2, 2010 - January 15, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

DEC Futures
December 2, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

Historical Volatilities for CO
1-Week 2-Week 1-Month 6-Week 2-Month 3-Month 4-Month 6-Month
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
 15.43%
15.43%
15.05%
15.05%
14.81%
14.81%
14.59%
14.59%
 16.30%
16.30%
15.63%
15.63%
14.86%
14.86%
n/a
n/a
 17.65%
17.65%
16.81%
16.81%
n/a
n/a
n/a
n/a
 n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
 n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
 n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
 n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
 n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a

Implied Standard Deviations for CO
1-Day 3-Day 1-Week 2-Week 1-Month 2-Month 3-Month ATM Vol.
FEB
MAR
MAY
JUL
SEP
DEC
 4-00
4-01
13-07
4-05
4-07
16-02
 6-07
7-02
23-07
8-01
8-04
28-01
 10-04
11-00
36-04
12-03
13-00
43-00
 14-07
15-05
51-06
17-04
18-03
60-06
 21-06
22-06
75-05
25-05
26-07
89-00
 31-00
32-04
107-07
36-04
38-03
126-07
 37-07
39-06
131-07
44-05
46-07
154-07
 23.90%
25.09%
82.06%
27.36%
29.37%
97.87%

FEB - CO Next (MAR) - Top
SETTLE (CLOSE) FAIR VALUE TICKS OVER FAIR IMPLIED VOLATILITY IMPLIED DELTA VEGA GAMMA THETA C/R
STRIKE Call Put Call Put Call Put Call Put Call Put (ticks) (ticks) (ticks)
220
225
230
235
240
245
250
255
260
265
270*
275
280
290
---
---
---
3306
2806
2306
1807
1402
906
602
305
200
100
2
1
1
1
1
1
1
1
3
101
204
500
---
1204
---
4806
4306
3806
3306
2806
2306
1807
1401
907
602
305
107
7
1
---
---
---
---
0
0
1
3
101
204
407
801
1200
2103
---
---
---
0
0
0
0
+1
-1
0
0
+1
+1
+1
+1
+1
+1
+1
+1
+1
0
0
0
0
+1
---
+4
---
----
----
----
30.18
25.37
20.82
24.40
25.14
22.77
23.60
24.01
25.03
25.62
27.83
56.71
51.12
45.60
40.13
34.68
29.25
23.80
23.14
23.73
23.57
24.74
----
27.91
----
*.99
*.99
*.98
1.00
1.00
1.00
.97
.90
.82
.65
.46
.29
.17
.05
-.01
-.02
-.02
-.02
-.02
-.03
-.03
-.08
-.19
-.35
-.54
*-.70
-.81
*-.95
.00
.00
.00
.00
.00
.00
.00
.01
.01
.01
.01
.01
.01
.00
0.1
0.2
0.2
0.3
0.3
0.5
0.7
1
3
4
4
3
2
0.8
0.4
0.4
0.4
0.4
0.4
0.4
0.4
0.8
1.6
2.3
2.6
2.2
1.9
0.7
---
---
---
1
1
1
0
1
1
0
1
---
2
---
FEB Fut=268.06 Days=7 atmVol=23.90% IntRate = 5.50%
FEB Volatility Skew
Last Trading Date: January 23, 2004
Strike v. Volatility
www.pmpublishing.com
MAR - CO Next (MAY) - Previous (FEB) - Top
SETTLE (CLOSE) FAIR VALUE TICKS OVER FAIR IMPLIED VOLATILITY IMPLIED DELTA VEGA GAMMA THETA C/R
STRIKE Call Put Call Put Call Put Call Put Call Put (ticks) (ticks) (ticks)
190
200
210
220
230
235
240
245
250
255
260
265
270*
275
280
290
295
300
310
320
340
360
380
7806
6806
5806
4806
3806
---
2900
2404
2002
1604
1300
1002
801
600
406
205
200
104
6
4
1
1
1
1
1
1
1
1
2
4
7
106
206
402
604
902
---
1600
2305
---
3206
---
5105
---
---
11102
7806
6806
5806
4806
3807
3400
2903
2500
2006
1700
1304
1004
800
600
402
201
103
7
3
1
0
---
---
---
---
0
0
2
3
6
102
201
302
407
606
902
1201
1504
2302
2704
3200
4104
5102
7102
9102
11102
0
0
0
0
-1
---
-3
-4
-4
-4
