CORN Options History — July 2016

In July 2016, CORN traded between $18.77 and $20.31. ATM implied volatility averaged 31.1%, placing in the 58.1% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 3.8% (HV 20d: 27.2%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2016-07-21: Highest Volume — 10,561 contracts
  • 2016-07-06: Largest IV spike — 29.2% change
  • 2016-07-06: Highest IV Rank — 92.6%
  • 2016-07-05: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.43$18.77$20.31$20.16$18.94
Max Pain$19.75$19.00$21.00$21.00$19.00
ATM IV31.1%27.4%44.5%31.6%28.1%
Expected Move8.5%7.9%9.3%9.0%8.1%
HV 20d27.2%24.6%30.0%25.8%26.5%
HV 60d26.1%25.1%27.1%25.9%25.2%
IV Rank58.1%49.0%92.6%56.8%51.1%
IV Percentile80.3%63.1%99.6%87.7%66.7%
Term Structure-3.1%-8.7%0.7%-4.1%-2.1%
VWIV30.3%26.1%34.7%28.6%28.1%
Skew 25d-5.5%-9.4%-0.0%-7.3%-4.9%
Skew 10d-15.1%-22.7%1.2%-21.2%1.2%
Call IV 25d32.2%28.9%35.4%32.4%33.1%
Put IV 25d26.7%22.0%28.8%25.1%28.3%
Bid-Ask Spread %37.4223.3663.4255.5444.33
Gamma HHI0.330.190.500.240.48
Net GEX401.7K190.1K727.3K303.7K727.3K
Net DEX-912.5K-3.6M1.3M-531.3K-3.1M
Net VEX-39.8K-45.4K-31.8K-39.4K-43.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.101.110.400.36
Total Volume2,471.61,42710,5612,0292,621
Total OI20,894.517,24125,55617,24125,556

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$20.16$21.0031.6%9.0%25.8%56.8%28.6%-7.3%-4.1%303.7K-531.3K-39.4K0.4055.54N/AN/A1,44658313,6343,607
2016-07-05$19.71$20.0034.5%9.3%24.9%64.9%30.0%-4.9%-4.8%212.9K1.1M-33.6K0.7053.65N/AN/A85759613,8123,621
2016-07-06$19.31$20.0044.5%9.2%24.8%92.6%33.3%-4.5%-8.7%208.7K1.3M-32.7K0.6863.42N/AN/A85057713,9573,661
2016-07-07$19.28$20.0034.6%8.2%24.6%65.2%30.1%-4.1%-4.2%190.1K1.3M-31.8K0.5153.77N/AN/A1,17660214,1163,681
2016-07-08$19.93$20.0029.5%8.7%28.9%51.2%29.5%-3.4%-2.6%225.8K678.8K-34.5K0.7033.52N/AN/A95266514,5643,736
2016-07-11$19.66$20.0032.1%8.6%29.0%58.2%31.1%-4.0%-4.2%198.3K476.9K-34.9K0.7141.09N/AN/A95568214,7163,767
2016-07-12$19.83$20.0037.3%8.5%28.4%72.6%31.1%-5.6%0.1%211.5K858.0K-34.0K0.5948.84N/AN/A1,27975914,8353,878
2016-07-13$20.31$20.0027.4%7.9%29.9%49.1%32.4%-6.6%-0.9%326.8K-1.6M-42.8K0.6736.02N/AN/A1,05971115,3063,963
2016-07-14$19.95$20.0031.3%9.0%29.9%60.7%31.8%-6.6%-6.2%263.3K-1.3M-42.3K0.9432.87N/AN/A1,1821,11115,4863,975
2016-07-15$19.69$20.0028.7%8.2%30.0%52.8%32.6%-9.0%-1.8%216.9K176.9K-38.3K0.5832.92N/AN/A1,25873415,7124,198
2016-07-18$20.00$20.0030.1%8.6%28.6%57.1%30.5%-8.8%-2.3%252.1K-682.4K-41.0K0.2031.59N/AN/A4,10483013,4564,019
2016-07-19$19.35$20.0029.9%8.6%28.7%56.4%29.8%-9.4%-1.8%444.0K-1.3M-42.0K0.5324.46N/AN/A1,71890516,7954,166
2016-07-20$19.07$20.0028.3%8.1%26.2%51.6%27.2%-5.5%-3.1%421.0K-597.6K-42.3K0.9726.21N/AN/A1,00497517,5904,267
2016-07-21$18.90$20.0027.4%7.9%26.1%49.0%27.7%-4.9%0.7%399.9K220.0K-40.0K0.1032.79N/AN/A9,62293917,7694,294
2016-07-22$19.04$19.0028.5%8.2%26.6%52.3%34.7%-0.0%-2.7%691.5K-3.2M-45.0K1.1129.94N/AN/A89198920,3894,358
2016-07-25$18.94$19.0028.3%8.1%26.6%51.7%26.1%-6.4%-2.1%674.3K-3.2M-45.4K0.8623.36N/AN/A85373220,6214,460
2016-07-26$18.82$19.0030.2%8.6%26.4%57.2%28.9%-3.4%-4.0%668.8K-3.0M-44.6K0.8125.57N/AN/A87771320,7134,450
2016-07-27$18.96$19.0029.5%8.5%26.8%55.1%30.7%-2.5%-3.9%699.1K-3.6M-44.9K0.8530.05N/AN/A87174220,8794,474
2016-07-28$18.77$19.0029.9%8.6%26.3%56.3%31.7%-8.2%-4.1%698.1K-2.2M-42.5K0.5728.54N/AN/A1,27873420,9484,461
2016-07-29$18.94$19.0028.1%8.1%26.5%51.1%28.1%-4.9%-2.1%727.3K-3.1M-43.9K0.3644.33N/AN/A1,92170021,0834,473