CORN Options History — August 2017

In August 2017, CORN traded between $17.13 and $18.90. ATM implied volatility averaged 20.2%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.8% (HV 20d: 19.3%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.50.

Notable Days

  • 2017-08-17: Highest Volume — 2,572 contracts
  • 2017-08-31: Largest IV spike — 13.0% change
  • 2017-08-01: Highest IV Rank — 52.8%
  • 2017-08-01: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.09$17.13$18.90$18.51$17.68
Max Pain$18.61$18.00$19.00$19.00$18.00
ATM IV20.2%17.2%24.6%24.6%20.7%
Expected Move5.7%4.9%7.1%7.1%5.9%
HV 20d19.3%14.3%25.3%25.3%19.2%
HV 60d20.7%20.4%21.4%20.8%21.4%
IV Rank32.1%18.2%52.8%52.8%34.7%
IV Percentile56.9%20.2%86.5%86.5%69.4%
Term Structure0.1%-4.2%2.4%-4.2%-1.0%
VWIV19.7%16.5%25.2%24.4%21.4%
Skew 25d-2.2%-6.7%3.2%-5.5%3.1%
Skew 10d-4.7%-14.5%15.6%-13.5%5.5%
Call IV 25d21.0%17.0%26.6%26.6%18.3%
Put IV 25d18.8%14.0%21.5%21.1%21.5%
Bid-Ask Spread %18.658.9758.6019.4822.55
Gamma HHI0.390.220.830.360.23
Net GEX-130.1K-1.6M183.0K-17.1K93.4K
Net DEX29.9K-2.3M3.0M-92.7K-1.0M
Net VEX-21.4K-26.3K-17.9K-26.3K-20.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.091.621.620.09
Total Volume1,186.1744822,5721,9911,105
Total OI12,254.6097,44116,47914,2769,114

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$18.51$19.0024.6%7.1%25.3%52.8%24.4%-5.5%-4.2%-17.1K-92.7K-26.3K1.6219.48N/AN/A7611,2309,2025,074
2017-08-02$18.55$19.0022.6%6.5%24.7%43.2%25.2%-3.1%0.2%11.4K-364.5K-25.6K0.408.97N/AN/A7493039,3634,920
2017-08-03$18.56$19.0024.1%6.1%24.7%50.1%20.6%-5.2%0.4%298-457.8K-25.1K0.4013.33N/AN/A7563029,3604,927
2017-08-04$18.70$19.0022.3%5.8%24.9%41.7%20.4%-4.0%0.9%64.1K-1.1M-24.7K0.3912.04N/AN/A7793049,3844,943
2017-08-07$18.90$19.0022.6%6.2%23.8%43.5%21.2%-3.2%-0.7%111.4K-1.7M-23.7K0.3710.04N/AN/A8473139,3974,938
2017-08-08$18.77$19.0023.9%6.1%23.8%49.4%20.5%-4.2%-0.0%114.5K-1.7M-23.5K0.2224.59N/AN/A1,3443019,4124,933
2017-08-09$18.85$19.0021.2%6.1%20.7%36.8%20.2%-0.9%-0.0%183.0K-2.3M-24.6K0.4012.98N/AN/A7453009,8374,937
2017-08-10$18.34$19.0018.5%5.3%20.0%24.2%17.3%-6.5%2.2%-185.4K749.4K-22.1K0.7058.60N/AN/A8295799,8574,932
2017-08-11$18.42$19.0018.1%5.2%19.3%22.4%17.7%-0.9%1.7%-171.8K420.4K-22.5K0.7111.39N/AN/A8756219,9885,184
2017-08-14$18.48$19.0017.2%4.9%19.4%18.2%17.5%-2.3%2.4%-102.6K135.9K-21.3K0.5515.86N/AN/A8194549,9635,177
2017-08-15$18.13$19.0018.9%5.4%20.2%26.1%16.5%-6.7%0.8%-484.4K2.3M-19.7K0.4420.17N/AN/A92040910,0485,255
2017-08-16$18.07$19.0018.1%5.2%19.2%22.5%19.0%-6.6%0.9%-575.7K2.5M-20.1K0.3720.36N/AN/A96635610,2755,253
2017-08-17$17.91$19.0020.3%5.8%18.0%32.8%20.2%-0.6%-1.1%-756.0K3.0M-19.3K0.6646.52N/AN/A1,5501,02210,3205,191
2017-08-18$18.00$19.0019.5%5.6%17.2%28.7%18.8%0.3%-0.2%-1.6M2.4M-21.4K0.2319.39N/AN/A1,58337110,8955,584
2017-08-21$17.87$18.0019.2%5.5%17.1%27.4%18.8%-1.3%0.6%103.8K-1.1M-20.7K0.5013.17N/AN/A3211615,2942,147
2017-08-22$17.79$18.0018.6%5.3%16.2%24.5%18.6%-1.1%-0.5%94.5K-903.5K-20.0K0.4512.10N/AN/A3601635,3522,184
2017-08-23$17.62$18.0019.8%5.7%15.9%30.3%20.0%-1.3%-0.1%86.1K-588.5K-19.5K0.8117.00N/AN/A4183405,4792,187
2017-08-24$17.62$18.0019.3%5.5%15.8%27.8%20.1%3.2%0.2%62.3K-460.0K-19.5K0.8813.70N/AN/A3943455,5052,419
2017-08-25$17.49$18.0018.4%5.3%15.5%23.7%19.2%0.6%-0.3%28.1K-162.4K-18.9K0.2919.19N/AN/A5121515,5602,622
2017-08-28$17.41$18.0019.0%5.5%15.4%26.6%18.7%1.2%-0.9%9.4K115.4K-18.2K0.3216.47N/AN/A5131655,6382,643
2017-08-29$17.32$18.0019.1%5.5%14.3%27.3%19.3%-1.8%-0.3%3.5K295.8K-18.1K0.5310.58N/AN/A5322825,8252,663
2017-08-30$17.13$18.0018.4%5.3%14.4%23.6%17.0%-3.7%1.4%-29.8K640.1K-17.9K0.1010.54N/AN/A1,0271055,8792,796
2017-08-31$17.68$18.0020.7%5.9%19.2%34.7%21.4%3.1%-1.0%93.4K-1.0M-20.7K0.0922.55N/AN/A1,011946,3012,813