CORN Options History — May 2017

In May 2017, CORN traded between $18.66 and $19.20. ATM implied volatility averaged 20.2%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 1.4% (HV 20d: 18.9%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.88.

Notable Days

  • 2017-05-02: Highest Volume — 2,253 contracts
  • 2017-05-03: Largest IV drop — 17.5% change
  • 2017-05-31: Highest IV Rank — 30.5%
  • 2017-05-31: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.91$18.66$19.20$19.20$18.96
Max Pain$18.68$18.00$19.00$19.00$18.00
ATM IV20.2%16.5%22.8%19.1%22.8%
Expected Move5.9%4.9%6.5%5.5%6.5%
HV 20d18.9%17.4%19.8%17.5%17.7%
HV 60d15.4%14.6%16.0%14.6%15.6%
IV Rank22.2%10.4%30.5%18.8%30.5%
IV Percentile55.3%13.9%74.6%48.0%74.6%
Term Structure2.9%-0.4%4.2%0.3%1.6%
VWIV20.0%13.3%23.5%20.9%18.8%
Skew 25d-6.3%-10.9%-2.1%-4.4%-8.6%
Skew 10d-5.3%-13.8%1.5%-4.9%-7.6%
Call IV 25d23.1%20.4%25.4%20.4%25.4%
Put IV 25d16.8%13.6%21.3%16.0%16.8%
Bid-Ask Spread %28.1312.7243.2143.0526.85
Gamma HHI0.310.260.500.280.27
Net GEX-100.7K-444.0K74.7K-83.8K48.9K
Net DEX22.2K-1.9M1.3M-301.9K-1.3M
Net VEX-27.9K-30.4K-25.6K-29.6K-26.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.291.721.720.48
Total Volume1,120.4555222,2532,156761
Total OI10,024.0918,55611,02710,0898,776

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$19.20$19.0019.1%5.5%17.5%18.8%20.9%-4.4%0.3%-83.8K-301.9K-29.6K1.7243.05N/AN/A7931,3635,2464,843
2017-05-02$19.01$19.0020.6%5.9%17.7%23.3%22.0%-7.2%-0.4%-83.0K189.4K-30.1K1.3634.44N/AN/A9541,2995,4244,853
2017-05-03$19.11$19.0017.0%4.9%17.4%11.8%23.5%-6.8%3.7%-109.7K-173.7K-30.4K1.2139.29N/AN/A6587955,5514,885
2017-05-04$18.74$19.0016.5%5.7%18.7%10.4%20.9%-5.2%3.9%-139.2K1.2M-29.1K1.0938.76N/AN/A6076605,5444,880
2017-05-05$18.97$19.0018.4%5.7%19.0%16.5%19.9%-3.7%3.3%-128.2K639.6K-29.6K1.0433.30N/AN/A6326585,5434,916
2017-05-08$18.71$19.0018.7%6.0%19.6%17.2%20.6%-5.2%3.8%-141.1K1.3M-28.5K0.9520.06N/AN/A6846505,5734,919
2017-05-09$18.72$19.0020.1%6.2%18.6%21.7%21.1%-6.0%3.2%-143.5K1.2M-28.4K1.0226.86N/AN/A6636745,6004,940
2017-05-10$19.01$19.0021.2%6.1%19.5%25.4%21.8%-5.1%3.8%-152.8K356.9K-29.4K1.2940.44N/AN/A5467025,6534,969
2017-05-11$18.85$19.0020.4%5.9%19.6%22.8%20.5%-5.2%3.1%-189.3K738.7K-29.1K1.3831.35N/AN/A4275915,8094,997
2017-05-12$18.96$19.0020.1%5.8%19.6%21.8%19.5%-3.9%3.9%-184.1K543.2K-28.7K1.1827.23N/AN/A5035935,8294,991
2017-05-15$18.80$19.0021.0%6.0%19.8%24.6%21.0%-4.5%3.4%-205.5K964.0K-28.0K1.1720.64N/AN/A4565335,8284,991
2017-05-16$18.79$19.0020.6%5.9%18.6%23.4%19.9%-3.8%4.2%-204.7K1.2M-27.4K1.0028.66N/AN/A5045055,8515,041
2017-05-17$18.93$19.0021.3%6.1%18.8%25.5%22.7%-10.7%2.9%-236.2K517.3K-27.5K0.5843.21N/AN/A5313105,8635,061
2017-05-18$18.66$19.0021.6%6.2%18.9%26.5%22.3%-2.9%2.8%-199.8K1.3M-26.6K0.4813.91N/AN/A6032905,8925,065
2017-05-19$18.95$19.0020.8%6.0%19.6%23.9%13.6%-2.1%3.3%-444.0K427.1K-26.6K0.3420.12N/AN/A8812995,9515,076
2017-05-22$19.13$18.0021.2%6.1%19.8%25.3%15.9%-8.8%2.1%74.7K-1.9M-27.2K0.2912.72N/AN/A8792545,0453,511
2017-05-23$18.89$18.0020.5%5.9%19.7%23.1%21.4%-8.7%3.2%58.4K-1.2M-26.4K0.6719.61N/AN/A3122105,0363,551
2017-05-24$18.90$18.0020.3%5.8%19.1%22.5%21.0%-9.8%3.2%59.6K-1.3M-26.5K0.5529.56N/AN/A3521925,0523,573
2017-05-25$18.85$18.0020.7%5.9%19.0%23.6%19.6%-3.2%2.6%64.7K-1.3M-26.5K0.6918.88N/AN/A3582475,1323,573
2017-05-26$19.05$18.0019.8%5.7%19.3%20.8%19.8%-10.8%3.5%65.3K-1.7M-26.5K0.5533.26N/AN/A4562505,1723,649
2017-05-30$18.77$18.0022.2%6.4%17.6%28.4%13.3%-10.9%2.3%58.9K-939.5K-25.6K0.3316.65N/AN/A7652505,2233,653
2017-05-31$18.96$18.0022.8%6.5%17.7%30.5%18.8%-8.6%1.6%48.9K-1.3M-26.3K0.4826.85N/AN/A5142475,1183,658