CORN Options History — March 2018

In March 2018, CORN traded between $17.32 and $18.10. ATM implied volatility averaged 16.2%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 6.1% (HV 20d: 10.1%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2018-03-20: Highest Volume — 2,435 contracts
  • 2018-03-08: Largest IV drop — 25.9% change
  • 2018-03-13: Highest IV Rank — 44.4%
  • 2018-03-29: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.70$17.32$18.10$17.83$17.96
Max Pain$16.90$16.00$17.00$16.00$17.00
ATM IV16.2%12.9%20.8%12.9%17.0%
Expected Move4.5%3.7%4.9%3.7%4.9%
HV 20d10.1%7.3%16.8%9.0%16.8%
HV 60d8.8%7.9%11.8%8.4%11.8%
IV Rank26.1%12.6%44.4%12.6%29.1%
IV Percentile40.9%6.3%75.4%6.3%50.4%
Term Structure0.9%-0.7%2.6%1.8%0.9%
VWIV16.2%12.8%19.5%12.8%19.3%
Skew 25d-0.3%-8.6%65.8%65.8%-0.2%
Skew 10d2.6%-10.0%89.1%89.1%-0.1%
Call IV 25d17.5%13.0%20.0%13.0%20.0%
Put IV 25d17.2%9.3%78.8%78.8%19.8%
Bid-Ask Spread %24.4612.3341.0327.3235.55
Gamma HHI0.380.330.490.350.39
Net GEX250.8K193.2K362.1K251.7K332.0K
Net DEX-4.8M-6.6M-3.6M-4.2M-6.6M
Net VEX-27.8K-33.8K-20.5K-20.5K-32.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.351.340.870.86
Total Volume1,433.8579282,4359281,458
Total OI11,3518,56013,5758,56013,575

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$17.83$16.0012.9%3.7%9.0%12.6%12.8%65.8%1.8%251.7K-4.2M-20.5K0.8727.32N/AN/A4964325,9922,568
2018-03-02$17.76$16.0016.1%4.6%9.1%25.6%16.9%-3.4%0.8%247.2K-4.2M-20.5K1.1340.44N/AN/A5346016,0182,578
2018-03-05$17.86$17.0018.1%4.8%9.1%33.6%15.9%-1.2%1.3%231.1K-4.5M-21.1K0.8941.03N/AN/A7506676,1152,838
2018-03-06$17.88$17.0015.9%4.7%8.3%24.9%15.1%-1.6%1.2%193.2K-4.4M-22.2K0.8830.18N/AN/A8087136,2943,154
2018-03-07$17.85$17.0018.2%4.7%7.3%33.9%15.9%-2.4%-0.1%206.1K-4.6M-23.2K1.0335.62N/AN/A6786996,5223,204
2018-03-08$18.10$17.0013.5%4.5%8.5%15.1%16.0%-2.0%1.7%201.2K-5.5M-23.3K0.8029.44N/AN/A8726996,5763,214
2018-03-09$17.95$17.0016.9%4.7%9.2%28.8%19.5%-6.5%1.3%224.7K-5.1M-24.1K0.8029.77N/AN/A5444366,9253,214
2018-03-12$17.97$17.0018.2%4.6%8.9%34.0%14.4%-7.4%1.6%228.9K-5.5M-23.6K0.3525.17N/AN/A1,2554457,1503,225
2018-03-13$18.05$17.0020.8%4.6%8.3%44.4%15.9%-5.0%2.6%283.9K-6.5M-27.2K0.6331.40N/AN/A7404657,9223,235
2018-03-14$17.96$17.0016.9%4.9%8.6%28.9%16.8%-6.0%0.3%290.7K-6.2M-28.0K0.5119.02N/AN/A1,1265748,1333,236
2018-03-15$17.86$17.0015.4%4.4%8.9%22.7%15.7%-8.6%1.1%292.8K-6.2M-29.2K0.9314.81N/AN/A8107578,5383,236
2018-03-16$17.71$17.0015.7%4.5%9.6%24.0%12.9%-6.2%0.4%362.1K-5.5M-30.2K0.8917.17N/AN/A8457558,6103,447
2018-03-19$17.41$17.0013.1%3.8%11.5%13.7%13.1%-3.2%1.8%291.2K-4.3M-28.5K0.8622.83N/AN/A7816698,4893,072
2018-03-20$17.36$17.0015.7%4.5%11.5%23.9%15.9%-3.8%-0.7%275.6K-4.1M-28.5K1.3415.66N/AN/A1,0391,3968,5813,092
2018-03-21$17.35$17.0014.9%4.3%11.5%20.9%17.9%-4.2%1.0%233.5K-3.8M-32.4K0.5024.12N/AN/A8404238,8284,109
2018-03-22$17.39$17.0016.5%4.7%11.5%27.1%17.6%-2.2%-0.2%236.3K-3.9M-33.5K0.5412.33N/AN/A7674168,8794,224
2018-03-23$17.45$17.0016.4%4.7%11.6%26.6%16.8%-1.4%0.8%247.4K-4.2M-33.2K0.8915.50N/AN/A7416568,9024,293
2018-03-26$17.37$17.0016.8%4.8%11.5%28.4%17.0%-1.6%0.3%215.2K-3.7M-33.7K0.9815.73N/AN/A6996838,9284,455
2018-03-27$17.35$17.0016.6%4.8%11.3%27.5%16.9%-2.1%0.2%211.6K-3.6M-33.2K1.2715.77N/AN/A5787369,0304,423
2018-03-28$17.32$17.0015.5%4.5%11.2%23.3%17.2%-4.1%1.5%210.2K-3.6M-33.8K0.9514.69N/AN/A7827469,0624,485
2018-03-29$17.96$17.0017.0%4.9%16.8%29.1%19.3%-0.2%0.9%332.0K-6.6M-32.7K0.8635.55N/AN/A7826769,0754,500