CORN Options History — July 2017

In July 2017, CORN traded between $18.71 and $20.00. ATM implied volatility averaged 26.5%, placing in the 56.0% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 2.1% (HV 20d: 24.4%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.51.

Notable Days

  • 2017-07-03: Highest Volume — 3,777 contracts
  • 2017-07-05: Largest IV spike — 26.7% change
  • 2017-07-11: Highest IV Rank — 78.7%
  • 2017-07-05: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.24$18.71$20.00$19.33$18.87
Max Pain$18.95$18.00$19.00$18.00$19.00
ATM IV26.5%22.0%34.8%27.4%22.0%
Expected Move7.4%6.3%10.0%7.9%6.3%
HV 20d24.4%19.8%27.1%21.1%25.1%
HV 60d20.2%18.3%21.6%18.4%20.5%
IV Rank56.0%40.4%78.7%45.3%40.7%
IV Percentile86.4%71.4%99.2%88.9%72.2%
Term Structure-2.0%-3.9%-0.3%-1.8%-1.3%
VWIV26.0%22.6%30.6%30.6%22.6%
Skew 25d-5.3%-9.8%-2.3%-5.5%-2.3%
Skew 10d-10.5%-17.2%-2.4%-2.4%-7.6%
Call IV 25d28.9%23.6%34.1%33.5%23.6%
Put IV 25d23.6%20.6%28.1%28.1%21.3%
Bid-Ask Spread %23.059.9760.9053.7613.81
Gamma HHI0.330.270.480.320.33
Net GEX151.8K-69.7K434.9K192.0K123.0K
Net DEX-3.7M-7.5M-147.9K-4.1M-2.0M
Net VEX-32.2K-36.5K-26.9K-34.1K-26.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.321.370.580.39
Total Volume1,484.78953,7773,7771,089
Total OI14,822.2512,61616,44512,61614,206

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$19.33$18.0027.4%7.9%21.1%45.3%30.6%-5.5%-1.8%192.0K-4.1M-34.1K0.5853.76N/AN/A2,3881,3898,1384,478
2017-07-05$19.59$19.0034.8%10.0%21.2%68.7%29.6%-9.8%-3.9%274.6K-5.3M-36.5K0.4960.90N/AN/A7003458,9094,940
2017-07-06$19.55$19.0031.7%7.9%20.7%59.0%27.6%-4.5%-2.5%252.9K-5.2M-34.8K1.3733.02N/AN/A6759238,9535,000
2017-07-07$19.57$19.0030.4%8.1%20.7%71.6%27.7%-7.0%-3.9%187.6K-5.3M-35.0K0.4118.92N/AN/A7643178,9565,548
2017-07-10$20.00$19.0031.5%7.8%21.8%76.0%26.5%-6.0%-2.5%292.4K-7.5M-33.0K0.3426.67N/AN/A1,2254169,0675,582
2017-07-11$20.00$19.0032.2%7.9%19.8%78.7%27.9%-6.7%-2.7%306.3K-7.5M-32.5K0.3821.53N/AN/A1,4175389,1095,730
2017-07-12$19.31$19.0025.2%7.2%23.5%49.7%26.7%-5.8%-1.6%121.7K-3.8M-35.3K0.3927.92N/AN/A1,4695679,4305,931
2017-07-13$18.72$19.0025.9%7.4%25.8%59.0%25.5%-7.8%-2.5%-22.1K-147.9K-33.9K0.6919.89N/AN/A1,1267779,5546,118
2017-07-14$19.00$19.0026.0%7.5%26.5%59.2%25.8%-3.3%-2.5%-29.1K-1.7M-33.9K0.3613.51N/AN/A9683469,8416,098
2017-07-17$18.98$19.0024.5%7.0%25.9%52.2%24.0%-5.2%-1.0%-69.7K-1.7M-32.3K0.329.97N/AN/A9803129,8326,098
2017-07-18$19.06$19.0024.8%7.1%25.1%53.7%24.8%-4.2%-1.6%-31.5K-2.5M-33.0K0.5713.08N/AN/A89150610,0046,126
2017-07-19$19.33$19.0023.9%6.9%24.9%49.4%25.4%-3.5%-0.3%160.4K-4.4M-32.9K0.4313.09N/AN/A1,19251810,2426,203
2017-07-20$19.63$19.0027.8%8.0%25.4%67.5%25.3%-3.9%-3.2%434.9K-6.8M-32.5K0.4410.75N/AN/A1,03746010,2306,161
2017-07-21$19.22$19.0025.1%7.2%26.1%55.2%24.2%-5.8%-2.0%181.2K-4.6M-31.1K0.5614.60N/AN/A88649210,1846,159
2017-07-24$19.05$19.0024.5%7.0%26.0%52.3%24.3%-6.0%-1.4%158.5K-2.7M-30.3K0.5720.61N/AN/A6853928,7034,962
2017-07-25$18.71$19.0023.2%6.7%27.0%46.3%23.0%-5.5%-0.8%70.4K-1.3M-29.2K0.4911.26N/AN/A6713308,8215,039
2017-07-26$18.86$19.0023.5%6.7%27.1%47.6%29.7%-4.4%-3.3%112.2K-2.1M-29.5K0.4745.62N/AN/A6112858,9375,044
2017-07-27$18.92$19.0023.5%6.7%27.1%47.5%26.5%-4.3%-1.4%142.3K-2.4M-29.4K0.5515.14N/AN/A5793168,9815,055
2017-07-28$19.02$19.0022.0%6.3%27.1%40.4%22.7%-4.0%-0.7%178.2K-2.8M-28.5K0.4117.05N/AN/A7873259,0535,023
2017-07-31$18.87$19.0022.0%6.3%25.1%40.7%22.6%-2.3%-1.3%123.0K-2.0M-26.9K0.3913.81N/AN/A7853049,1515,055