CORN Options History — October 2016

In October 2016, CORN traded between $18.75 and $19.72. ATM implied volatility averaged 21.2%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 0.7% (HV 20d: 20.5%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2016-10-03: Highest Volume — 2,752 contracts
  • 2016-10-06: Largest IV drop — 26.0% change
  • 2016-10-17: Highest IV Rank — 39.2%
  • 2016-10-17: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.32$18.75$19.72$19.17$19.43
Max Pain$18.86$18.00$19.00$18.00$19.00
ATM IV21.2%17.8%24.1%21.8%20.5%
Expected Move6.1%5.3%6.9%6.3%5.9%
HV 20d20.5%17.6%21.9%20.6%18.4%
HV 60d18.7%17.7%19.8%19.8%18.3%
IV Rank30.4%20.4%39.2%32.3%28.5%
IV Percentile46.3%16.7%65.9%54.0%42.9%
Term Structure-0.9%-3.9%4.9%1.3%0.6%
VWIV20.9%17.4%24.8%21.1%20.6%
Skew 25d-0.1%-5.0%11.7%11.7%0.3%
Skew 10d0.8%-14.3%29.2%13.6%0.6%
Call IV 25d21.0%14.3%24.2%14.3%19.8%
Put IV 25d21.0%16.9%26.6%26.0%20.0%
Bid-Ask Spread %35.5419.6576.2345.2923.72
Gamma HHI0.490.380.600.390.58
Net GEX342.8K266.8K403.4K280.8K398.0K
Net DEX-1.3M-3.1M73.8K-682.8K-668.2K
Net VEX-24.2K-27.6K-20.5K-27.1K-20.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.610.970.610.69
Total Volume2,332.5712,1342,7522,7522,392
Total OI16,143.04815,30016,64115,58515,718

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$19.17$18.0021.8%6.3%20.6%32.3%21.1%11.7%1.3%280.8K-682.8K-27.1K0.6145.29N/AN/A1,7131,03911,6143,971
2016-10-04$19.29$18.0022.4%6.4%20.5%34.1%23.3%6.2%-1.8%312.3K-1.5M-27.6K0.8141.95N/AN/A1,2671,02811,9704,446
2016-10-05$19.28$18.0024.0%6.9%19.7%38.9%24.8%-0.7%-3.0%321.3K-1.1M-26.1K0.8752.14N/AN/A1,1721,02511,9134,454
2016-10-06$18.93$19.0017.8%5.6%20.5%20.4%18.4%-0.7%0.3%298.9K-694.7K-26.2K0.9143.69N/AN/A1,1231,02511,9434,451
2016-10-07$18.89$19.0020.6%6.0%20.4%28.7%20.7%-1.0%-1.2%290.3K-524.8K-25.1K0.8427.94N/AN/A1,2141,02511,9294,451
2016-10-10$19.06$19.0022.7%5.8%20.6%34.9%21.5%-0.9%-1.2%310.9K-694.9K-24.7K0.8221.85N/AN/A1,2541,02811,9374,448
2016-10-11$19.10$19.0020.6%5.8%17.6%28.7%20.8%-1.4%-1.7%318.7K-751.1K-24.1K0.8727.30N/AN/A1,2071,04511,9824,449
2016-10-12$18.75$19.0023.0%6.6%18.9%35.9%22.2%-2.4%-2.2%266.8K73.8K-23.0K0.8276.23N/AN/A1,2341,01512,0204,492
2016-10-13$19.34$19.0022.3%6.4%21.5%33.7%22.4%-1.4%-2.4%350.1K-1.4M-24.4K0.8846.68N/AN/A1,1931,04412,0804,494
2016-10-14$19.51$19.0020.0%5.7%20.8%26.9%21.0%0.8%-0.8%374.8K-2.6M-26.2K0.7727.41N/AN/A1,5361,18312,0264,499
2016-10-17$19.58$19.0024.1%6.9%20.8%39.2%22.8%-5.0%-3.3%363.4K-2.7M-25.8K0.7122.36N/AN/A1,4271,02012,1144,509
2016-10-18$19.55$19.0022.1%6.3%20.8%33.1%21.8%-3.7%-1.1%380.2K-2.8M-25.9K0.8234.92N/AN/A1,2541,02912,1264,515
2016-10-19$19.72$19.0023.5%6.7%20.9%37.2%23.9%-0.4%-3.9%392.3K-3.1M-26.0K0.8437.84N/AN/A1,2941,09112,1264,515
2016-10-20$19.37$19.0020.6%5.9%21.9%28.6%20.6%-1.5%0.4%365.3K-2.2M-24.3K0.8338.31N/AN/A1,3181,09612,0644,520
2016-10-21$19.43$19.0020.0%5.7%21.8%26.8%18.2%-0.5%-1.3%346.8K-2.1M-23.7K0.7519.65N/AN/A1,3761,03512,0584,518
2016-10-24$19.25$19.0018.8%5.4%21.0%23.2%20.6%1.9%4.9%325.1K-119.0K-21.5K0.7627.60N/AN/A1,27696811,2804,020
2016-10-25$19.30$19.0018.6%5.3%20.9%22.7%17.5%-2.7%1.0%340.6K-233.1K-21.2K0.7636.65N/AN/A1,23494011,2854,053
2016-10-26$19.52$19.0020.8%6.0%20.9%29.4%20.2%-0.1%-1.9%359.8K-717.9K-21.4K0.8124.74N/AN/A1,18295211,2924,059
2016-10-27$19.63$19.0020.1%5.8%20.9%27.2%17.4%-0.9%0.1%398.3K-1.1M-21.5K0.9735.35N/AN/A1,0991,06311,2974,054
2016-10-28$19.53$19.0020.1%5.8%20.1%27.1%20.2%0.8%-0.5%403.4K-1.2M-22.2K0.6234.72N/AN/A1,58698211,2874,025
2016-10-31$19.43$19.0020.5%5.9%18.4%28.5%20.6%0.3%0.6%398.0K-668.2K-20.5K0.6923.72N/AN/A1,41997311,6804,038