CORN Options History — August 2015

In August 2015, CORN traded between $22.54 and $24.18. ATM implied volatility averaged 29.6%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 0.7% (HV 20d: 28.8%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2015-08-10: Highest Volume — 2,298 contracts
  • 2015-08-10: Largest IV spike — 14.4% change
  • 2015-08-10: Highest IV Rank — 59.7%
  • 2015-08-12: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.06$22.54$24.18$22.91$22.91
Max Pain$23.38$23.00$24.00$24.00$23.00
ATM IV29.6%25.5%34.2%29.4%28.6%
Expected Move8.4%7.3%9.4%8.4%8.2%
HV 20d28.8%25.8%33.0%25.8%25.9%
HV 60d26.9%25.0%28.0%25.0%27.5%
IV Rank45.4%32.7%59.7%44.8%42.3%
IV Percentile87.8%68.7%95.6%91.3%83.7%
Term Structure-0.8%-5.3%4.5%-0.9%1.5%
VWIV29.4%27.0%33.6%30.2%28.6%
Skew 25d-3.5%-7.0%0.4%-2.5%-6.1%
Skew 10d-8.0%-18.0%15.6%-17.1%-6.4%
Call IV 25d31.4%28.2%34.6%32.3%32.3%
Put IV 25d27.8%22.9%30.5%29.8%26.2%
Bid-Ask Spread %34.4215.3657.0917.5231.23
Gamma HHI0.190.150.290.230.16
Net GEX132.7K47.4K376.6K165.2K50.1K
Net DEX699.2K-2.9M2.8M1.5M172.8K
Net VEX-31.6K-36.8K-26.9K-35.8K-26.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.321.120.320.98
Total Volume1,417.1431122,2981961,294
Total OI13,623.2866,77316,68715,9186,978

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$22.91$24.0029.4%8.4%25.8%44.8%30.2%-2.5%-0.9%165.2K1.5M-35.8K0.3217.52N/AN/A1494711,3874,531
2015-08-04$23.00$24.0030.3%8.7%26.1%47.6%31.1%-4.0%-2.6%188.5K893.6K-36.7K0.7615.36N/AN/A1,22592711,4124,503
2015-08-05$23.25$24.0030.0%8.6%26.7%46.9%29.5%-2.9%-1.6%216.9K405.1K-36.6K0.7616.75N/AN/A1,20592011,3924,511
2015-08-06$23.08$24.0029.1%8.0%26.1%44.0%29.7%-4.2%-0.5%209.1K449.7K-36.2K0.6722.59N/AN/A1,24883911,4094,514
2015-08-07$23.27$24.0029.9%8.0%25.9%46.4%28.8%-1.2%-0.9%199.3K547.6K-35.3K0.6624.66N/AN/A1,27784211,4844,533
2015-08-10$24.18$24.0034.2%8.5%29.5%59.7%29.2%-3.1%-3.0%376.6K-2.9M-36.8K0.6328.05N/AN/A1,41188711,4894,537
2015-08-11$23.47$24.0030.9%8.4%29.6%49.6%29.0%-4.5%-2.3%277.8K-909.4K-36.2K0.9741.38N/AN/A767411,5964,591
2015-08-12$22.54$23.0032.7%9.4%31.8%55.2%33.2%-7.0%-5.3%83.4K2.8M-31.2K1.1257.06N/AN/A9031,00711,6244,598
2015-08-13$22.94$24.0030.8%8.8%33.0%49.3%29.2%-2.2%-3.1%134.4K2.0M-32.4K1.0130.81N/AN/A74875211,9004,706
2015-08-14$22.93$23.0028.2%8.1%32.8%41.0%30.1%-3.7%-1.3%130.1K1.9M-32.5K0.9938.92N/AN/A77977211,9424,728
2015-08-17$22.90$23.0029.4%8.4%31.6%45.0%28.6%0.4%-3.9%104.0K2.3M-30.3K1.0545.18N/AN/A72676111,9394,744
2015-08-18$23.00$23.0028.4%8.2%31.7%41.9%28.1%-3.1%-1.8%109.2K2.2M-30.0K1.1035.75N/AN/A65571811,9314,714
2015-08-19$23.03$23.0027.8%8.0%31.6%39.8%28.6%-2.1%-1.0%112.4K1.7M-30.1K0.6736.46N/AN/A674511,9284,733
2015-08-20$23.25$23.0028.6%8.2%32.0%42.4%29.4%-4.3%-1.6%121.5K1.2M-30.3K1.1040.52N/AN/A66172711,9314,747
2015-08-21$23.01$23.0028.5%8.2%31.0%41.9%28.6%-5.5%-0.4%47.4K518.8K-28.9K1.0349.36N/AN/A79681611,9294,758
2015-08-24$23.20$23.0032.0%9.2%27.7%52.8%33.6%-1.4%-0.3%48.4K90.3K-26.9K1.0234.13N/AN/A6196334,4642,309
2015-08-25$22.98$23.0028.7%8.2%27.8%42.6%29.7%-6.1%3.9%56.5K-366.4K-28.8K0.9757.09N/AN/A6596374,5122,306
2015-08-26$22.75$23.0030.2%8.7%27.1%47.3%27.3%-5.6%1.8%54.0K-100.9K-28.0K1.0138.51N/AN/A6246334,5812,326
2015-08-27$22.85$23.0028.0%8.0%26.2%40.3%27.0%-2.7%1.5%47.8K135.9K-27.0K0.9236.16N/AN/A6786214,5862,327
2015-08-28$22.85$23.0025.5%7.3%26.1%32.7%27.7%-2.0%4.5%53.1K42.8K-27.1K0.9125.33N/AN/A6826204,6172,342
2015-08-31$22.91$23.0028.6%8.2%25.9%42.3%28.6%-6.1%1.5%50.1K172.8K-26.9K0.9831.23N/AN/A6546404,6352,343