CORN Options History — April 2016

In April 2016, CORN traded between $20.21 and $22.34. ATM implied volatility averaged 22.1%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 1.3% (HV 20d: 23.4%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2016-04-01: Highest Volume — 2,159 contracts
  • 2016-04-12: Largest IV spike — 49.7% change
  • 2016-04-12: Highest IV Rank — 49.9%
  • 2016-04-26: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.14$20.21$22.34$20.26$21.90
Max Pain$20.95$20.00$21.00$20.00$21.00
ATM IV22.1%14.3%29.1%15.4%27.3%
Expected Move6.2%4.4%8.2%4.4%7.8%
HV 20d23.4%18.7%31.1%19.1%25.6%
HV 60d16.1%13.8%19.5%14.3%19.5%
IV Rank30.6%9.3%49.9%12.1%45.0%
IV Percentile44.3%3.2%79.8%6.0%67.9%
Term Structure2.8%-2.6%6.5%5.9%-1.3%
VWIV20.7%15.0%27.0%15.5%24.8%
Skew 25d-0.6%-8.0%16.7%16.7%-3.7%
Skew 10d1.6%-12.3%41.4%41.4%-5.2%
Call IV 25d21.8%14.9%29.6%21.8%29.4%
Put IV 25d21.2%14.2%38.4%38.4%25.6%
Bid-Ask Spread %39.4319.2574.0032.7459.96
Gamma HHI0.260.230.290.250.29
Net GEX226.2K159.1K299.8K159.1K269.2K
Net DEX-2.2M-5.2M-407.0K-407.0K-3.8M
Net VEX-48.7K-53.8K-44.0K-46.8K-53.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.471.510.711.25
Total Volume1,382.9051,0082,1592,1591,008
Total OI12,812.28612,09913,72412,45113,724

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$20.26$20.0015.4%4.4%19.1%12.1%15.5%16.7%5.9%159.1K-407.0K-46.8K0.7132.74N/AN/A1,2618989,0543,397
2016-04-04$20.21$21.0021.8%4.9%18.7%29.8%19.2%0.3%5.4%184.2K-496.9K-45.5K1.2464.57N/AN/A7359159,1363,399
2016-04-05$20.35$21.0016.0%4.9%18.9%13.7%17.8%1.4%5.3%192.8K-560.5K-45.4K0.8630.80N/AN/A6385479,1233,423
2016-04-06$20.41$21.0014.3%5.1%19.0%9.3%17.1%1.1%5.4%192.3K-534.6K-44.8K0.8755.33N/AN/A5935139,0843,408
2016-04-07$20.56$21.0017.9%5.3%19.1%19.0%17.9%-4.3%4.8%217.5K-895.5K-45.5K0.7826.40N/AN/A6595139,0533,408
2016-04-08$20.59$21.0019.3%5.2%19.0%22.9%17.5%-2.3%4.5%235.9K-1.2M-45.6K0.6627.67N/AN/A7204729,1323,409
2016-04-11$20.29$21.0019.4%4.8%19.4%23.3%15.0%-1.3%5.0%193.5K-602.0K-44.0K0.7119.25N/AN/A6624729,0913,419
2016-04-12$20.58$21.0029.1%5.6%19.7%49.9%19.4%3.5%4.2%218.5K-878.7K-44.6K0.7020.59N/AN/A7295129,0713,419
2016-04-13$21.19$21.0018.5%5.3%22.5%20.7%16.9%-2.4%5.4%240.8K-2.1M-46.6K0.4932.85N/AN/A1,1815809,0103,469
2016-04-14$21.20$21.0021.1%6.0%22.5%27.9%17.3%-0.2%2.9%283.1K-2.3M-47.0K0.6126.94N/AN/A9015538,9333,498
2016-04-15$21.37$21.0021.7%6.2%22.7%29.6%19.7%4.6%2.3%187.3K-2.8M-48.3K0.5530.43N/AN/A1,0035538,8463,498
2016-04-18$21.58$21.0020.5%5.9%22.9%26.2%19.4%2.2%2.0%215.4K-2.8M-47.8K1.2240.90N/AN/A5466658,6573,442
2016-04-19$21.87$21.0022.9%6.6%23.3%33.1%20.4%6.5%6.5%225.4K-3.4M-50.3K0.4749.41N/AN/A1,3416328,6393,589
2016-04-20$22.34$21.0026.2%7.5%24.3%41.9%24.3%-4.7%-2.0%299.8K-5.2M-53.4K0.5044.00N/AN/A1,4067029,3463,673
2016-04-21$21.70$21.0020.3%5.8%26.7%25.6%22.3%-3.3%0.7%265.6K-4.2M-52.1K1.0043.29N/AN/A7067049,2053,845
2016-04-22$20.96$21.0022.4%6.4%29.6%31.6%24.6%-3.0%6.4%212.1K-1.8M-50.2K1.5139.65N/AN/A5398169,2724,054
2016-04-25$21.48$21.0026.4%7.6%30.9%42.6%25.5%-4.2%-2.6%221.8K-2.4M-51.9K1.4040.56N/AN/A4656499,3794,132
2016-04-26$21.71$21.0028.6%8.2%31.1%48.7%25.8%-7.8%-2.0%251.6K-3.0M-53.0K1.2931.11N/AN/A5036499,4294,181
2016-04-27$21.52$21.0027.2%7.8%30.8%44.7%27.0%-8.0%1.4%229.3K-2.7M-52.6K1.2374.00N/AN/A4675759,4184,181
2016-04-28$21.85$21.0027.2%7.8%25.6%44.8%26.9%-3.3%-2.3%254.1K-3.5M-53.8K1.1237.55N/AN/A4995599,4204,192
2016-04-29$21.90$21.0027.3%7.8%25.6%45.0%24.8%-3.7%-1.3%269.2K-3.8M-53.8K1.2559.96N/AN/A4495599,4974,227