CORN Options History — February 2017

In February 2017, CORN traded between $19.22 and $20.04. ATM implied volatility averaged 17.5%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.6% (HV 20d: 13.9%). Max pain ranged from $17.00 to $19.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.49.

Notable Days

  • 2017-02-02: Highest Volume — 1,910 contracts
  • 2017-02-02: Largest IV drop — 30.3% change
  • 2017-02-28: Highest IV Rank — 38.9%
  • 2017-02-28: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.60$19.22$20.04$19.55$19.43
Max Pain$18.53$17.00$19.00$19.00$18.00
ATM IV17.5%14.2%24.0%20.3%24.0%
Expected Move5.1%4.2%6.9%5.8%6.9%
HV 20d13.9%12.9%14.6%13.8%14.5%
HV 60d15.5%14.8%16.8%16.7%15.0%
IV Rank19.4%9.5%38.9%27.9%38.9%
IV Percentile25.1%4.0%67.9%50.0%67.9%
Term Structure0.9%-15.6%6.0%-2.2%-15.6%
VWIV17.7%15.8%22.2%19.2%22.2%
Skew 25d-0.3%-4.1%3.5%-1.7%-0.1%
Skew 10d0.4%-7.7%27.1%27.1%-0.9%
Call IV 25d17.0%12.0%20.0%19.8%18.8%
Put IV 25d16.7%13.6%19.4%18.1%18.7%
Bid-Ask Spread %31.5711.0557.7445.1541.66
Gamma HHI0.700.430.890.770.44
Net GEX208.4K46.5K561.5K159.6K60.0K
Net DEX-1.7M-2.8M-387.1K-1.6M-980.9K
Net VEX-12.5K-13.9K-11.5K-12.6K-13.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.131.640.620.39
Total Volume1,166.9474591,9101,758551
Total OI5,218.5793,5056,1365,4774,202

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$19.55$19.0020.3%5.8%13.8%27.9%19.2%-1.7%-2.2%159.6K-1.6M-12.6K0.6245.15N/AN/A1,0856734,0691,408
2017-02-02$19.53$19.0014.2%5.1%13.3%9.5%17.6%-2.6%0.3%182.2K-1.8M-12.5K0.5411.05N/AN/A1,2376734,0801,410
2017-02-03$19.43$19.0014.4%4.2%13.4%10.3%16.3%-2.6%6.0%219.2K-1.9M-12.6K0.1857.74N/AN/A1,2282274,2801,410
2017-02-06$19.37$19.0017.2%4.9%13.3%18.5%16.6%-0.4%2.1%192.1K-1.6M-12.3K0.1522.10N/AN/A1,2331874,3031,413
2017-02-07$19.59$19.0016.9%5.1%13.8%17.7%17.1%1.1%0.6%220.0K-1.9M-12.3K0.1327.26N/AN/A1,1921534,3111,420
2017-02-08$19.65$19.0019.6%5.6%13.7%25.7%18.4%3.1%-1.1%260.5K-2.2M-12.1K0.1317.21N/AN/A1,1861534,3151,424
2017-02-09$19.60$19.0017.1%4.9%13.7%18.1%16.9%2.3%0.6%260.9K-2.1M-12.1K0.1330.31N/AN/A1,0581424,3251,427
2017-02-10$19.85$19.0016.8%4.8%14.3%17.3%15.8%3.5%4.2%331.2K-2.4M-12.5K0.1727.02N/AN/A1,0511804,3181,478
2017-02-13$19.87$19.0018.4%5.3%14.3%22.3%18.2%0.9%0.7%360.1K-2.6M-12.4K0.1929.23N/AN/A1,0171924,4241,521
2017-02-14$19.85$19.0017.5%5.0%12.9%19.6%18.0%0.2%1.6%413.1K-2.4M-12.3K0.2611.34N/AN/A9902584,4301,541
2017-02-15$20.04$19.0017.3%5.0%13.2%18.8%17.8%-0.2%2.3%561.5K-2.8M-12.5K0.2646.26N/AN/A1,0932814,4311,637
2017-02-16$19.81$19.0017.9%5.1%14.0%20.8%17.4%-1.1%1.1%403.1K-2.3M-12.4K0.2726.54N/AN/A1,0752854,4671,665
2017-02-17$19.55$17.0017.2%4.9%14.5%18.5%18.7%-4.1%2.4%71.2K-1.4M-11.8K0.2126.78N/AN/A1,1222354,4661,670
2017-02-21$19.61$17.0018.4%5.3%14.6%22.1%17.4%-3.1%3.7%70.5K-1.1M-11.5K1.6427.24N/AN/A2834642,2101,295
2017-02-22$19.68$18.0015.5%4.4%13.7%13.5%16.8%2.6%4.7%46.5K-853.5K-12.8K1.6352.69N/AN/A2403922,2261,604
2017-02-23$19.41$18.0016.0%4.6%14.5%14.8%16.2%2.0%3.8%49.2K-748.0K-12.7K1.0422.64N/AN/A3713852,2471,609
2017-02-24$19.36$18.0014.8%4.3%14.4%11.5%15.8%-3.3%2.6%48.2K-499.9K-13.1K0.8733.69N/AN/A4393822,3721,614
2017-02-27$19.22$18.0018.8%5.4%14.6%23.3%19.9%-2.3%-0.3%51.3K-387.1K-13.5K0.4643.89N/AN/A3141452,5161,615
2017-02-28$19.43$18.0024.0%6.9%14.5%38.9%22.2%-0.1%-15.6%60.0K-980.9K-13.9K0.3941.66N/AN/A3951562,5451,657