CORN Options History — September 2015

In September 2015, CORN traded between $22.15 and $23.78. ATM implied volatility averaged 29.2%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 8.9% (HV 20d: 20.3%). 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 7 of 21 days. Put/call ratio averaged 1.22.

Notable Days

  • 2015-09-16: Highest Volume — 1,669 contracts
  • 2015-09-08: Largest IV spike — 31.1% change
  • 2015-09-08: Highest IV Rank — 64.6%
  • 2015-09-09: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.08$22.15$23.78$22.48$23.58
Max Pain$23.76$23.00$24.00$23.00$24.00
ATM IV29.2%25.9%35.8%29.5%30.1%
Expected Move8.4%7.4%9.2%8.5%8.6%
HV 20d20.3%15.0%26.7%26.7%18.4%
HV 60d26.8%24.1%28.0%27.7%24.3%
IV Rank44.4%33.9%64.6%45.2%46.9%
IV Percentile82.6%67.5%96.8%88.1%88.9%
Term Structure-0.9%-3.7%2.0%1.3%-1.9%
VWIV27.5%21.7%38.4%30.0%24.7%
Skew 25d-0.5%-5.3%5.0%-4.0%3.9%
Skew 10d-1.1%-15.4%16.7%-13.5%16.7%
Call IV 25d29.0%22.7%32.6%31.4%23.8%
Put IV 25d28.5%23.6%34.1%27.5%27.7%
Bid-Ask Spread %41.6928.9179.7532.6439.86
Gamma HHI0.150.140.170.160.15
Net GEX43.3K16.8K92.3K38.4K48.4K
Net DEX125.1K-633.2K859.5K290.8K-190.3K
Net VEX-25.7K-27.8K-24.4K-26.8K-24.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.001.560.951.30
Total Volume1,286.381551,6691,3321,280
Total OI7,288.3817,0337,7807,0337,187

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$22.48$23.0029.5%8.5%26.7%45.2%30.0%-4.0%1.3%38.4K290.8K-26.8K0.9532.64N/AN/A6836494,6532,380
2015-09-02$22.39$23.0029.0%8.3%26.4%43.6%26.0%-4.0%0.7%37.8K506.0K-25.4K1.1050.86N/AN/A6346964,6892,358
2015-09-03$22.15$24.0029.9%8.4%26.5%46.5%29.9%-0.4%0.5%26.0K703.3K-25.4K1.2231.45N/AN/A6177524,6852,408
2015-09-04$22.16$23.0027.3%8.9%26.2%38.3%29.8%0.6%-2.8%16.8K859.5K-25.7K1.2934.87N/AN/A5997734,7022,461
2015-09-08$22.47$23.0035.8%9.2%22.3%64.6%0.0%-1.2%-3.7%27.6K646.3K-25.5K0.0048.64N/AN/A5504,7082,483
2015-09-09$22.48$23.0032.2%9.2%20.1%53.4%31.0%1.7%-1.2%35.0K425.9K-25.8K1.1739.52N/AN/A6327404,7332,484
2015-09-10$22.80$24.0031.7%9.1%15.0%52.0%29.7%-1.0%-2.4%22.6K509.7K-24.9K1.1937.66N/AN/A6517744,7382,487
2015-09-11$23.50$24.0029.4%8.4%17.4%44.8%28.2%0.9%1.7%55.5K-252.4K-25.6K1.5053.58N/AN/A6539774,7952,566
2015-09-14$23.78$24.0029.9%8.6%17.8%46.6%30.8%-1.8%0.7%92.3K-633.2K-27.4K1.4931.59N/AN/A6429544,8202,740
2015-09-15$23.65$24.0028.4%8.2%17.9%41.9%27.1%-1.0%-0.2%91.6K-597.0K-27.8K0.1744.45N/AN/A117204,8712,840
2015-09-16$23.44$24.0030.0%8.6%18.3%46.6%25.0%-1.7%-3.0%72.8K-393.5K-27.5K1.3749.97N/AN/A7059644,9112,841
2015-09-17$23.15$24.0025.9%7.4%18.9%33.9%38.4%-5.3%2.0%55.0K159.4K-24.4K1.3279.75N/AN/A6949164,9112,841
2015-09-18$23.00$24.0028.0%8.0%18.7%40.6%23.7%-0.8%-1.5%23.7K491.4K-25.5K1.3543.48N/AN/A6408624,9402,840
2015-09-21$23.42$24.0027.1%7.8%19.4%37.8%31.8%-2.1%-0.5%31.8K166.4K-25.2K1.5030.08N/AN/A5408084,4392,639
2015-09-22$23.21$24.0028.3%8.1%19.5%41.4%25.1%-0.1%-0.4%30.2K189.2K-25.7K1.5035.81N/AN/A5558304,4612,645
2015-09-23$23.29$24.0028.6%8.2%19.2%42.2%24.3%1.5%-3.0%35.3K56.3K-25.8K1.5628.91N/AN/A5328304,4792,669
2015-09-24$23.21$24.0027.9%8.0%18.9%40.3%23.7%0.7%-2.2%30.6K251.0K-25.1K1.5631.90N/AN/A5238144,4892,669
2015-09-25$23.61$24.0027.2%7.8%19.7%37.9%21.7%-2.3%1.2%40.8K-171.3K-25.3K1.5142.63N/AN/A5428164,4882,671
2015-09-28$23.46$24.0028.7%8.2%19.9%42.8%24.8%0.7%-1.3%47.5K-216.7K-25.1K1.3238.58N/AN/A5487264,4922,675
2015-09-29$23.55$24.0029.3%8.4%19.9%44.5%23.3%5.0%-2.5%50.2K-173.4K-24.6K1.3749.28N/AN/A5377344,4922,676
2015-09-30$23.58$24.0030.1%8.6%18.4%46.9%24.7%3.9%-1.9%48.4K-190.3K-24.7K1.3039.86N/AN/A5577234,5032,684