CORN Options History — September 2016

In September 2016, CORN traded between $18.10 and $18.99. ATM implied volatility averaged 20.3%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 0.8% (HV 20d: 19.5%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2016-09-16: Highest Volume — 2,461 contracts
  • 2016-09-06: Largest IV spike — 29.6% change
  • 2016-09-13: Highest IV Rank — 40.4%
  • 2016-09-19: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.58$18.10$18.99$18.10$18.71
Max Pain$18.00$18.00$18.00$18.00$18.00
ATM IV20.3%17.2%24.5%18.3%20.6%
Expected Move5.8%4.9%6.4%5.2%5.9%
HV 20d19.5%15.4%21.5%15.4%19.6%
HV 60d21.7%19.9%23.1%22.7%20.3%
IV Rank27.8%18.6%40.4%21.8%28.6%
IV Percentile35.6%14.3%58.7%19.4%42.1%
Term Structure1.2%-3.0%6.8%1.2%0.8%
VWIV19.5%15.9%25.4%20.1%16.7%
Skew 25d-1.6%-10.2%8.3%-4.6%1.9%
Skew 10d-1.4%-13.3%33.8%-5.9%4.6%
Call IV 25d21.6%17.9%25.3%21.9%19.2%
Put IV 25d20.0%12.5%27.7%17.3%21.1%
Bid-Ask Spread %38.4414.7766.2858.0253.91
Gamma HHI0.340.250.420.250.35
Net GEX277.6K172.1K535.9K257.4K232.9K
Net DEX705.5K-1.2M2.3M2.3M926.6K
Net VEX-27.1K-32.6K-22.4K-26.7K-22.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.240.670.600.42
Total Volume1,985.1431,5412,4612,3061,919
Total OI16,631.28614,77718,19617,88915,449

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$18.10$18.0018.3%5.2%15.4%21.8%20.1%-4.6%1.2%257.4K2.3M-26.7K0.6058.02N/AN/A1,43986713,6184,271
2016-09-02$18.38$18.0017.2%4.9%16.3%18.6%16.9%8.3%6.8%327.9K968.8K-30.6K0.5621.29N/AN/A1,40478113,7134,304
2016-09-06$18.28$18.0022.3%6.2%16.3%33.8%21.1%-0.3%-0.2%303.2K1.3M-29.2K0.6720.42N/AN/A1,22181913,7144,350
2016-09-07$18.61$18.0020.2%6.2%17.6%27.6%21.7%0.5%0.8%380.0K207.6K-31.2K0.6037.67N/AN/A1,29277513,7104,383
2016-09-08$18.83$18.0020.2%5.9%18.1%27.5%17.5%0.9%1.4%466.0K-860.1K-32.6K0.5527.69N/AN/A1,41077113,8204,376
2016-09-09$18.96$18.0023.9%6.3%18.2%38.6%17.9%0.2%0.1%475.7K-1.2M-31.6K0.6015.11N/AN/A1,23574613,7394,362
2016-09-12$18.99$18.0020.7%6.1%18.1%28.9%19.6%-3.1%1.4%535.9K-1.1M-30.7K0.4641.80N/AN/A1,48567813,6254,361
2016-09-13$18.45$18.0024.5%5.9%20.6%40.4%15.9%-3.9%-3.0%315.2K855.8K-27.8K0.4328.95N/AN/A1,49664413,5934,364
2016-09-14$18.54$18.0021.7%6.2%20.7%32.0%16.8%-3.6%0.7%294.4K1.2M-26.9K0.4321.11N/AN/A1,49965013,6194,366
2016-09-15$18.39$18.0018.9%5.4%20.6%23.6%15.9%-6.9%3.4%237.3K1.5M-25.8K0.3741.29N/AN/A1,78865613,6724,367
2016-09-16$18.72$18.0020.2%5.8%21.3%27.4%17.0%0.4%-0.1%175.3K1.1M-26.9K0.3637.88N/AN/A1,80665513,7264,372
2016-09-19$18.78$18.0022.4%6.4%21.4%34.2%21.4%-1.8%-0.3%189.6K418.2K-28.0K0.2455.93N/AN/A1,79043010,9623,815
2016-09-20$18.88$18.0017.5%5.0%21.5%19.3%16.8%1.3%4.4%228.4K137.1K-28.1K0.2630.83N/AN/A1,62841711,0593,835
2016-09-21$18.84$18.0020.7%5.9%21.0%28.9%21.8%2.4%-1.6%238.4K185.6K-27.0K0.3566.28N/AN/A1,19041811,0693,837
2016-09-22$18.70$18.0022.1%6.3%21.1%33.0%22.6%-10.2%-1.3%201.7K551.4K-26.7K0.4051.56N/AN/A1,12944611,0623,838
2016-09-23$18.63$18.0017.8%5.1%20.7%20.4%25.4%-7.0%1.9%200.4K1.1M-24.6K0.4061.93N/AN/A1,11845111,0633,840
2016-09-26$18.31$18.0019.6%5.6%20.6%25.7%23.9%2.3%6.1%172.1K1.4M-23.0K0.3051.01N/AN/A1,29739511,0883,856
2016-09-27$18.45$18.0020.1%5.8%20.3%27.3%20.2%-5.3%0.9%181.5K1.6M-23.1K0.3048.38N/AN/A1,39742011,3163,862
2016-09-28$18.34$18.0019.1%5.5%19.7%24.1%19.1%0.2%1.4%200.6K1.4M-23.1K0.3514.77N/AN/A1,17541011,5633,894
2016-09-29$18.33$18.0018.2%5.2%19.7%21.5%20.7%-4.2%0.8%215.0K1.1M-23.4K0.3721.48N/AN/A1,12641511,6203,804
2016-09-30$18.71$18.0020.6%5.9%19.6%28.6%16.7%1.9%0.8%232.9K926.6K-22.4K0.4253.91N/AN/A1,35256711,6353,814