CORN Options History — October 2017

In October 2017, CORN traded between $17.19 and $17.53. ATM implied volatility averaged 14.9%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 5.1% (HV 20d: 9.8%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2017-10-19: Highest Volume — 2,131 contracts
  • 2017-10-09: Largest IV spike — 26.6% change
  • 2017-10-02: Highest IV Rank — 21.0%
  • 2017-10-02: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.37$17.19$17.53$17.46$17.21
Max Pain$17.77$17.00$18.00$17.00$18.00
ATM IV14.9%12.3%17.8%17.8%13.4%
Expected Move4.3%3.5%5.1%5.1%3.8%
HV 20d9.8%8.2%11.3%11.3%9.7%
HV 60d15.2%13.6%19.0%19.0%13.6%
IV Rank8.0%0.0%21.0%21.0%4.8%
IV Percentile8.0%0.0%33.3%33.3%1.2%
Term Structure0.1%-1.5%4.1%-1.5%0.1%
VWIV15.2%12.0%17.9%17.9%13.9%
Skew 25d-1.1%-3.3%1.3%-0.4%1.3%
Skew 10d0.5%-6.8%28.4%0.5%2.0%
Call IV 25d16.0%12.2%19.4%18.2%12.2%
Put IV 25d14.9%13.4%17.7%17.7%13.5%
Bid-Ask Spread %21.3310.3141.6426.4931.55
Gamma HHI0.330.280.420.360.37
Net GEX95.2K-19.7K210.2K179.0K-19.7K
Net DEX27.7K-836.2K1.4M-526.2K385.4K
Net VEX-15.0K-17.2K-12.8K-15.7K-14.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.181.480.890.22
Total Volume1,399.4558242,1311,1841,417
Total OI10,287.8648,99411,8648,99411,650

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$17.46$17.0017.8%5.1%11.3%21.0%17.9%-0.4%-1.5%179.0K-526.2K-15.7K0.8926.49N/AN/A6275576,7122,282
2017-10-03$17.37$17.0015.5%4.4%11.1%10.1%15.2%-1.3%0.3%152.3K-154.3K-14.5K0.8413.84N/AN/A6475436,7372,527
2017-10-04$17.32$17.0016.6%4.8%10.7%15.5%17.0%-2.1%0.9%137.6K18.9K-14.4K0.6117.35N/AN/A6053726,7782,522
2017-10-05$17.34$18.0013.9%4.6%9.8%2.8%16.2%-3.0%0.1%137.5K-157.6K-14.5K0.4717.20N/AN/A6423006,7772,595
2017-10-06$17.39$18.0013.8%4.9%9.7%2.4%16.0%-0.3%-1.3%148.3K-189.6K-14.7K0.5224.29N/AN/A5863046,8312,585
2017-10-09$17.37$18.0017.5%4.7%9.7%19.5%16.1%-0.5%-0.5%140.5K-96.4K-14.0K0.4910.89N/AN/A6203056,8472,584
2017-10-10$17.35$18.0015.4%4.6%8.2%9.7%16.0%-1.6%-0.6%136.8K-74.1K-13.5K0.3920.76N/AN/A6152416,8892,571
2017-10-11$17.22$18.0016.6%4.8%8.6%15.5%16.2%-3.0%-1.0%103.8K250.3K-12.8K0.4541.64N/AN/A5692556,9422,551
2017-10-12$17.34$18.0015.6%4.5%8.9%10.8%14.6%-1.0%0.4%147.3K-110.9K-13.5K0.6829.95N/AN/A7174906,9742,578
2017-10-13$17.52$17.0015.0%4.3%9.6%7.9%13.3%0.3%-0.3%210.2K-836.2K-13.9K0.6124.50N/AN/A7704687,1232,406
2017-10-16$17.43$17.0014.4%4.1%9.5%5.3%15.2%-1.1%0.8%177.8K-593.2K-13.1K1.0718.47N/AN/A9379987,2142,401
2017-10-17$17.40$18.0014.5%4.2%9.0%5.8%15.7%-1.7%1.7%115.9K-235.5K-15.3K1.3032.27N/AN/A8771,1407,3842,946
2017-10-18$17.35$18.0014.1%4.1%9.0%4.0%14.4%-2.1%1.1%39.6K490.0K-14.7K1.4833.28N/AN/A8531,2637,4043,377
2017-10-19$17.34$18.0014.9%4.3%9.0%7.7%14.1%-1.5%-0.5%4.5K671.0K-17.1K1.1617.61N/AN/A9881,1437,5863,942
2017-10-20$17.19$18.0015.3%4.4%8.9%9.2%12.0%-3.3%-1.0%-8.2K1.4M-16.0K0.9910.31N/AN/A7587537,7174,147
2017-10-23$17.45$18.0014.6%4.2%10.6%6.2%14.5%0.3%0.2%35.5K548.5K-16.4K0.8220.96N/AN/A7686326,9863,634
2017-10-24$17.53$18.0014.0%4.0%10.6%3.5%14.8%0.4%-0.9%64.5K189.9K-17.0K0.8219.55N/AN/A7766387,2043,634
2017-10-25$17.47$18.0015.2%4.3%10.5%8.7%15.0%0.3%-1.1%56.6K273.2K-17.2K0.4116.40N/AN/A1,2985327,2473,630
2017-10-26$17.41$18.0014.3%4.1%10.5%4.8%14.5%0.2%-0.1%63.7K-426.0K-16.2K0.4212.89N/AN/A1,2045087,8403,621
2017-10-27$17.31$18.0012.9%3.7%10.1%0.0%14.6%-2.4%1.4%24.6K-41.2K-15.5K0.4415.57N/AN/A1,1955217,8503,627
2017-10-30$17.34$18.0012.3%3.5%9.5%0.0%16.1%-1.5%4.1%46.1K-159.7K-15.5K0.1813.60N/AN/A1,1512057,8543,627
2017-10-31$17.21$18.0013.4%3.8%9.7%4.8%13.9%1.3%0.1%-19.7K385.4K-14.7K0.2231.55N/AN/A1,1652527,9703,680