CORN Options History — February 2018

In February 2018, CORN traded between $16.96 and $17.61. ATM implied volatility averaged 13.5%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 4.7% (HV 20d: 8.8%). Max pain ranged from $16.00 to $16.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.40.

Notable Days

  • 2018-02-01: Highest Volume — 1,354 contracts
  • 2018-02-28: Largest IV spike — 29.4% change
  • 2018-02-02: Highest IV Rank — 21.0%
  • 2018-02-02: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.30$16.96$17.61$17.14$17.61
Max Pain$16.00$16.00$16.00$16.00$16.00
ATM IV13.5%9.7%15.9%13.7%12.5%
Expected Move3.9%2.8%4.4%4.4%3.6%
HV 20d8.8%8.0%9.8%8.4%8.1%
HV 60d8.9%8.1%9.8%9.3%8.1%
IV Rank11.3%0.0%21.0%11.5%11.4%
IV Percentile12.1%0.0%32.5%8.7%4.8%
Term Structure2.8%0.3%6.1%2.4%1.8%
VWIV15.3%9.7%40.4%14.3%10.8%
Skew 25d-1.7%-5.8%7.1%-5.7%-5.8%
Skew 10d5.3%-8.1%55.2%-5.4%-3.8%
Call IV 25d14.1%8.4%17.2%17.2%14.6%
Put IV 25d12.4%8.4%15.7%11.4%8.8%
Bid-Ask Spread %35.358.8481.3232.7728.30
Gamma HHI0.320.250.470.380.33
Net GEX218.6K134.1K376.1K176.2K240.2K
Net DEX-1.8M-4.0M996.3K-297.2K-4.0M
Net VEX-22.4K-26.6K-19.9K-26.4K-20.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.260.750.310.64
Total Volume931.5266971,3541,354778
Total OI13,554.2118,22116,68216,4268,489

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$17.14$16.0013.7%4.4%8.4%11.5%14.3%-5.7%2.4%176.2K-297.2K-26.4K0.3132.77N/AN/A1,0313239,8726,554
2018-02-02$17.10$16.0015.9%4.4%8.3%21.0%17.3%-5.5%1.5%134.1K-269.4K-26.6K0.4852.31N/AN/A6733239,8886,554
2018-02-05$16.96$16.0013.7%4.0%8.9%11.7%40.4%-5.2%3.3%265.8K996.3K-24.4K0.3981.32N/AN/A8383309,8986,554
2018-02-06$17.19$16.0015.0%4.3%9.0%17.0%13.2%2.8%2.1%222.5K-545.7K-24.5K0.7549.96N/AN/A4403299,9546,558
2018-02-07$17.24$16.0015.3%4.4%9.0%18.3%13.9%-2.4%3.0%151.4K-1.1M-24.6K0.2924.25N/AN/A6942039,9986,564
2018-02-08$17.23$16.0014.7%4.2%9.0%15.9%15.3%-3.6%2.9%326.7K-1.5M-23.0K0.3148.69N/AN/A65320310,0266,564
2018-02-09$17.15$16.0013.6%3.9%9.3%11.4%15.8%-4.5%3.8%376.1K-624.8K-23.5K0.3937.39N/AN/A55621810,0516,564
2018-02-12$17.35$16.0013.8%4.0%9.7%12.1%14.8%-2.5%3.1%232.6K-1.9M-21.6K0.3840.38N/AN/A59222310,0886,594
2018-02-13$17.33$16.0013.3%3.8%9.8%10.1%16.4%-3.9%1.4%174.3K-1.7M-20.3K0.2623.13N/AN/A8572239,8786,628
2018-02-14$17.32$16.0015.3%4.4%9.2%18.5%16.9%-2.5%1.2%209.6K-1.4M-22.5K0.2840.45N/AN/A86324510,0406,638
2018-02-15$17.38$16.0013.0%3.7%9.1%8.6%16.4%-2.9%3.6%187.9K-1.8M-21.9K0.3323.64N/AN/A6752219,9976,652
2018-02-16$17.35$16.0013.4%3.9%9.1%10.6%14.2%-2.4%4.3%183.0K-1.7M-22.0K0.2641.29N/AN/A8582209,9596,652
2018-02-20$17.30$16.0012.5%3.6%9.1%6.5%14.4%-2.8%3.3%200.2K-2.9M-21.1K0.3619.09N/AN/A6472365,7632,458
2018-02-21$17.32$16.0014.0%4.0%9.0%13.0%11.5%3.2%0.3%198.5K-3.0M-21.0K0.3942.65N/AN/A6462525,9132,490
2018-02-22$17.35$16.0012.7%3.6%8.1%7.3%12.5%6.7%3.1%204.4K-3.1M-20.8K0.3429.78N/AN/A7442525,9232,471
2018-02-23$17.35$16.0013.0%3.7%8.0%8.9%11.7%7.1%1.4%207.0K-3.1M-20.7K0.4212.81N/AN/A6302635,9172,471
2018-02-26$17.45$16.0010.9%3.1%8.1%0.1%10.8%-1.5%4.2%232.4K-3.3M-20.5K0.538.84N/AN/A4982655,9442,487
2018-02-27$17.54$16.009.7%2.8%8.2%0.0%9.7%-0.5%6.1%231.4K-3.6M-19.9K0.5634.64N/AN/A4472505,9682,511
2018-02-28$17.61$16.0012.5%3.6%8.1%11.4%10.8%-5.8%1.8%240.2K-4.0M-20.5K0.6428.30N/AN/A4753035,9772,512