CORN Options History — March 2016

In March 2016, CORN traded between $20.16 and $21.41. ATM implied volatility averaged 17.7%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 7.6% (HV 20d: 10.1%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2016-03-31: Highest Volume — 3,629 contracts
  • 2016-03-03: Largest IV spike — 39.1% change
  • 2016-03-16: Highest IV Rank — 27.3%
  • 2016-03-16: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.00$20.16$21.41$20.56$20.16
Max Pain$20.45$20.00$21.00$21.00$20.00
ATM IV17.7%13.1%20.9%15.5%19.2%
Expected Move5.2%3.8%6.0%4.4%5.5%
HV 20d10.1%7.1%19.0%10.1%19.0%
HV 60d11.6%10.7%14.3%13.1%14.3%
IV Rank18.5%5.8%27.3%12.6%22.7%
IV Percentile17.4%1.6%39.3%6.0%24.2%
Term Structure1.1%-3.1%7.8%2.1%-3.1%
VWIV17.2%10.9%24.4%11.1%24.4%
Skew 25d-3.0%-11.0%13.5%-4.3%-11.0%
Skew 10d-1.8%-16.1%43.6%-0.9%-16.1%
Call IV 25d19.2%15.1%22.8%15.4%22.8%
Put IV 25d16.1%10.7%35.0%11.1%11.8%
Bid-Ask Spread %40.6611.6788.6840.0354.32
Gamma HHI0.230.170.330.290.24
Net GEX75.4K-86.8K204.5K-63.6K174.8K
Net DEX201.7K-2.2M2.1M1.9M-225.7K
Net VEX-37.1K-48.8K-29.4K-29.4K-43.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.272.121.330.38
Total Volume2,428.6821,8223,6292,5763,629
Total OI9,547.4097,80111,6127,80111,612

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$20.56$21.0015.5%4.4%10.1%12.6%11.1%-4.3%2.1%-63.6K1.9M-29.4K1.3340.03N/AN/A1,1051,4714,2743,527
2016-03-02$20.54$21.0013.1%3.8%9.8%5.8%10.9%-4.4%2.7%-72.0K2.1M-31.3K1.7931.29N/AN/A8111,4554,7123,745
2016-03-03$20.60$21.0018.2%5.2%10.0%19.9%18.0%-4.2%1.1%-86.8K2.0M-31.7K1.4744.64N/AN/A8431,2434,8163,745
2016-03-04$20.78$21.0013.2%5.1%10.7%6.1%15.1%-0.4%1.2%-29.1K1.7M-31.7K1.5037.02N/AN/A8291,2434,8733,750
2016-03-07$20.80$20.0014.8%5.1%10.4%10.5%16.8%-2.3%1.2%-17.5K1.6M-31.6K1.4822.76N/AN/A8381,2444,8673,750
2016-03-08$20.85$21.0016.3%5.4%10.0%14.7%17.2%-1.0%-1.0%15.8K1.8M-30.3K2.1259.44N/AN/A5841,2384,8613,772
2016-03-09$20.76$21.0016.4%4.7%10.1%15.0%16.0%-1.6%1.5%-8.3K1.7M-31.2K1.6527.76N/AN/A7201,1874,9693,770
2016-03-10$20.90$21.0018.6%5.3%10.5%21.1%17.3%-2.3%-0.4%50.7K1.3M-30.2K1.6524.19N/AN/A7211,1875,0873,610
2016-03-11$21.02$21.0016.9%4.8%10.7%16.2%17.1%-0.3%0.6%46.5K909.7K-30.6K1.7722.43N/AN/A6661,1825,1243,610
2016-03-14$21.26$21.0018.1%5.2%11.3%19.6%16.3%-4.8%0.9%83.9K407.0K-31.9K1.2011.67N/AN/A1,0201,2255,1453,615
2016-03-15$21.23$21.0017.4%5.0%11.1%17.7%13.8%-5.5%2.0%96.9K-451.2K-39.1K0.8814.06N/AN/A1,7001,4946,2973,647
2016-03-16$21.24$20.0020.9%6.0%10.2%27.3%18.0%-2.0%-0.6%89.7K-465.9K-39.1K0.9288.68N/AN/A1,6371,5036,4313,824
2016-03-17$21.24$20.0017.6%5.0%10.0%18.3%15.4%-6.1%2.0%126.1K-609.9K-39.4K0.8420.35N/AN/A1,6451,3766,4993,834
2016-03-18$21.15$20.0018.0%5.2%10.1%19.4%15.5%-6.3%1.2%122.2K-628.2K-39.1K0.8476.52N/AN/A1,6091,3496,5693,840
2016-03-21$21.24$20.0019.7%5.6%9.9%24.1%17.8%-4.9%0.3%123.7K-345.7K-39.0K0.4978.32N/AN/A1,5317476,0263,223
2016-03-22$21.29$20.0019.3%5.5%8.6%22.9%18.5%-2.6%0.1%140.5K-765.6K-40.9K0.4917.32N/AN/A1,6197966,3193,276
2016-03-23$21.20$20.0018.6%5.3%8.5%21.0%17.8%-5.9%2.4%131.4K-574.8K-40.9K0.2764.78N/AN/A2,4316666,3873,304
2016-03-24$21.26$20.0019.4%5.6%7.8%23.2%19.2%-3.0%-0.4%173.6K-1.5M-45.6K0.4920.10N/AN/A1,3726697,2933,304
2016-03-28$21.30$20.0020.4%5.9%7.6%26.1%19.9%-4.3%2.1%173.2K-1.4M-44.7K0.4979.60N/AN/A1,3636697,3783,304
2016-03-29$21.41$20.0016.7%4.8%7.1%15.8%18.7%13.5%7.8%183.3K-1.7M-45.7K0.3930.23N/AN/A1,6616507,4163,304
2016-03-30$21.11$20.0020.7%5.9%8.8%26.9%22.6%-3.4%0.6%204.5K-2.2M-48.8K0.3529.04N/AN/A1,8486558,0063,328
2016-03-31$20.16$20.0019.2%5.5%19.0%22.7%24.4%-11.0%-3.1%174.8K-225.7K-43.7K0.3854.32N/AN/A2,6339968,2693,343