CORN Options History — March 2017

In March 2017, CORN traded between $18.61 and $19.86. ATM implied volatility averaged 18.0%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.2% (HV 20d: 13.8%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.69.

Notable Days

  • 2017-03-17: Highest Volume — 2,171 contracts
  • 2017-03-16: Largest IV drop — 39.9% change
  • 2017-03-15: Highest IV Rank — 43.5%
  • 2017-03-15: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.07$18.61$19.86$19.86$19.01
Max Pain$19.13$18.00$20.00$18.00$19.00
ATM IV18.0%15.2%26.9%17.6%16.4%
Expected Move5.2%4.6%7.7%5.0%4.7%
HV 20d13.8%8.8%16.3%16.3%11.1%
HV 60d13.9%12.9%15.2%15.2%13.1%
IV Rank15.2%6.0%43.5%14.2%10.1%
IV Percentile25.7%4.8%78.2%22.2%11.9%
Term Structure1.4%-7.7%6.6%0.9%6.6%
VWIV17.0%12.8%27.4%17.7%16.9%
Skew 25d-3.3%-10.3%3.5%3.5%-5.8%
Skew 10d-2.8%-12.3%6.5%6.5%-9.1%
Call IV 25d18.3%13.2%22.3%16.6%20.1%
Put IV 25d14.9%10.8%20.1%20.1%14.4%
Bid-Ask Spread %29.1813.0566.6156.2721.01
Gamma HHI0.340.260.450.450.26
Net GEX-4.0K-63.0K73.6K73.6K-40.8K
Net DEX357.9K-1.2M1.6M-1.2M599.7K
Net VEX-18.0K-23.1K-13.9K-13.9K-23.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.192.081.360.86
Total Volume903.8265342,171957534
Total OI5,798.3484,2607,5054,2607,505

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$19.86$18.0017.6%5.0%16.3%14.2%17.7%3.5%0.9%73.6K-1.2M-13.9K1.3656.27N/AN/A4055522,5951,665
2017-03-02$19.70$18.0016.8%4.8%14.9%11.7%18.3%2.3%1.5%60.5K-894.5K-16.0K1.6218.78N/AN/A3595812,6252,059
2017-03-03$19.77$18.0018.4%5.3%14.9%16.5%14.4%-1.4%2.2%56.9K-934.7K-16.4K0.4645.37N/AN/A4732182,6552,108
2017-03-06$19.68$20.0016.6%5.6%14.9%10.8%18.8%-4.2%-0.0%63.1K-946.4K-16.2K0.4215.90N/AN/A4732012,7242,110
2017-03-07$19.56$20.0018.4%5.3%15.0%16.5%18.5%-4.2%0.9%50.0K-644.7K-16.1K0.5319.30N/AN/A4732512,7252,110
2017-03-08$19.39$20.0016.2%5.1%14.8%9.3%17.9%0.9%2.0%40.7K-427.7K-16.0K0.4719.69N/AN/A4892312,7252,180
2017-03-09$19.17$20.0015.2%5.0%15.2%6.0%16.2%1.6%-0.1%18.8K18.5K-15.6K0.3724.78N/AN/A4561682,7472,187
2017-03-10$19.03$20.0017.5%4.9%15.4%13.5%17.4%-0.9%1.0%5.1K203.8K-15.8K0.3927.94N/AN/A4731832,8852,209
2017-03-13$18.85$20.0018.2%5.0%14.7%15.6%17.5%-8.5%1.4%-1.1K455.2K-15.0K0.6713.05N/AN/A5433642,9052,219
2017-03-14$18.88$19.0022.7%4.8%14.7%30.0%16.6%3.5%3.0%-3.6K472.4K-15.5K1.2037.78N/AN/A2853432,9682,303
2017-03-15$18.94$19.0026.9%7.7%14.8%43.5%27.4%-1.0%-7.7%13.5K144.1K-15.8K1.4366.61N/AN/A2393422,9962,302
2017-03-16$19.08$19.0016.2%4.6%14.6%9.2%15.3%-6.0%1.8%-4.6K256.2K-15.5K0.7932.87N/AN/A4323422,9982,304
2017-03-17$19.15$19.0017.3%5.0%14.4%13.0%14.2%-4.7%1.8%-15987.2K-15.6K2.0847.19N/AN/A7051,4663,0502,304
2017-03-20$18.97$19.0018.3%5.3%14.0%16.1%18.7%-5.8%2.2%-25.1K399.1K-20.5K0.4220.32N/AN/A5992503,0313,130
2017-03-21$18.86$19.0020.2%5.8%14.0%22.0%16.5%-10.3%1.5%-26.5K730.4K-20.2K0.2530.19N/AN/A6411603,0673,130
2017-03-22$18.71$19.0019.1%5.5%14.0%18.4%12.8%-10.2%-0.5%-32.6K1.1M-19.5K0.5816.39N/AN/A9385413,1163,143
2017-03-23$18.62$19.0017.8%5.1%13.4%14.3%13.9%-4.9%1.3%-52.4K1.5M-21.7K0.1933.91N/AN/A1,0792093,5293,530
2017-03-24$18.61$19.0016.6%4.7%13.4%10.5%15.7%0.4%2.7%-51.9K1.5M-21.5K0.1917.51N/AN/A1,0291933,4593,529
2017-03-27$18.63$19.0017.5%5.0%13.3%13.5%14.3%0.6%2.4%-59.9K1.6M-20.8K0.2613.38N/AN/A1,0372683,4623,544
2017-03-28$18.67$19.0017.4%5.0%12.5%13.3%18.4%-8.9%1.8%-62.2K1.4M-21.1K0.4730.92N/AN/A5682683,4903,593
2017-03-29$18.72$19.0017.4%5.0%9.0%13.1%18.7%-8.2%2.2%-63.0K1.4M-21.1K0.4933.52N/AN/A4372163,5513,590
2017-03-30$18.69$19.0016.1%4.6%8.8%9.1%15.8%-4.3%3.7%-51.5K1.4M-21.2K0.4328.41N/AN/A5402343,7153,590
2017-03-31$19.01$19.0016.4%4.7%11.1%10.1%16.9%-5.8%6.6%-40.8K599.7K-23.1K0.8621.01N/AN/A2872473,9003,605