CORN Options History — June 2016

In June 2016, CORN traded between $20.48 and $23.62. ATM implied volatility averaged 31.7%, placing in the 57.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 9.6% (HV 20d: 22.1%). Max pain ranged from $19.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2016-06-21: Highest Volume — 3,435 contracts
  • 2016-06-08: Largest IV spike — 19.9% change
  • 2016-06-23: Highest IV Rank — 73.0%
  • 2016-06-23: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.42$20.48$23.62$22.60$20.48
Max Pain$21.77$19.00$22.00$22.00$22.00
ATM IV31.7%23.0%37.4%23.0%34.3%
Expected Move9.3%6.6%10.7%6.6%9.8%
HV 20d22.1%16.3%27.7%22.1%26.1%
HV 60d24.5%23.2%27.0%23.2%25.8%
IV Rank57.4%33.1%73.0%33.1%64.5%
IV Percentile84.6%49.2%97.2%49.2%93.3%
Term Structure-2.0%-11.1%3.8%3.8%-6.0%
VWIV33.4%22.8%39.2%22.8%34.8%
Skew 25d-5.1%-15.8%3.4%3.4%-7.3%
Skew 10d-10.8%-26.6%34.7%34.7%-26.6%
Call IV 25d35.8%25.9%40.6%25.9%35.2%
Put IV 25d30.6%24.5%36.5%29.3%27.9%
Bid-Ask Spread %61.3643.6988.6152.9952.59
Gamma HHI0.280.250.380.380.25
Net GEX477.9K301.3K562.1K415.4K301.3K
Net DEX-8.3M-13.6M-1.3M-6.5M-1.3M
Net VEX-52.7K-57.3K-43.3K-48.3K-43.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.200.740.280.44
Total Volume1,749.0451,0863,4352,1662,074
Total OI15,813.513,27816,73313,27816,433

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$22.60$22.0023.0%6.6%22.1%33.1%22.8%3.4%3.8%415.4K-6.5M-48.3K0.2852.99N/AN/A1,6944729,9793,299
2016-06-02$22.53$22.0025.4%7.9%22.0%39.9%27.3%-2.6%1.3%479.6K-8.2M-53.7K0.6545.92N/AN/A71346311,2303,310
2016-06-03$22.75$21.0023.9%8.0%21.7%35.8%27.8%-2.4%-1.1%502.5K-8.4M-52.8K0.7455.20N/AN/A62446211,2403,324
2016-06-06$23.15$19.0026.3%8.3%22.1%42.4%31.1%-1.3%0.8%500.3K-10.3M-52.2K0.3948.65N/AN/A1,22447511,4593,314
2016-06-07$23.26$22.0027.1%9.1%19.4%44.6%29.3%-2.5%-3.0%515.5K-11.3M-53.8K0.3348.01N/AN/A1,58152011,8023,366
2016-06-08$23.29$22.0032.5%9.3%17.2%59.5%32.3%-2.7%-4.4%503.7K-12.5M-54.4K0.3258.03N/AN/A1,69354912,1783,377
2016-06-09$23.11$22.0031.8%9.1%17.5%57.4%31.9%-4.5%-0.9%542.5K-12.1M-57.2K0.3754.73N/AN/A1,44853812,8083,423
2016-06-10$22.92$22.0032.5%9.3%16.3%59.5%33.3%-8.4%-2.4%551.6K-11.2M-56.9K0.4987.72N/AN/A1,00649412,7463,427
2016-06-13$23.28$22.0033.6%9.6%16.9%62.5%34.6%-6.3%-1.3%542.8K-12.8M-56.5K0.4755.31N/AN/A92543712,7953,436
2016-06-14$23.53$22.0034.5%9.9%17.1%65.0%34.0%-3.6%1.3%552.9K-12.8M-55.9K0.5363.57N/AN/A84944812,8123,461
2016-06-15$23.16$22.0034.9%10.0%18.5%66.2%37.7%-1.4%-5.7%533.7K-12.0M-56.7K0.5488.61N/AN/A85846512,8863,457
2016-06-16$23.00$22.0033.8%9.7%18.8%63.1%34.3%-4.4%-2.5%562.1K-11.6M-56.7K0.4965.75N/AN/A1,19558013,0273,454
2016-06-17$23.62$22.0034.7%9.9%19.1%65.5%34.7%-5.3%-2.1%551.6K-13.6M-56.8K0.4759.64N/AN/A1,22457713,1513,582
2016-06-20$22.88$21.0034.7%10.0%22.9%65.6%35.6%-6.4%-2.5%526.6K-10.5M-57.3K0.6765.40N/AN/A98265912,6663,291
2016-06-21$21.97$22.0034.1%9.8%27.4%63.8%33.1%-8.2%-2.8%516.2K-7.0M-54.3K0.2073.61N/AN/A2,87456112,7913,436
2016-06-22$21.67$22.0036.1%10.3%27.7%69.3%37.4%-4.5%-5.3%435.1K-5.1M-51.6K0.4987.52N/AN/A1,23160112,4293,474
2016-06-23$21.47$22.0037.4%10.7%27.2%73.0%37.5%-5.7%-11.1%407.2K-4.1M-51.5K0.6182.37N/AN/A1,00160712,4833,526
2016-06-24$21.31$22.0030.9%8.9%27.1%55.0%36.0%-5.9%2.2%371.3K-2.9M-48.5K0.6067.93N/AN/A98259112,5453,557
2016-06-27$21.37$22.0032.7%9.4%26.9%60.0%39.2%-5.6%0.1%413.0K-3.6M-49.1K0.7346.67N/AN/A93468212,6483,603
2016-06-28$21.21$22.0031.4%9.0%26.4%56.4%34.5%-15.8%-1.7%424.0K-3.5M-47.6K0.6443.69N/AN/A97862912,6413,599
2016-06-29$20.78$22.0032.5%9.3%25.9%59.3%34.8%-11.2%-0.4%363.9K-2.1M-45.2K0.5745.92N/AN/A1,00757212,8263,606
2016-06-30$20.48$22.0034.3%9.8%26.1%64.5%34.8%-7.3%-6.0%301.3K-1.3M-43.3K0.4452.59N/AN/A1,43763712,8943,539