-4
-2
+1
0
+4
+4
+5
+5
+3
+3
+1
+1
+1
+1
+1
+1
+1
-1
-1
-2
-3
-3
-4
-5
-2
0
---
+4
+3
---
+6
---
+3
---
---
0
45.79
39.06
32.60
26.50
20.57
----
21.19
22.24
22.61
23.40
23.38
24.21
25.39
25.24
26.54
27.39
28.16
28.77
29.16
31.36
32.22
38.80
44.87
46.91
40.68
34.68
28.88
23.23
22.92
22.88
22.46
23.44
23.17
23.25
24.16
25.05
----
26.70
26.74
----
29.47
----
31.88
----
----
45.74
1.00
1.00
1.00
1.00
1.00
*.97
.95
.91
.85
.77
.68
.58
.49
.40
.33
.21
.16
.13
.07
.05
.01
.01
.01
-.01
-.01
-.01
-.01
-.02
-.03
-.06
-.09
-.16
-.23
-.31
-.41
-.50
*-.59
-.67
-.80
*-.83
-.86
*-.93
-.95
*-1.00
*-1.00
-1.00
.00
.00
.00
.00
.00
.00
.01
.01
.02
.02
.02
.03
.03
.03
.02
.02
.02
.01
.01
.01
.00
.00
.00
0.1
0.1
0.1
0.1
0.2
0.4
0.6
0.9
1
2
2
2
2
2
2
1
1
0.8
0.5
0.4
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.2
0.3
0.5
0.7
0.9
1.1
1.2
1.3
1.2
1.2
1.0
0.9
0.8
0.5
0.4
0.1
0.1
0.2
1
1
1
1
1
---
2
1
2
0
0
0
1
---
0
2
---
0
---
1
---
---
1
MAR Fut=268.06 Days=27 atmVol=25.09% IntRate = 5.50%
MAR Volatility Skew
Last Trading Date: February 20, 2004
Strike v. Volatility
www.pmpublishing.com
MAY - CO Next (JUL) - Previous (MAR) - Top
SETTLE (CLOSE) FAIR VALUE TICKS OVER FAIR IMPLIED VOLATILITY IMPLIED DELTA VEGA GAMMA THETA C/R
STRIKE Call Put Call Put Call Put Call Put Call Put (ticks) (ticks) (ticks)
120
130
140
150
160
170
180
190
200
210
220
230
240
250
260
270*
280
290
300
---
---
---
---
10204
10204
8600
8600
6204
6204
5606
5606
5204
---
4300
---
4300
---
3402
100
100
201
201
404
404
800
800
1300
1300
---
---
---
3306
---
---
---
---
10704
15206
14301
13306
12406
11601
10707
10000
9204
8503
7806
7204
6605
6101
5601
5103
4700
4300
3902
3507
7
103
201
302
404
602
802
1006
1305
1607
2004
2404
2807
3306
3807
4404
5003
5604
6300
---
---
---
---
-1305
-503
-1400
-604
-2207
-1602
-1506
-907
-805
---
-803
---
0
---
-105
+1
-3
0
-101
0
-106
-2
-206
-5
-307
---
---
---
0
---
---
---
---
+4404
----
----
----
----
----
----
----
59.07
----
----
42.04
60.50
64.43
----
66.44
----
82.06
----
79.16
84.76
77.30
81.80
74.49
81.78
74.29
80.98
73.26
80.47
72.38
----
----
----
82.07
----
----
----
----
162.35
*.99
*.98
*.96
*.96
*.92
*.92
*.88
.90
*.82
*.80
.85
.75
.70
*.65
.61
*.59
.55
*.52
.49
-.02
-.02
-.04
-.04
-.07
-.08
-.12
-.13
-.17
-.19
*-.14
*-.24
*-.29
-.33
*-.37
*-.40
*-.43
*-.47
-.37
.01
.01
.01
.01
.02
.02
.02
.02
.03
.03
.03
.04
.04
.04
.04
.04
.04
.05
.05
0.0
0.0
0.1
0.1
0.1
0.1
0.2
0.2
0.2
0.3
0.4
0.4
0.4
0.3
0.4
0.3
0.3
0.3
0.2
0.3
0.3
0.5
0.5
0.9
0.9
1.2
1.2
1.6
1.5
0.7
1.5
1.7
2.3
2.0
2.5
2.5
2.5
4.8
---
---
---
---
1405
405
1405
405
2301
1301
---
---
---
---
---
---
---
---
4507
MAY Fut=272.04 Days=72 atmVol=82.06% IntRate = 5.50%
JUL - CO Next (SEP) - Previous (MAY) - Top
SETTLE (CLOSE) FAIR VALUE TICKS OVER FAIR IMPLIED VOLATILITY IMPLIED DELTA VEGA GAMMA THETA C/R
STRIKE Call Put Call Put Call Put Call Put Call Put (ticks) (ticks) (ticks)
200
210
220
230
240
250
260
270*
---
---
---
---
---
---
---
---
1
2
102
204
402
700
1102
1606
7601
6604
5704
4901
4103
3403
2801
2205
5
102
202
306
507
806
1203
