CORN Options History — July 2015

In July 2015, CORN traded between $22.88 and $26.99. ATM implied volatility averaged 33.0%, placing in the 64.1% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 4.0% (HV 20d: 29.0%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.54.

Notable Days

  • 2015-07-06: Highest Volume — 3,505 contracts
  • 2015-07-14: Largest IV drop — 25.5% change
  • 2015-07-06: Highest IV Rank — 100.0%
  • 2015-07-02: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.20$22.88$26.99$26.04$23.12
Max Pain$23.95$23.00$24.00$24.00$24.00
ATM IV33.0%28.1%47.2%35.7%28.1%
Expected Move8.7%8.1%10.6%10.2%8.1%
HV 20d29.0%25.2%33.9%28.2%25.9%
HV 60d22.4%20.8%25.1%21.1%25.1%
IV Rank64.1%41.0%100.0%91.3%41.0%
IV Percentile95.2%87.7%100.0%99.6%87.7%
Term Structure-3.1%-8.0%0.8%-4.5%-0.3%
VWIV30.6%26.2%34.2%32.9%30.2%
Skew 25d-3.5%-6.0%-1.3%-2.8%-3.8%
Skew 10d-8.6%-18.5%10.8%4.3%-13.1%
Call IV 25d32.8%29.3%37.3%37.3%31.7%
Put IV 25d29.3%26.7%35.9%34.5%27.9%
Bid-Ask Spread %26.9015.1752.2948.6618.01
Gamma HHI0.210.170.280.280.23
Net GEX493.8K176.2K743.6K613.7K202.2K
Net DEX-9.9M-18.8M1.1M-14.0M416.2K
Net VEX-48.1K-55.9K-37.6K-52.6K-39.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.703.101.300.81
Total Volume2,632.0452,0863,5052,8212,137
Total OI16,401.68215,00618,84716,08015,888

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$26.04$24.0035.7%10.2%28.2%91.3%32.9%-2.8%-4.5%613.7K-14.0M-52.6K1.3048.66N/AN/A1,2241,59711,2024,878
2015-07-02$26.27$24.0036.9%10.6%28.2%96.2%34.2%-1.5%-6.7%559.4K-14.2M-53.0K1.2523.91N/AN/A1,3641,71010,8804,885
2015-07-06$26.24$23.0039.1%8.9%28.1%100.0%31.6%-4.3%-3.6%589.0K-14.7M-54.2K1.4930.68N/AN/A1,4102,09511,4294,976
2015-07-07$26.04$24.0037.6%8.9%28.5%94.0%32.0%-2.8%-3.4%629.3K-14.1M-54.9K2.3425.43N/AN/A9022,11511,8625,247
2015-07-08$26.05$24.0038.3%9.2%28.5%96.7%32.8%-3.0%-3.3%611.2K-14.0M-55.9K2.0332.53N/AN/A8221,66811,8075,305
2015-07-09$26.29$24.0037.7%8.9%27.1%94.2%33.0%-4.4%-4.5%630.7K-15.3M-54.7K2.5334.36N/AN/A6531,65511,8705,336
2015-07-10$26.58$24.0039.3%8.7%26.9%100.0%31.9%-4.9%-3.9%708.3K-17.2M-52.1K3.1052.29N/AN/A5751,78511,9925,394
2015-07-13$26.99$24.0047.2%8.8%26.2%100.0%33.5%-2.4%-3.5%584.4K-18.8M-49.6K2.6641.66N/AN/A6491,72512,0545,437
2015-07-14$26.21$24.0035.2%8.1%28.3%62.8%26.2%-5.6%-3.5%657.4K-16.4M-48.9K1.7330.36N/AN/A9621,66712,0405,489
2015-07-15$26.32$24.0028.4%8.1%28.3%41.6%30.7%-2.6%-2.9%702.0K-16.4M-49.8K1.3029.60N/AN/A1,1841,53712,3845,518
2015-07-16$26.18$24.0028.5%8.2%28.4%42.2%30.6%-2.9%-3.3%743.6K-17.4M-50.0K1.3524.32N/AN/A1,1531,55812,8865,510
2015-07-17$25.73$24.0029.6%8.5%29.4%45.4%29.4%-3.5%-3.6%544.4K-14.7M-50.9K1.3819.53N/AN/A1,1511,59413,3215,526
2015-07-20$24.97$24.0028.7%8.2%31.5%42.8%28.8%-6.0%-0.3%472.8K-7.6M-48.7K1.4030.03N/AN/A1,1491,60610,9954,011
2015-07-21$25.02$24.0028.3%8.1%31.3%41.6%27.8%-1.3%0.8%472.5K-6.9M-48.0K1.3921.36N/AN/A1,1411,58111,0364,114
2015-07-22$24.77$24.0028.8%8.3%31.3%43.0%28.9%-3.5%-0.6%447.2K-6.1M-47.4K1.3717.26N/AN/A1,1601,59311,0214,115
2015-07-23$24.76$24.0029.3%8.4%31.2%44.4%29.2%-2.1%-3.2%444.7K-5.8M-46.4K1.3517.11N/AN/A1,1271,52311,0224,115
2015-07-24$24.14$24.0029.3%8.4%31.1%44.6%29.1%-3.9%-8.0%376.2K-3.9M-44.1K1.2519.81N/AN/A1,2461,56311,0374,143
2015-07-27$23.18$24.0029.6%8.5%33.8%45.5%30.0%-5.7%-2.8%257.5K-1.0M-40.7K1.6121.20N/AN/A1,1121,78611,1144,150
2015-07-28$23.34$24.0029.6%8.5%33.9%45.4%29.4%-2.4%-1.7%222.5K-2.8K-39.3K0.7118.73N/AN/A1,29592111,1114,384
2015-07-29$22.88$24.0030.4%8.7%25.2%47.9%30.2%-3.9%-0.5%176.2K1.1M-37.6K0.7019.79N/AN/A1,22586111,2214,421
2015-07-30$23.31$24.0031.0%8.9%26.4%49.8%30.2%-2.8%-4.1%217.7K83.0K-39.2K0.8715.17N/AN/A1,13698811,2484,463
2015-07-31$23.12$24.0028.1%8.1%25.9%41.0%30.2%-3.8%-0.3%202.2K416.2K-39.4K0.8118.01N/AN/A1,18295511,3474,541