CORN Options History — June 2015

In June 2015, CORN traded between $22.42 and $25.88. ATM implied volatility averaged 26.8%, placing in the 59.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 8.8% (HV 20d: 18.0%). Max pain ranged from $21.00 to $24.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.88.

Notable Days

  • 2015-06-26: Highest Volume — 5,642 contracts
  • 2015-06-23: Largest IV spike — 21.5% change
  • 2015-06-30: Highest IV Rank — 100.0%
  • 2015-06-30: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.35$22.42$25.88$22.70$25.88
Max Pain$22.86$21.00$24.00$21.00$24.00
ATM IV26.8%21.7%37.7%22.9%37.7%
Expected Move7.8%6.3%10.8%6.6%10.8%
HV 20d18.0%16.1%28.2%16.2%28.2%
HV 60d18.4%17.1%21.1%18.5%21.1%
IV Rank59.0%34.1%100.0%40.1%100.0%
IV Percentile81.9%36.1%100.0%54.4%100.0%
Term Structure0.1%-8.7%4.6%1.7%-8.7%
VWIV27.8%19.5%36.0%19.5%35.3%
Skew 25d-2.2%-6.9%7.9%0.7%7.9%
Skew 10d-5.3%-22.5%14.9%-3.1%14.9%
Call IV 25d28.6%22.2%38.8%23.1%31.8%
Put IV 25d26.4%23.0%39.7%23.8%39.7%
Bid-Ask Spread %29.2015.6056.0815.6029.29
Gamma HHI0.160.120.300.150.28
Net GEX227.0K92.1K528.7K170.5K528.7K
Net DEX-4.0M-12.7M-837.4K-2.5M-12.7M
Net VEX-45.9K-52.8K-41.5K-45.0K-52.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.331.680.331.02
Total Volume1,917.6362905,6422,1733,271
Total OI13,539.45512,47715,61213,09215,612

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$22.70$21.0022.9%6.6%16.2%40.1%19.5%0.7%1.7%170.5K-2.5M-45.0K0.3315.60N/AN/A1,6325419,3083,784
2015-06-02$23.05$21.0022.6%6.5%17.2%38.5%22.2%1.0%3.7%184.8K-3.4M-46.1K0.5322.25N/AN/A1901009,3883,792
2015-06-03$23.09$22.0022.0%6.3%17.2%35.3%23.3%-2.3%4.6%196.2K-3.8M-47.1K0.9420.08N/AN/A5665319,3533,829
2015-06-04$23.30$23.0021.7%7.5%17.1%34.1%27.1%-1.8%2.2%183.2K-4.1M-46.8K0.4728.61N/AN/A1,1645509,3613,843
2015-06-05$23.22$23.0025.7%7.4%16.4%53.9%27.2%-2.4%0.9%192.8K-3.7M-46.9K0.4332.01N/AN/A1,2715519,2563,868
2015-06-08$23.46$23.0023.9%7.9%16.6%44.8%28.3%-2.0%-0.8%199.6K-4.6M-47.3K0.4218.85N/AN/A1,2495239,3593,869
2015-06-09$23.48$23.0027.2%7.8%16.1%61.5%27.1%-3.9%-0.4%207.6K-3.9M-46.0K0.4639.26N/AN/A1,1105149,1753,866
2015-06-10$23.05$23.0025.2%7.2%17.5%51.6%24.7%0.4%0.3%192.2K-3.4M-43.8K0.7137.46N/AN/A1,0247239,2153,866
2015-06-11$23.00$23.0025.2%7.2%17.4%51.3%25.9%-6.2%2.2%144.7K-2.6M-45.1K0.7133.54N/AN/A9927049,2504,098
2015-06-12$22.75$23.0026.3%7.5%16.2%57.0%26.0%-2.6%-0.4%126.1K-2.1M-44.0K1.6828.56N/AN/A4367329,2834,095
2015-06-15$22.42$23.0026.4%7.6%16.7%57.6%26.5%-4.0%-0.0%112.6K-837.4K-41.5K1.5123.47N/AN/A5127759,3454,099
2015-06-16$22.70$23.0028.0%8.0%17.2%65.6%27.1%-4.5%-0.6%92.1K-1.6M-44.0K1.3822.06N/AN/A5317349,4434,192
2015-06-17$23.09$23.0025.5%7.3%17.8%52.8%27.6%-1.1%1.2%127.4K-2.7M-44.1K1.1322.46N/AN/A6497339,5184,200
2015-06-18$23.00$23.0027.0%7.7%17.6%60.6%29.6%-3.2%-1.0%135.6K-2.9M-44.2K1.2022.61N/AN/A6517849,6874,211
2015-06-19$22.73$23.0024.9%7.1%17.4%49.9%28.7%0.9%3.5%180.4K-1.5M-42.6K1.3431.48N/AN/A6708989,8034,248
2015-06-22$23.03$23.0025.4%7.3%17.9%52.4%26.7%-6.1%3.5%184.9K-2.0M-42.3K0.7949.15N/AN/A9027098,6913,786
2015-06-23$23.45$23.0030.9%8.8%18.3%79.8%30.8%-4.1%-1.6%245.6K-3.5M-44.7K0.4024.99N/AN/A1,6986738,9233,823
2015-06-24$23.36$23.0028.1%8.1%17.5%66.2%28.5%-0.5%0.1%338.6K-4.3M-46.7K0.7427.96N/AN/A1,0137489,7143,822
2015-06-25$24.05$23.0030.7%8.8%19.9%79.2%31.7%-3.0%-1.2%399.4K-6.2M-45.5K0.8930.64N/AN/A1,3351,1929,6683,882
2015-06-26$24.41$23.0029.4%8.4%20.0%72.5%31.3%-4.5%1.2%450.8K-8.3M-51.0K0.6926.10N/AN/A3,3442,29810,1094,068
2015-06-29$24.37$24.0033.6%9.6%20.1%93.3%36.0%-6.9%-7.2%399.8K-7.0M-52.0K1.5156.08N/AN/A1,1811,78410,3864,780
2015-06-30$25.88$24.0037.7%10.8%28.2%100.0%35.3%7.9%-8.7%528.7K-12.7M-52.8K1.0229.29N/AN/A1,6171,65410,8064,806