CORN Options History — April 2017

In April 2017, CORN traded between $18.58 and $19.25. ATM implied volatility averaged 17.2%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 4.0% (HV 20d: 13.1%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.55.

Notable Days

  • 2017-04-28: Highest Volume — 2,365 contracts
  • 2017-04-11: Largest IV spike — 38.1% change
  • 2017-04-17: Highest IV Rank — 23.0%
  • 2017-04-17: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.90$18.58$19.25$19.14$18.70
Max Pain$19.74$19.00$20.00$19.00$19.00
ATM IV17.2%13.6%20.5%15.4%17.6%
Expected Move5.1%4.4%5.9%4.4%5.0%
HV 20d13.1%11.2%15.9%11.5%15.9%
HV 60d13.7%13.2%14.2%13.2%13.5%
IV Rank12.4%0.9%23.0%6.7%13.8%
IV Percentile24.1%0.4%52.4%5.2%26.6%
Term Structure3.5%-0.2%5.8%4.7%2.9%
VWIV17.9%15.0%20.7%15.4%18.7%
Skew 25d-0.9%-8.1%2.9%0.8%2.9%
Skew 10d-0.2%-9.0%5.7%-0.6%4.7%
Call IV 25d17.7%13.3%20.8%13.3%14.8%
Put IV 25d16.8%11.2%21.1%14.1%17.7%
Bid-Ask Spread %32.3512.4354.2342.6539.03
Gamma HHI0.290.260.310.260.29
Net GEX-72.6K-130.8K-33.5K-33.5K-124.2K
Net DEX858.4K-410.6K1.9M-86.7K1.5M
Net VEX-24.6K-28.3K-22.6K-23.2K-28.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.415.140.412.35
Total Volume1,130.4215052,3656442,365
Total OI8,733.5267,6119,9997,6119,999

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$19.14$19.0015.4%4.4%11.5%6.7%15.4%0.8%4.7%-33.5K-86.7K-23.2K0.4142.65N/AN/A4561884,0013,610
2017-04-04$18.95$19.0015.8%4.5%11.7%8.1%15.9%-0.6%2.5%-39.3K356.4K-22.6K1.3912.43N/AN/A3765244,0493,611
2017-04-05$19.02$19.0016.5%4.7%11.6%10.2%19.4%-0.7%0.6%-68.3K797.2K-23.4K2.2554.23N/AN/A2485574,0753,951
2017-04-06$18.84$20.0014.7%5.2%11.4%4.6%16.0%-3.4%4.0%-69.0K1.1M-23.1K0.8838.75N/AN/A2692364,0763,991
2017-04-07$18.76$20.0014.4%5.4%11.2%3.5%17.9%-2.4%3.6%-67.4K1.5M-22.7K0.6018.64N/AN/A3842314,0944,011
2017-04-10$19.06$20.0013.6%4.7%12.1%0.9%16.4%-0.7%5.8%-80.6K835.7K-23.1K0.5818.90N/AN/A4092394,2314,013
2017-04-11$19.05$20.0018.8%5.1%12.1%17.5%18.7%-0.2%4.3%-65.1K642.6K-23.4K1.0640.83N/AN/A3133314,2914,023
2017-04-12$19.17$20.0018.6%5.3%12.3%17.2%17.3%-5.3%4.8%-47.1K40.6K-24.6K0.5026.85N/AN/A6463234,3463,986
2017-04-13$19.25$20.0017.5%5.0%12.1%13.4%19.9%-0.8%5.5%-42.1K-410.6K-25.1K0.4744.58N/AN/A6833234,5673,986
2017-04-17$19.19$20.0020.5%5.9%12.1%23.0%20.7%1.5%2.3%-35.4K-273.9K-24.8K0.5914.23N/AN/A4662734,6533,986
2017-04-18$18.82$20.0017.9%5.1%13.6%14.8%19.1%-1.2%4.4%-63.6K692.8K-24.0K0.6722.41N/AN/A4112744,7843,990
2017-04-19$18.83$20.0017.7%5.1%13.4%14.0%18.5%-8.1%4.8%-70.0K744.7K-23.8K0.9339.44N/AN/A7246714,8384,004
2017-04-20$18.58$20.0018.0%5.2%14.0%15.2%16.9%2.0%4.9%-63.9K1.5M-25.0K0.9433.87N/AN/A7437015,0354,401
2017-04-21$18.58$20.0017.5%5.0%13.9%13.6%15.0%-3.9%4.8%-82.7K1.9M-25.0K1.8039.97N/AN/A4437975,0864,420
2017-04-24$18.68$20.0016.1%4.6%14.0%9.1%16.4%2.4%3.3%-102.4K1.7M-24.2K1.8723.76N/AN/A3757004,9014,289
2017-04-25$18.96$20.0018.6%5.3%14.9%17.1%19.6%0.3%-0.2%-78.6K751.9K-26.2K4.4139.59N/AN/A2761,2184,8484,300
2017-04-26$18.71$20.0019.1%5.5%15.7%18.4%19.9%-2.3%1.0%-116.0K1.5M-27.0K5.1428.36N/AN/A3261,6754,8744,820
2017-04-27$18.79$19.0017.7%5.1%15.8%14.2%19.3%2.4%2.6%-130.8K1.4M-28.3K2.5936.15N/AN/A6411,6634,9544,843
2017-04-28$18.70$19.0017.6%5.0%15.9%13.8%18.7%2.9%2.9%-124.2K1.5M-28.3K2.3539.03N/AN/A7071,6585,1564,843