CORN Options History — June 2017

In June 2017, CORN traded between $18.39 and $19.66. ATM implied volatility averaged 24.7%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 7.4% (HV 20d: 17.2%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.49.

Notable Days

  • 2017-06-08: Highest Volume — 1,749 contracts
  • 2017-06-09: Largest IV spike — 33.0% change
  • 2017-06-09: Highest IV Rank — 57.5%
  • 2017-06-09: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.00$18.39$19.66$18.90$19.04
Max Pain$18.00$18.00$18.00$18.00$18.00
ATM IV24.7%20.1%31.3%21.0%26.1%
Expected Move7.1%5.8%8.4%6.0%7.5%
HV 20d17.2%14.8%20.4%17.6%20.4%
HV 60d16.6%15.4%18.2%15.6%18.2%
IV Rank36.4%21.8%57.5%24.7%40.9%
IV Percentile78.8%55.2%91.3%66.7%87.3%
Term Structure0.4%-1.1%3.2%3.2%-0.6%
VWIV26.1%20.4%29.8%22.1%28.7%
Skew 25d-7.1%-11.6%-4.7%-11.6%-4.7%
Skew 10d-12.1%-18.3%2.9%-16.2%2.9%
Call IV 25d28.7%23.6%32.4%25.6%29.4%
Put IV 25d21.6%14.0%25.4%14.0%24.8%
Bid-Ask Spread %24.5312.2778.3838.6630.06
Gamma HHI0.300.250.330.280.31
Net GEX116.4K53.1K194.4K53.1K145.3K
Net DEX-2.2M-4.3M-5.1K-1.1M-2.8M
Net VEX-28.5K-34.2K-25.9K-26.0K-34.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.260.760.440.26
Total Volume1,129.9557091,7498311,321
Total OI10,512.8188,94412,3868,94412,386

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$18.90$18.0021.0%6.0%17.6%24.7%22.1%-11.6%3.2%53.1K-1.1M-26.0K0.4438.66N/AN/A5762555,2823,662
2017-06-02$18.95$18.0020.1%5.8%16.1%21.8%20.4%-8.4%3.0%67.6K-1.6M-26.6K0.5313.21N/AN/A4622475,4373,672
2017-06-05$19.04$18.0024.5%7.2%15.6%36.0%24.5%-8.0%0.4%79.4K-1.8M-26.2K0.7017.44N/AN/A4773355,4683,614
2017-06-06$19.26$18.0023.1%7.1%15.2%31.5%24.6%-5.7%0.1%100.5K-2.5M-26.6K0.6723.84N/AN/A5133425,6163,614
2017-06-07$19.52$18.0028.6%8.1%15.7%49.2%29.2%-6.8%-0.6%117.9K-3.3M-26.9K0.3632.66N/AN/A8002865,7623,624
2017-06-08$19.47$18.0023.5%7.6%15.0%32.7%27.1%-7.1%0.5%128.6K-3.5M-28.0K0.3122.67N/AN/A1,3324176,0593,632
2017-06-09$19.66$18.0031.3%8.4%14.8%57.5%29.8%-6.7%-1.0%187.9K-4.3M-29.1K0.4338.27N/AN/A9574166,6183,714
2017-06-12$19.20$18.0025.7%7.6%17.3%39.7%26.7%-5.8%-0.2%184.0K-3.4M-29.5K0.4324.30N/AN/A9674157,0483,714
2017-06-13$19.39$18.0022.5%7.2%17.3%29.6%28.4%-6.0%1.0%194.4K-3.7M-29.0K0.5714.67N/AN/A7244167,0033,715
2017-06-14$19.23$18.0028.0%8.0%17.6%47.2%29.7%-4.7%2.5%184.9K-3.5M-29.2K0.7678.38N/AN/A5704357,0523,714
2017-06-15$19.25$18.0024.7%7.1%17.5%36.5%27.5%-6.4%0.7%160.7K-3.4M-28.7K0.6220.93N/AN/A6924307,0963,714
2017-06-16$19.51$18.0028.2%8.1%17.0%47.8%26.8%-4.7%-0.7%155.3K-4.2M-28.2K0.4623.23N/AN/A6853137,1163,714
2017-06-19$19.13$18.0025.4%7.3%18.0%38.9%26.1%-6.3%-1.1%135.1K-2.7M-27.1K0.6020.46N/AN/A5033036,6103,505
2017-06-20$18.85$18.0026.0%7.5%18.4%40.7%26.0%-6.7%-0.3%110.4K-1.7M-27.3K0.5018.36N/AN/A6723356,6303,634
2017-06-21$18.84$18.0025.3%7.2%17.9%38.3%27.3%-8.5%-0.2%101.2K-1.7M-27.8K0.4418.34N/AN/A5752546,7043,728
2017-06-22$18.56$18.0025.9%7.4%18.6%40.4%28.1%-7.9%-1.1%75.3K-792.5K-26.7K0.5712.27N/AN/A5242986,7903,766
2017-06-23$18.39$18.0023.1%6.6%18.8%31.3%24.4%-7.1%-0.1%56.6K-5.1K-25.9K0.4820.21N/AN/A8794206,7883,845
2017-06-26$18.45$18.0022.5%6.4%18.4%29.3%25.8%-8.6%0.9%67.7K-216.0K-28.1K0.4221.41N/AN/A1,2255147,1044,062
2017-06-27$18.45$18.0022.7%6.5%17.7%30.1%23.5%-8.0%1.1%82.3K-466.3K-31.3K0.3920.23N/AN/A8533327,5644,288
2017-06-28$18.41$18.0022.4%6.4%17.3%29.0%23.6%-9.0%0.5%78.3K-187.7K-31.2K0.3213.04N/AN/A9563097,7124,336
2017-06-29$18.49$18.0021.9%6.3%17.4%27.5%23.3%-7.7%0.9%95.2K-894.6K-32.7K0.4816.96N/AN/A1,0284967,8234,347
2017-06-30$19.04$18.0026.1%7.5%20.4%40.9%28.7%-4.7%-0.6%145.3K-2.8M-34.2K0.2630.06N/AN/A1,0472747,9084,478