1606
---
---
---
---
---
---
---
---
-4
-100
-100
-102
-105
-106
-101
0
----
----
----
----
----
----
----
----
21.02
20.09
23.39
23.87
23.89
24.35
25.69
27.36
*1.00
*1.00
*.94
*.88
*.82
*.74
*.66
*.57
-.01
-.02
-.06
-.11
-.17
-.24
-.33
-.41
.00
.01
.02
.03
.04
.05
.05
.06
0.1
0.1
0.3
0.4
0.6
0.7
0.8
0.8
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.6
---
---
---
---
---
---
---
---
JUL Fut=276.00 Days=117 atmVol=27.36% IntRate = 5.50%
JUL Volatility Skew
Last Trading Date: June 25, 2004
Strike v. Volatility
www.pmpublishing.com
SEP - CO Next (DEC) - Previous (JUL) - Top
SETTLE (CLOSE) FAIR VALUE TICKS OVER FAIR IMPLIED VOLATILITY IMPLIED DELTA VEGA GAMMA THETA C/R
STRIKE Call Put Call Put Call Put Call Put Call Put (ticks) (ticks) (ticks)
220
230
240
250
260
270*
280
290
300
310
320
340
360
380
---
4506
3806
3300
2803
2406
2101
1800
1503
1301
1100
806
700
502
400
600
804
1300
1800
2400
3001
---
---
---
---
---
---
11404
5500
4705
4007
3406
2902
2404
2003
1606
1306
1101
900
507
305
202
505
800
1100
1406
1900
2400
2905
3507
4205
4907
5704
7400
9105
11002
---
-107
-201
-106
-7
+2
+6
+102
+105
+200
+200
+207
+303
+300
-105
-200
-204
-106
-100
0
+4
---
---
---
---
---
---
+402
----
26.07
26.21
27.02
28.20
29.64
30.29
30.85
31.43
31.96
32.15
34.21
35.91
36.58
26.03
25.89
25.56
27.06
28.05
29.33
29.95
----
----
----
----
----
----
40.07
*.86
.80
.74
.67
.60
.54
.48
.42
.37
.33
.29
.23
.19
.15
-.13
-.18
-.24
-.31
-.38
-.44
-.50
*-.55
*-.60
*-.65
*-.69
*-.75
*-.80
-.82
.04
.04
.05
.06
.06
.07
.07
.07
.06
.06
.06
.05
.05
.04
0.4
0.5
0.6
0.6
0.6
0.6
0.6
0.6
0.6
0.5
0.5
0.4
0.3
0.3
0.3
0.3
0.4
0.5
0.5
0.6
0.6
0.6
0.6
0.6
0.6
0.5
0.5
0.5
---
6
2
4
1
2
4
---
---
---
---
---
---
2
SEP Fut=270.04 Days=162 atmVol=29.37% IntRate = 5.50%
SEP Volatility Skew
Last Trading Date: August 27, 2004
Strike v. Volatility
www.pmpublishing.com
DEC - CO Previous (SEP) - Top
SETTLE (CLOSE) FAIR VALUE TICKS OVER FAIR IMPLIED VOLATILITY IMPLIED DELTA VEGA GAMMA THETA C/R
STRIKE Call Put Call Put Call Put Call Put Call Put (ticks) (ticks) (ticks)
90
100
110
120
130*
3300
2803
2404
2102
1804
607
1003
---
1400
1806
18204
17406
16703
16005
15401
701
905
1202
1503
1806
-14904
-14603
-14207
-13903
-13505
-2
+6
---
-103
0
----
----
----
----
----
96.59
100.57
----
94.36
97.87
*.95
*.93
*.91
*.90
*.88
-.05
-.06
*-.07
-.08
-.10
.02
.02
.03
.03
.04
0.0
0.0
0.1
0.1
0.1
0.4
0.5
0.6
0.6
0.7
15207
15100
---
14106
13806
DEC Fut=268.06 Days=227 atmVol=97.87% IntRate = 5.50%
DEC Volatility Skew
Last Trading Date: November 26, 2004
Strike v. Volatility
www.pmpublishing.com
We are currently in the process of adding features to the site. Please do not hesitate to let us know what trading tools you would like to have. You can submit your email address if you want a reply or if you want to be informed of future updates.
Suggestions:
E-mail:

PMpublishing's Daily Options Summary Home Page

Click Here for FREE Options Summaries Emailed Directly to you

E-mail: info@pmpublishing.com

Copyright © 1995-2001, PMpublishing
Disclaimer