CORN Options History — August 2016

In August 2016, CORN traded between $17.72 and $19.15. ATM implied volatility averaged 23.7%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 6.3% (HV 20d: 17.4%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.42.

Notable Days

2016-08-15: Highest Volume — 5,090 contracts
2016-08-09: Largest IV drop — 20.6% change
2016-08-01: Highest IV Rank — 59.5%
2016-08-01: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.62	$17.72	$19.15	$18.58	$17.72
Max Pain	$18.26	$18.00	$19.00	$19.00	$18.00
ATM IV	23.7%	17.8%	30.9%	30.9%	17.8%
Expected Move	6.8%	5.1%	8.9%	8.9%	5.1%
HV 20d	17.4%	12.5%	26.7%	26.7%	13.3%
HV 60d	23.4%	22.1%	25.4%	25.4%	22.1%
IV Rank	37.9%	20.4%	59.5%	59.5%	20.4%
IV Percentile	48.4%	15.9%	86.1%	86.1%	15.9%
Term Structure	0.2%	-4.2%	5.0%	-4.2%	1.2%
VWIV	23.3%	18.2%	27.7%	27.7%	18.2%
Skew 25d	-4.1%	-7.8%	-0.9%	-6.4%	-1.8%
Skew 10d	-6.4%	-15.5%	4.5%	4.5%	-0.9%
Call IV 25d	25.2%	15.9%	33.1%	33.1%	15.9%
Put IV 25d	21.1%	14.0%	26.7%	26.7%	14.1%
Bid-Ask Spread %	33.12	17.80	65.89	43.35	45.78
Gamma HHI	0.46	0.22	0.70	0.48	0.22
Net GEX	772.3K	185.1K	1.6M	741.7K	185.1K
Net DEX	-1.4M	-6.1M	2.7M	-2.1M	2.7M
Net VEX	-36.9K	-43.6K	-24.6K	-43.1K	-25.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.09	0.74	0.42	0.60
Total Volume	2,419.261	112	5,090	2,276	2,232
Total OI	24,412.87	15,384	30,094	26,588	17,803

