CORN Options History — May 2016

In May 2016, CORN traded between $20.67 and $22.54. ATM implied volatility averaged 26.3%, placing in the 42.3% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 0.9% (HV 20d: 27.2%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2016-05-25: Highest Volume — 1,560 contracts
  • 2016-05-09: Largest IV spike — 20.6% change
  • 2016-05-09: Highest IV Rank — 56.8%
  • 2016-05-02: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.72$20.67$22.54$21.90$22.16
Max Pain$21.95$21.00$22.00$21.00$22.00
ATM IV26.3%21.5%31.5%29.8%26.6%
Expected Move7.4%6.2%8.5%8.5%7.6%
HV 20d27.2%23.0%30.9%25.6%24.0%
HV 60d21.7%19.5%22.8%19.5%22.8%
IV Rank42.3%29.1%56.8%51.9%43.3%
IV Percentile62.7%41.7%92.5%85.3%61.9%
Term Structure1.1%-4.0%4.6%-4.0%1.4%
VWIV25.9%20.1%30.5%27.7%29.5%
Skew 25d-4.1%-10.8%1.3%-6.0%-10.8%
Skew 10d-10.5%-20.8%0.5%-7.6%-9.3%
Call IV 25d27.9%23.9%31.9%31.9%30.8%
Put IV 25d23.9%18.8%28.4%25.9%20.0%
Bid-Ask Spread %50.7425.1187.8739.2242.73
Gamma HHI0.340.280.430.300.36
Net GEX310.0K202.1K457.8K276.4K355.7K
Net DEX-3.6M-6.1M-1.2M-3.4M-5.8M
Net VEX-49.7K-51.7K-47.6K-51.6K-48.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.411.111.110.56
Total Volume1,173.6199761,5609761,300
Total OI13,760.52412,42514,57013,77613,058

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$21.90$21.0029.8%8.5%25.6%51.9%27.7%-6.0%-4.0%276.4K-3.4M-51.6K1.1139.22N/AN/A4625149,5494,227
2016-05-03$21.26$22.0025.1%7.2%28.2%39.0%27.4%-1.3%1.2%250.1K-2.6M-50.8K0.8635.62N/AN/A5754969,5744,229
2016-05-04$21.14$22.0026.1%7.5%28.3%41.7%27.3%-9.1%-1.8%239.1K-2.1M-50.5K0.7825.11N/AN/A6114779,6664,235
2016-05-05$20.98$22.0027.1%7.5%28.4%44.5%28.0%-5.1%0.7%210.8K-1.6M-49.7K0.6932.71N/AN/A6234309,7874,241
2016-05-06$21.17$22.0026.2%7.4%28.6%41.9%28.1%-4.4%2.0%230.1K-1.7M-49.4K0.7532.58N/AN/A5734309,7784,240
2016-05-09$20.67$22.0031.5%7.5%29.4%56.8%30.0%-10.0%-2.3%202.1K-1.2M-47.6K0.6241.13N/AN/A7774799,7884,240
2016-05-10$21.31$22.0028.6%7.4%30.9%48.8%26.8%1.3%3.3%252.2K-1.9M-48.1K0.6752.78N/AN/A7274869,9734,214
2016-05-11$21.25$22.0027.2%7.8%29.2%44.9%30.5%-2.5%1.6%260.1K-2.2M-49.5K0.6750.88N/AN/A7234869,9894,209
2016-05-12$21.78$22.0026.4%7.6%30.5%42.7%26.1%0.9%1.5%332.9K-3.3M-50.3K0.8551.96N/AN/A5925029,9814,211
2016-05-13$21.84$22.0027.5%7.9%30.4%45.5%26.0%-0.1%-0.6%352.8K-3.6M-50.1K0.7277.66N/AN/A72752710,0004,233
2016-05-16$21.96$22.0027.4%7.9%30.2%45.3%26.3%-6.4%2.0%381.9K-4.1M-49.4K0.5469.71N/AN/A8894809,9824,213
2016-05-17$22.03$22.0025.8%7.4%29.9%40.8%23.6%-4.3%2.1%457.8K-5.0M-51.0K0.5535.72N/AN/A86948010,3404,226
2016-05-18$22.08$22.0024.7%7.1%28.9%37.8%24.4%-4.0%2.7%445.6K-5.2M-51.7K0.5578.40N/AN/A89249410,3434,227
2016-05-19$21.69$22.0024.9%7.1%27.7%38.5%25.8%-6.8%0.6%380.2K-3.9M-49.9K0.8467.11N/AN/A60450710,1544,227
2016-05-20$21.87$22.0025.1%7.2%24.5%39.0%24.3%-6.2%1.9%260.1K-3.9M-49.1K0.8945.84N/AN/A57450810,1954,225
2016-05-23$22.03$22.0026.8%7.7%23.2%43.7%22.1%-0.9%0.6%277.9K-4.1M-49.0K0.8737.12N/AN/A5474749,1843,275
2016-05-24$21.88$22.0024.9%7.1%23.1%38.5%21.5%-1.2%1.6%286.3K-4.1M-48.7K0.7563.90N/AN/A6114569,2363,275
2016-05-25$22.24$22.0023.3%6.7%23.5%34.1%20.1%0.9%2.0%307.6K-4.6M-48.9K0.4134.26N/AN/A1,1044569,1503,275
2016-05-26$22.36$22.0021.5%6.2%23.0%29.1%21.5%-5.2%4.6%376.2K-5.7M-49.7K0.6863.18N/AN/A6684569,7143,275
2016-05-27$22.54$22.0025.3%7.3%23.1%39.7%26.5%-4.3%2.5%374.6K-6.1M-49.4K0.7987.87N/AN/A5914699,7583,275
2016-05-31$22.16$22.0026.6%7.6%24.0%43.3%29.5%-10.8%1.4%355.7K-5.8M-48.4K0.5642.73N/AN/A8314699,7593,299