CORN Options History — February 2016

In February 2016, CORN traded between $20.66 and $21.79. ATM implied volatility averaged 15.2%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.9% (HV 20d: 11.2%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.28.

Notable Days

  • 2016-02-11: Highest Volume — 3,791 contracts
  • 2016-02-17: Largest IV drop — 26.3% change
  • 2016-02-09: Highest IV Rank — 22.1%
  • 2016-02-08: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.27$20.66$21.79$21.70$20.66
Max Pain$21.10$21.00$22.00$22.00$21.00
ATM IV15.2%11.0%20.8%14.5%11.0%
Expected Move4.4%3.1%5.3%4.2%3.1%
HV 20d11.2%9.9%13.2%13.2%10.3%
HV 60d13.4%13.1%13.9%13.9%13.3%
IV Rank7.2%0.0%22.1%3.4%0.0%
IV Percentile3.9%0.0%30.6%0.4%0.0%
Term Structure2.9%-0.7%10.2%1.1%6.3%
VWIV13.0%9.6%17.1%15.1%9.6%
Skew 25d-2.3%-7.1%4.9%-0.1%-2.8%
Skew 10d1.7%-10.8%32.6%16.2%-3.7%
Call IV 25d15.5%10.0%19.0%15.4%12.3%
Put IV 25d13.2%9.4%18.1%15.3%9.4%
Bid-Ask Spread %32.0114.1780.1546.1927.81
Gamma HHI0.190.150.260.180.26
Net GEX-13.2K-80.0K43.0K-6.2K-67.7K
Net DEX1.5M614.9K2.2M614.9K1.9M
Net VEX-25.4K-29.3K-18.1K-18.2K-28.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.281.063.792.031.12
Total Volume2,270.31,5953,7911,7822,391
Total OI6,876.25,4257,8375,4267,538

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$21.70$22.0014.5%4.2%13.2%3.4%15.1%-0.1%1.1%-6.2K614.9K-18.2K2.0346.19N/AN/A5881,1943,1412,285
2016-02-02$21.79$22.0016.7%4.8%11.9%9.8%17.1%2.9%0.7%6.6K633.4K-18.1K2.2920.63N/AN/A6171,4143,1402,285
2016-02-03$21.75$21.0016.2%4.6%12.0%8.3%15.4%-1.8%1.1%14.4K915.7K-20.6K2.2714.17N/AN/A6341,4363,2012,533
2016-02-04$21.65$21.0013.8%4.8%12.1%1.2%16.4%-2.8%2.7%19.0K910.4K-21.4K3.3825.94N/AN/A4331,4643,2312,563
2016-02-05$21.44$21.0015.8%4.8%12.8%7.4%11.2%-4.4%2.5%13.4K1.0M-20.7K2.9726.28N/AN/A5041,4993,3642,593
2016-02-08$21.24$21.0017.3%5.3%12.7%11.7%12.3%-5.9%-0.3%-7.1K1.2M-20.7K2.4626.25N/AN/A6251,5373,3462,621
2016-02-09$21.19$21.0020.8%5.0%11.5%22.1%11.3%-7.1%1.4%-16.0K1.3M-21.6K3.7625.03N/AN/A6442,4193,5472,707
2016-02-10$21.15$21.0017.1%4.9%11.2%11.2%14.9%-6.7%2.2%-58.2K2.2M-28.3K1.7420.19N/AN/A1,3542,3543,6633,641
2016-02-11$21.14$21.0016.0%4.6%11.0%7.7%15.0%-6.1%3.3%-14.6K2.1M-28.2K1.6722.80N/AN/A1,4192,3723,9923,679
2016-02-12$21.05$21.0016.2%4.7%11.0%8.5%11.1%-4.3%3.0%-14.4K2.0M-28.7K3.7937.97N/AN/A6262,3724,0653,679
2016-02-16$21.20$21.0016.7%4.8%10.5%9.8%10.5%0.5%-0.7%-23.7K1.8M-28.4K3.7736.98N/AN/A6292,3714,0843,678
2016-02-17$21.45$21.0012.3%3.5%10.1%0.0%12.1%4.9%6.0%43.0K1.6M-28.1K2.3872.54N/AN/A6541,5564,1063,677
2016-02-18$21.33$21.0015.4%4.4%10.2%9.0%13.9%-3.0%4.5%7.4K1.6M-27.8K1.9480.15N/AN/A6311,2224,1313,675
2016-02-19$21.34$21.0015.5%4.4%9.9%9.2%13.9%-1.1%3.0%-13.6K1.6M-29.3K1.8016.95N/AN/A6641,1934,1583,679
2016-02-22$21.48$21.0012.0%3.5%9.9%0.0%12.8%3.0%10.2%28.0K1.4M-28.4K1.8826.54N/AN/A5781,0873,5243,476
2016-02-23$21.18$21.0011.8%3.4%11.0%0.0%12.7%-2.4%5.4%1611.5M-28.1K1.8131.67N/AN/A6001,0873,5953,499
2016-02-24$21.07$21.0014.6%4.2%11.1%7.8%15.7%-5.7%1.8%-30.9K1.8M-28.3K1.8341.70N/AN/A5931,0873,6233,499
2016-02-25$20.88$21.0015.0%4.3%11.3%9.0%10.3%-1.5%1.3%-64.0K2.0M-27.7K1.5717.74N/AN/A6219743,6343,499
2016-02-26$20.81$21.0014.3%4.1%10.8%7.1%9.9%-2.4%2.3%-80.0K2.2M-27.4K1.0622.74N/AN/A9521,0113,6633,510
2016-02-29$20.66$21.0011.0%3.1%10.3%0.0%9.6%-2.8%6.3%-67.7K1.9M-28.3K1.1227.81N/AN/A1,1291,2624,0103,528