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-08-01	$18.58	$19.00	30.9%	8.9%	26.7%	59.5%	27.7%	-6.4%	-4.2%	741.7K	-2.1M	-43.1K	0.42	43.35	N/A	N/A	1,607	669	22,080	4,508
2016-08-02	$18.62	$19.00	29.0%	8.3%	25.9%	53.8%	27.4%	-5.4%	-3.0%	756.6K	-1.1M	-41.9K	0.47	29.93	N/A	N/A	1,531	715	22,760	4,512
2016-08-03	$18.74	$19.00	26.8%	7.7%	25.2%	47.1%	27.4%	-5.7%	-1.1%	840.8K	-1.9M	-42.4K	0.51	52.43	N/A	N/A	1,464	752	22,780	4,595
2016-08-04	$18.53	$19.00	24.6%	7.7%	25.4%	40.6%	26.7%	-7.8%	0.1%	813.4K	-1.2M	-40.7K	0.27	41.27	N/A	N/A	2,904	777	22,814	4,639
2016-08-05	$18.64	$19.00	28.9%	7.7%	22.0%	53.3%	25.6%	-4.2%	-1.8%	927.5K	-2.6M	-43.6K	0.34	27.00	N/A	N/A	2,081	710	24,296	4,711
2016-08-08	$18.70	$18.00	30.2%	7.6%	21.8%	57.2%	26.5%	-5.1%	-0.7%	1.0M	-3.2M	-43.5K	0.42	24.78	N/A	N/A	1,547	651	24,493	4,718
2016-08-09	$18.64	$18.00	23.9%	7.4%	21.4%	38.6%	25.5%	-5.6%	0.4%	1.1M	-1.8M	-40.1K	0.43	34.96	N/A	N/A	1,718	742	24,458	4,722
2016-08-10	$18.61	$18.00	25.5%	7.3%	18.9%	43.2%	25.4%	-4.0%	-0.2%	1.1M	-2.1M	-40.9K	0.44	28.09	N/A	N/A	1,661	732	24,677	4,854
2016-08-11	$18.58	$18.00	25.7%	7.4%	18.2%	43.9%	24.5%	-5.1%	-1.4%	1.1M	-1.7M	-39.3K	0.44	23.91	N/A	N/A	1,579	688	24,748	4,844
2016-08-12	$18.68	$18.00	28.2%	8.1%	18.1%	51.3%	26.7%	-5.6%	-3.3%	1.1M	-1.8M	-39.5K	0.58	40.24	N/A	N/A	1,766	1,016	24,824	4,841
2016-08-15	$18.87	$18.00	24.5%	7.0%	17.5%	40.3%	24.7%	-1.7%	1.5%	1.6M	-3.5M	-39.7K	0.23	27.04	N/A	N/A	4,149	941	25,022	5,072
2016-08-16	$18.81	$18.00	25.4%	7.3%	13.4%	42.9%	25.3%	-5.5%	-0.3%	1.5M	-3.0M	-39.4K	0.18	23.80	N/A	N/A	4,176	758	24,963	5,079
2016-08-17	$18.94	$18.00	22.4%	6.4%	12.8%	34.1%	22.5%	-1.7%	1.3%	1.2M	-1.8M	-37.1K	0.74	41.26	N/A	N/A	340	253	22,620	5,046
2016-08-18	$19.14	$18.00	22.0%	6.3%	12.9%	32.9%	22.5%	-2.1%	1.0%	1.1M	-3.9M	-37.4K	0.16	28.06	N/A	N/A	735	116	22,782	5,087
2016-08-19	$19.15	$18.00	21.1%	6.1%	12.6%	30.3%	21.0%	-1.8%	2.1%	336.7K	-6.1M	-37.2K	0.39	29.87	N/A	N/A	2,020	797	22,911	5,030
2016-08-22	$19.10	$18.00	20.6%	5.9%	12.5%	28.8%	20.9%	-2.3%	-0.1%	347.5K	-1.4M	-34.6K	0.41	34.23	N/A	N/A	1,554	634	11,684	3,700
2016-08-23	$18.85	$18.00	21.1%	6.0%	13.2%	30.1%	22.3%	-2.4%	-0.1%	337.6K	-743.6K	-33.8K	0.30	26.29	N/A	N/A	2,364	711	11,842	3,721
2016-08-24	$18.77	$18.00	20.7%	5.9%	13.0%	28.9%	18.7%	-0.9%	1.6%	413.7K	-926.6K	-34.5K	0.09	22.51	N/A	N/A	103	9	12,910	3,760
2016-08-25	$18.54	$19.00	19.4%	5.6%	13.3%	25.1%	19.7%	-1.2%	2.1%	383.2K	-154.7K	-32.8K	0.53	17.80	N/A	N/A	1,219	646	12,941	3,764
2016-08-26	$18.21	$18.00	17.9%	5.1%	14.1%	20.7%	18.2%	-3.9%	5.0%	336.2K	663.0K	-31.0K	0.58	65.89	N/A	N/A	1,293	752	12,991	3,762
2016-08-29	$18.01	$18.00	18.7%	5.4%	13.0%	23.0%	19.2%	-6.8%	2.1%	257.6K	1.9M	-26.1K	0.51	28.15	N/A	N/A	1,440	740	13,080	3,779
2016-08-30	$17.76	$18.00	19.3%	5.5%	13.7%	24.9%	20.1%	-7.7%	1.5%	202.8K	2.7M	-24.6K	0.59	25.24	N/A	N/A	1,478	873	13,321	3,952
2016-08-31	$17.72	$18.00	17.8%	5.1%	13.3%	20.4%	18.2%	-1.8%	1.2%	185.1K	2.7M	-25.5K	0.60	45.78	N/A	N/A	1,397	835	13,584	4,219