CORN Options History — October 2015

In October 2015, CORN traded between $22.69 and $24.00. ATM implied volatility averaged 24.2%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 8.5% (HV 20d: 15.7%). Max pain ranged from $24.00 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 1.39.

Notable Days

  • 2015-10-06: Highest Volume — 1,368 contracts
  • 2015-10-13: Largest IV drop — 23.3% change
  • 2015-10-09: Highest IV Rank — 52.6%
  • 2015-10-02: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.19$22.69$24.00$23.71$23.09
Max Pain$24.00$24.00$24.00$24.00$24.00
ATM IV24.2%17.2%31.9%25.8%22.0%
Expected Move6.6%4.9%8.0%7.4%6.3%
HV 20d15.7%13.1%18.3%18.3%14.4%
HV 60d22.2%20.2%24.3%24.3%20.2%
IV Rank28.8%7.0%52.6%33.7%21.9%
IV Percentile42.8%2.0%92.9%63.1%29.0%
Term Structure0.7%-1.5%4.9%-0.2%-1.1%
VWIV21.9%17.5%27.1%23.0%18.5%
Skew 25d0.6%-2.5%4.4%4.1%0.8%
Skew 10d4.9%-6.2%18.4%11.7%1.6%
Call IV 25d22.6%18.6%26.7%21.6%21.7%
Put IV 25d23.2%19.5%27.2%25.8%22.5%
Bid-Ask Spread %28.3219.0159.3539.9721.87
Gamma HHI0.170.150.220.150.18
Net GEX34.9K2.3K83.1K59.7K22.0K
Net DEX310.2K-760.1K946.4K-271.2K540.6K
Net VEX-20.4K-24.6K-16.3K-24.4K-17.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.391.103.631.281.34
Total Volume1,249.818371,3681,2841,284
Total OI7,164.5916,8627,4807,2087,041

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$23.71$24.0025.8%7.4%18.3%33.7%23.0%4.1%-0.2%59.7K-271.2K-24.4K1.2839.97N/AN/A5647204,5242,684
2015-10-02$23.54$24.0027.9%8.0%18.0%40.3%25.0%2.1%-1.5%46.3K-94.5K-24.3K1.3140.38N/AN/A5507204,5082,677
2015-10-05$23.76$24.0031.4%7.9%18.1%50.9%27.1%0.5%-0.6%61.0K-385.9K-23.7K3.6330.46N/AN/A8294,5232,677
2015-10-06$24.00$24.0030.1%7.3%17.8%47.0%25.7%-0.5%-1.0%77.0K-756.6K-24.6K1.1922.53N/AN/A6257434,5242,694
2015-10-07$23.87$24.0031.2%7.2%18.1%50.5%25.0%-0.8%-0.4%83.1K-760.1K-24.0K1.1024.25N/AN/A6346954,5392,691
2015-10-08$23.67$24.0030.6%7.1%18.0%48.5%23.8%-2.5%1.3%77.9K-500.9K-23.4K1.4124.38N/AN/A5507734,5452,690
2015-10-09$23.19$24.0031.9%7.3%16.3%52.6%24.3%0.5%0.1%43.7K-71.5K-23.3K1.4031.10N/AN/A5617834,5542,775
2015-10-12$23.11$24.0029.4%7.2%15.7%44.8%24.0%-2.3%-0.6%43.6K400.0K-21.6K1.2122.67N/AN/A6047304,5722,784
2015-10-13$23.30$24.0022.5%6.9%15.9%23.6%23.6%-0.3%0.3%53.6K445.0K-20.5K1.2321.48N/AN/A5787134,5902,786
2015-10-14$23.02$24.0021.3%6.1%16.2%19.9%23.2%0.0%4.9%33.0K362.2K-21.2K1.3232.46N/AN/A5767624,5992,787
2015-10-15$22.88$24.0023.4%6.7%15.7%26.2%22.9%0.2%0.6%11.8K847.0K-20.1K1.2824.14N/AN/A5647204,6242,856
2015-10-16$22.94$24.0021.0%6.0%15.6%18.9%22.0%-0.7%3.4%14.4K946.4K-19.0K1.2919.01N/AN/A5727374,6192,856
2015-10-19$22.69$24.0022.8%6.5%14.5%24.3%20.7%1.8%-1.2%5.3K892.2K-18.6K1.3419.64N/AN/A5407254,3602,502
2015-10-20$22.75$24.0021.2%6.1%14.3%19.5%22.2%3.1%2.2%6.6K834.9K-18.7K1.3128.10N/AN/A5707464,4152,511
2015-10-21$22.94$24.0019.8%5.7%14.6%15.0%17.7%4.4%2.3%6.8K668.6K-18.6K1.1525.77N/AN/A6327244,4502,536
2015-10-22$22.84$24.0021.7%6.2%14.6%20.9%22.3%-1.4%-1.2%14.4K651.8K-19.1K1.3322.94N/AN/A5557374,4472,536
2015-10-23$22.91$24.0021.0%6.0%13.1%18.9%17.8%-0.5%0.3%10.3K718.0K-18.2K1.2922.82N/AN/A5737384,4642,550
2015-10-26$23.19$24.0021.6%6.2%13.8%20.5%19.4%3.3%-0.5%32.5K425.4K-17.9K1.2423.95N/AN/A5907324,4612,551
2015-10-27$22.98$24.0018.8%5.4%14.0%11.9%18.9%2.7%2.6%36.6K404.1K-17.8K1.2932.13N/AN/A5687304,4822,563
2015-10-28$22.79$24.0017.2%4.9%14.2%7.0%18.1%-0.3%3.8%2.3K862.4K-16.3K1.3259.35N/AN/A5477224,4822,554
2015-10-29$22.97$24.0020.1%5.8%14.4%16.0%17.5%-1.0%2.7%26.6K667.0K-16.9K1.3133.68N/AN/A5507224,4832,555
2015-10-30$23.09$24.0022.0%6.3%14.4%21.9%18.5%0.8%-1.1%22.0K540.6K-17.3K1.3421.87N/AN/A5497354,4862,555