CORN Options History — September 2017

In September 2017, CORN traded between $17.29 and $17.83. ATM implied volatility averaged 19.7%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.2% (HV 20d: 16.5%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.29.

Notable Days

  • 2017-09-27: Highest Volume — 1,601 contracts
  • 2017-09-13: Largest IV drop — 33.8% change
  • 2017-09-12: Highest IV Rank — 64.8%
  • 2017-09-07: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.53$17.29$17.83$17.57$17.64
Max Pain$17.50$17.00$18.00$18.00$17.00
ATM IV19.7%16.5%27.2%18.1%17.7%
Expected Move5.2%4.7%5.7%5.2%5.1%
HV 20d16.5%11.0%19.0%18.8%11.0%
HV 60d20.3%18.7%21.4%21.4%18.9%
IV Rank29.8%15.0%64.8%22.4%20.4%
IV Percentile48.5%13.9%95.6%36.1%30.2%
Term Structure0.0%-1.7%2.1%1.8%-1.7%
VWIV17.7%15.2%19.8%17.7%15.2%
Skew 25d-1.7%-6.0%2.0%-6.0%2.0%
Skew 10d-2.6%-11.4%4.0%-2.5%4.0%
Call IV 25d18.7%16.2%20.6%18.3%17.0%
Put IV 25d17.0%12.3%19.8%12.3%19.0%
Bid-Ask Spread %19.878.6851.2518.3541.99
Gamma HHI0.300.230.360.250.36
Net GEX144.3K327210.5K64.2K210.5K
Net DEX-807.2K-1.6M-191.6K-735.5K-1.0M
Net VEX-17.4K-20.1K-15.2K-19.9K-17.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.080.520.080.52
Total Volume1,109.67561,6011,220926
Total OI9,056.68,1899,9809,1508,966

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$17.57$18.0018.1%5.2%18.8%22.4%17.7%-6.0%1.8%64.2K-735.5K-19.9K0.0818.35N/AN/A1,133876,3292,821
2017-09-05$17.69$18.0022.1%5.4%18.5%41.1%19.8%-0.7%0.2%114.1K-1.3M-20.0K0.0818.30N/AN/A1,045886,5192,825
2017-09-06$17.83$18.0020.1%5.6%18.9%31.7%19.3%-0.1%-1.0%143.0K-1.6M-20.1K0.1512.15N/AN/A657996,5282,823
2017-09-07$17.60$18.0024.0%5.7%19.0%49.7%17.6%-3.8%0.1%80.1K-990.7K-19.7K0.1918.49N/AN/A7231346,6542,820
2017-09-08$17.66$18.0023.5%5.4%16.9%47.5%18.4%-1.3%0.6%99.8K-1.1M-19.4K0.1712.86N/AN/A6771176,6062,820
2017-09-11$17.68$18.0025.9%5.6%16.8%58.5%19.4%-0.8%-0.6%111.5K-1.2M-18.7K0.3215.12N/AN/A7322346,6032,820
2017-09-12$17.42$18.0027.2%5.0%17.2%64.8%18.0%-4.2%1.2%327-191.6K-17.7K0.2343.91N/AN/A7051616,6962,958
2017-09-13$17.44$18.0018.0%5.2%16.2%22.0%18.1%-3.7%-0.7%86.3K-619.7K-17.6K0.3815.93N/AN/A7983026,8152,992
2017-09-14$17.51$18.0019.6%5.6%16.3%29.4%18.1%-3.4%-1.3%127.3K-753.7K-17.5K0.348.68N/AN/A8773006,8703,025
2017-09-15$17.55$18.0018.7%5.4%16.1%25.2%17.7%1.1%-0.3%195.3K-918.7K-17.5K0.3610.94N/AN/A8493046,9583,022
2017-09-18$17.43$17.0018.4%5.3%16.1%24.0%17.6%-2.0%-0.7%187.3K-740.1K-16.3K0.2121.36N/AN/A8141676,4731,778
2017-09-19$17.29$17.0018.5%5.3%16.1%24.4%18.2%-4.7%0.1%169.1K-418.6K-15.7K0.3111.24N/AN/A1,0983396,4071,782
2017-09-20$17.34$17.0016.5%4.7%16.2%15.0%16.4%-3.5%2.1%167.2K-451.3K-15.6K0.3051.25N/AN/A9612846,3981,957
2017-09-21$17.36$17.0017.1%4.9%15.9%17.7%16.9%-2.5%0.4%168.0K-395.4K-15.2K0.309.67N/AN/A9342836,4391,958
2017-09-22$17.51$17.0018.0%5.2%16.2%21.9%17.8%0.9%0.2%189.3K-812.3K-15.9K0.2915.71N/AN/A9852856,4641,984
2017-09-25$17.52$17.0018.4%5.3%16.0%23.9%17.1%-0.2%-1.7%192.2K-779.3K-15.6K0.2611.63N/AN/A1,0752836,5451,993
2017-09-26$17.47$17.0017.0%4.9%16.0%17.4%17.0%-1.1%-0.6%189.9K-617.7K-16.2K0.4019.08N/AN/A8153236,6472,106
2017-09-27$17.56$17.0018.4%5.3%15.9%23.7%17.9%0.3%0.1%205.4K-925.7K-16.9K0.4215.78N/AN/A1,1244776,6982,101
2017-09-28$17.48$17.0016.5%4.7%15.5%15.0%16.6%-1.1%1.9%184.6K-632.0K-16.5K0.4524.88N/AN/A6863116,6832,249
2017-09-29$17.64$17.0017.7%5.1%11.0%20.4%15.2%2.0%-1.7%210.5K-1.0M-17.0K0.5241.99N/AN/A6093176,7062,260