CORN Options History — May 2018

In May 2018, CORN traded between $17.98 and $18.50. ATM implied volatility averaged 18.6%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 6.9% (HV 20d: 11.6%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.39.

Notable Days

  • 2018-05-10: Highest Volume — 1,424 contracts
  • 2018-05-29: Largest IV spike — 28.2% change
  • 2018-05-09: Highest IV Rank — 44.1%
  • 2018-05-09: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.25$17.98$18.50$18.37$18.05
Max Pain$16.77$16.00$18.00$17.00$18.00
ATM IV18.6%15.7%20.8%16.9%19.7%
Expected Move5.4%4.5%6.0%4.8%5.6%
HV 20d11.6%10.6%14.0%14.0%12.7%
HV 60d13.6%13.0%14.3%13.4%14.3%
IV Rank35.4%24.1%44.1%28.8%39.8%
IV Percentile63.1%38.1%76.6%48.4%74.6%
Term Structure3.2%-0.6%6.4%4.2%2.8%
VWIV18.6%14.3%22.3%16.4%21.2%
Skew 25d-5.2%-8.5%12.3%12.3%-7.7%
Skew 10d-3.3%-12.8%63.5%63.5%-10.0%
Call IV 25d21.4%18.5%23.5%18.5%23.5%
Put IV 25d16.1%13.3%30.9%30.9%15.8%
Bid-Ask Spread %18.128.8658.198.8628.13
Gamma HHI0.490.320.810.490.33
Net GEX492.3K186.1K951.0K616.4K211.5K
Net DEX-6.8M-9.4M-3.8M-8.7M-4.1M
Net VEX-26.1K-27.6K-25.1K-26.5K-26.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.180.730.480.35
Total Volume816.5453881,424795388
Total OI12,668.9558,98315,51314,0509,430

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$18.37$17.0016.9%4.8%14.0%28.8%16.4%12.3%4.2%616.4K-8.7M-26.5K0.488.86N/AN/A5382579,6824,368
2018-05-02$18.38$17.0017.1%4.9%12.3%29.4%16.9%-2.7%2.3%590.3K-8.7M-26.6K0.5013.21N/AN/A5232619,6904,416
2018-05-03$18.48$17.0019.1%5.7%10.6%37.5%22.0%-7.0%1.9%575.7K-9.4M-26.9K0.3010.41N/AN/A9602849,7414,441
2018-05-04$18.40$16.0016.2%5.3%10.8%25.8%22.3%-8.5%1.9%645.8K-9.2M-26.2K0.3620.99N/AN/A6462339,8844,446
2018-05-07$18.18$16.0017.9%5.5%11.5%32.7%19.7%-7.6%3.0%637.1K-7.8M-25.9K0.2316.97N/AN/A8772059,8614,444
2018-05-08$18.30$16.0018.7%5.6%11.7%35.8%17.0%-6.8%2.7%691.2K-8.2M-25.1K0.3015.90N/AN/A6551999,7304,532
2018-05-09$18.29$16.0020.8%6.0%11.2%44.1%20.4%-6.3%-0.6%671.4K-8.0M-25.5K0.3235.07N/AN/A5861909,7494,569
2018-05-10$18.20$16.0018.9%5.4%11.3%36.7%19.5%-7.2%4.8%711.3K-7.6M-26.0K0.1815.83N/AN/A1,2082169,8724,601
2018-05-11$18.04$16.0018.3%5.3%11.4%34.4%17.3%-6.7%4.2%745.9K-7.0M-27.2K0.2715.62N/AN/A73620210,3354,666
2018-05-14$18.07$16.0019.2%5.5%11.1%38.0%18.5%-7.4%3.0%739.7K-6.9M-26.9K0.3021.75N/AN/A62218610,3614,690
2018-05-15$18.23$16.0019.1%5.5%11.2%37.6%15.2%-8.2%3.5%464.0K-8.6M-25.1K0.2758.19N/AN/A75720210,3714,678
2018-05-16$18.13$16.0019.1%5.5%11.4%37.7%15.9%-6.5%1.8%900.4K-7.5M-25.9K0.1815.56N/AN/A1,11719910,3104,698
2018-05-17$18.00$16.0017.9%5.1%11.7%32.7%14.3%-6.2%4.2%951.0K-6.7M-27.6K0.3222.82N/AN/A64720510,8194,694
2018-05-18$18.22$16.0020.1%5.8%11.4%41.6%20.4%-6.9%2.7%186.1K-9.0M-26.7K0.2113.18N/AN/A86718410,8204,671
2018-05-21$18.28$17.0018.7%5.3%11.4%35.8%18.8%-4.8%4.4%197.3K-4.7M-26.1K0.4712.94N/AN/A3771766,2232,760
2018-05-22$18.37$17.0018.4%5.3%11.4%34.8%19.0%-3.4%3.9%205.8K-4.8M-26.2K0.5412.60N/AN/A4362346,2622,779
2018-05-23$18.50$18.0017.9%5.1%11.0%32.7%18.0%-1.5%6.4%219.4K-5.0M-26.1K0.6011.49N/AN/A3862326,3412,823
2018-05-24$18.34$18.0018.8%5.4%11.6%36.3%18.9%-4.2%2.2%214.6K-4.8M-26.2K0.6811.95N/AN/A3202186,3772,815
2018-05-25$18.47$18.0015.7%4.5%11.5%24.1%16.7%-4.5%6.4%233.0K-5.2M-25.4K0.7314.18N/AN/A2802046,4072,827
2018-05-29$18.20$18.0020.2%5.8%12.7%41.8%20.8%-5.3%2.6%222.0K-4.5M-25.4K0.5913.80N/AN/A2701606,4202,835
2018-05-30$17.98$18.0019.9%5.7%12.6%40.8%19.9%-8.0%1.2%199.8K-3.8M-25.8K0.429.21N/AN/A3671546,4352,844
2018-05-31$18.05$18.0019.7%5.6%12.7%39.8%21.2%-7.7%2.8%211.5K-4.1M-26.1K0.3528.13N/AN/A2871016,5662,864