CORN Options History — April 2018

In April 2018, CORN traded between $17.57 and $18.15. ATM implied volatility averaged 17.6%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.1% (HV 20d: 17.5%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2018-04-12: Highest Volume — 1,337 contracts
  • 2018-04-24: Largest IV drop — 6.1% change
  • 2018-04-04: Highest IV Rank — 36.9%
  • 2018-04-09: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.91$17.57$18.15$17.97$18.15
Max Pain$17.00$17.00$17.00$17.00$17.00
ATM IV17.6%15.8%18.9%18.8%16.7%
Expected Move5.1%4.5%5.4%5.4%4.8%
HV 20d17.5%13.3%19.0%16.7%13.3%
HV 60d12.8%11.8%13.2%11.8%13.2%
IV Rank31.7%24.3%36.9%36.1%27.9%
IV Percentile53.5%38.1%66.3%65.5%46.8%
Term Structure3.3%-0.4%5.4%0.0%3.8%
VWIV17.2%13.8%20.5%19.7%16.3%
Skew 25d-4.4%-9.7%3.7%-7.5%-4.8%
Skew 10d2.4%-10.6%37.8%-10.6%-6.5%
Call IV 25d18.8%13.1%22.3%21.8%19.7%
Put IV 25d14.4%10.6%18.0%14.3%14.9%
Bid-Ask Spread %15.157.9531.908.4610.56
Gamma HHI0.470.360.560.390.50
Net GEX394.8K266.5K544.6K333.2K544.6K
Net DEX-6.2M-7.5M-4.6M-6.7M-7.5M
Net VEX-31.0K-33.2K-27.6K-32.4K-27.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.411.131.130.44
Total Volume1,064.3337021,3371,325872
Total OI14,180.71413,65514,84713,72313,932

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$17.97$17.0018.8%5.4%16.7%36.1%19.7%-7.5%0.0%333.2K-6.7M-32.4K1.138.46N/AN/A6237029,1294,594
2018-04-03$18.00$17.0018.5%5.3%16.6%35.2%16.2%-1.2%-0.4%332.7K-6.7M-31.9K1.0626.99N/AN/A6326679,1074,585
2018-04-04$17.70$17.0018.9%5.4%17.7%36.9%16.4%-4.0%1.4%266.5K-5.1M-32.1K0.6413.40N/AN/A7174569,1504,557
2018-04-05$18.04$17.0018.0%5.4%19.0%33.0%16.8%-2.6%4.2%353.2K-6.5M-31.8K0.6531.90N/AN/A6994569,0834,572
2018-04-06$18.03$17.0018.6%5.4%18.3%35.6%18.0%-4.3%3.6%347.9K-6.4M-32.2K0.6615.34N/AN/A6674409,1184,573
2018-04-09$18.15$17.0018.4%5.4%18.2%34.9%20.3%-8.5%3.9%400.3K-7.1M-31.7K0.8429.76N/AN/A7125979,1684,630
2018-04-10$18.11$17.0018.5%5.4%18.2%35.1%16.6%-7.9%3.9%388.2K-7.1M-32.7K0.749.21N/AN/A7565639,4044,843
2018-04-11$17.96$17.0018.6%5.3%18.4%35.5%18.0%-8.2%3.9%375.8K-6.5M-33.2K0.5715.88N/AN/A7604359,5534,847
2018-04-12$18.05$17.0017.7%5.1%18.4%31.8%18.1%-8.1%4.2%420.4K-7.0M-32.8K0.809.12N/AN/A7415969,6884,909
2018-04-13$17.91$17.0018.4%5.3%18.5%34.9%18.3%-8.0%3.7%385.4K-6.3M-32.9K0.7627.33N/AN/A6284759,7014,993
2018-04-16$17.79$17.0017.8%5.1%18.4%32.4%19.6%-9.7%4.2%374.7K-5.7M-31.8K0.7213.25N/AN/A5824209,7525,002
2018-04-17$17.71$17.0017.8%5.1%17.4%32.5%20.5%-5.3%4.7%366.4K-5.4M-32.7K0.909.54N/AN/A5524999,8075,012
2018-04-18$17.81$17.0017.1%4.9%17.4%29.6%17.0%-8.0%5.4%408.3K-5.8M-31.0K0.4111.38N/AN/A7162979,8315,004
2018-04-19$17.78$17.0017.4%5.0%17.4%30.7%18.6%-2.9%4.3%393.1K-5.7M-30.7K0.5515.05N/AN/A6283469,8095,007
2018-04-20$17.57$17.0016.8%4.8%18.0%28.4%15.8%-0.2%4.6%340.2K-4.6M-29.7K0.6520.15N/AN/A6444219,8175,030
2018-04-23$17.64$17.0017.5%5.0%18.0%31.1%16.5%1.3%0.5%373.5K-4.8M-29.0K0.6713.07N/AN/A5443679,4264,355
2018-04-24$17.74$17.0016.4%4.7%18.0%26.9%15.0%-4.1%3.2%404.6K-5.3M-28.9K0.567.95N/AN/A4942799,5024,355
2018-04-25$17.94$17.0016.5%4.7%18.3%27.2%14.6%3.7%3.3%466.2K-6.4M-28.9K0.4911.91N/AN/A6032949,5644,353
2018-04-26$17.94$17.0016.2%4.6%18.3%26.0%13.8%-2.1%2.9%486.5K-6.4M-28.5K0.769.86N/AN/A3983049,6604,360
2018-04-27$18.09$17.0015.8%4.5%13.3%24.3%14.7%0.1%3.3%529.5K-7.2M-27.9K0.478.10N/AN/A5232469,6434,370
2018-04-30$18.15$17.0016.7%4.8%13.3%27.9%16.3%-4.8%3.8%544.6K-7.5M-27.6K0.4410.56N/AN/A6062669,5674,365