CORN Options History — June 2018

In June 2018, CORN traded between $16.23 and $17.94. ATM implied volatility averaged 23.4%, placing in the 54.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 6.7% (HV 20d: 16.7%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2018-06-14: Highest Volume — 1,340 contracts
  • 2018-06-04: Largest IV spike — 27.3% change
  • 2018-06-19: Highest IV Rank — 71.8%
  • 2018-06-19: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.99$16.23$17.94$17.94$16.40
Max Pain$17.05$17.00$18.00$18.00$17.00
ATM IV23.4%18.5%27.7%19.5%21.9%
Expected Move6.9%5.6%7.9%5.6%6.3%
HV 20d16.7%12.6%18.9%12.6%18.8%
HV 60d15.4%14.4%16.5%14.4%14.7%
IV Rank54.7%35.0%71.8%39.1%48.7%
IV Percentile86.3%64.7%97.6%74.2%81.7%
Term Structure-0.3%-3.2%2.7%2.7%-0.5%
VWIV23.9%18.9%27.6%18.9%22.7%
Skew 25d-6.4%-9.8%-1.8%-1.8%-6.2%
Skew 10d-10.6%-18.1%1.9%-2.6%-14.7%
Call IV 25d27.0%16.9%29.2%16.9%26.0%
Put IV 25d20.6%15.1%24.4%15.1%19.8%
Bid-Ask Spread %14.027.7019.167.7010.29
Gamma HHI0.340.320.360.340.32
Net GEX155.3K104.9K210.8K210.8K126.7K
Net DEX-1.6M-3.9M453.2K-3.9M24.6K
Net VEX-24.2K-26.7K-20.2K-25.9K-21.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.341.010.610.52
Total Volume895.1435931,340596888
Total OI10,510.819,48611,2369,48611,236

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$17.94$18.0019.5%5.6%12.6%39.1%18.9%-1.8%2.7%210.8K-3.9M-25.9K0.617.70N/AN/A3702266,6202,866
2018-06-04$17.57$17.0024.8%7.2%14.4%60.4%23.4%-9.7%-0.1%186.8K-3.1M-25.9K0.7014.17N/AN/A4262996,7922,978
2018-06-05$17.65$17.0021.4%7.0%14.1%46.8%23.5%-6.0%-0.5%194.2K-3.2M-25.9K0.6014.38N/AN/A3712226,8662,973
2018-06-06$17.54$17.0023.5%7.0%13.8%55.2%25.7%-8.5%0.0%189.5K-3.0M-25.7K0.6213.16N/AN/A3852406,8622,974
2018-06-07$17.48$17.0019.3%6.1%13.8%38.4%22.1%-8.5%0.5%182.0K-2.7M-25.6K0.5319.16N/AN/A5152736,9272,994
2018-06-08$17.47$17.0019.5%6.1%13.8%39.0%21.6%-8.5%1.3%194.1K-2.8M-26.7K0.5212.41N/AN/A5262717,0393,047
2018-06-11$17.09$17.0020.8%6.7%15.4%44.1%19.7%-9.0%-0.2%152.3K-2.0M-25.0K0.9014.90N/AN/A4413987,1083,120
2018-06-12$17.45$17.0018.5%6.6%17.5%35.0%22.1%-3.5%1.0%173.7K-2.6M-26.2K0.4714.15N/AN/A8123837,1383,347
2018-06-13$17.39$17.0022.7%6.5%17.0%51.9%21.5%-9.8%0.8%167.1K-2.5M-25.3K0.5318.26N/AN/A5592997,0513,323
2018-06-14$16.95$17.0024.6%7.1%18.9%59.6%23.7%-3.9%-1.4%141.8K-1.4M-24.2K0.4615.42N/AN/A9204207,0293,288
2018-06-15$16.87$17.0025.6%7.3%18.9%63.5%26.1%-3.4%0.4%156.5K-1.4M-25.3K0.7718.49N/AN/A5774437,4413,291
2018-06-18$16.64$17.0026.3%7.5%18.3%66.1%25.2%-5.9%-0.4%126.7K-687.0K-24.1K0.5419.07N/AN/A8094377,0663,273
2018-06-19$16.59$17.0027.7%7.9%18.1%71.8%27.6%-7.0%-1.9%127.7K-489.7K-23.8K0.7112.01N/AN/A7185117,3573,333
2018-06-20$16.64$17.0026.9%7.7%17.9%68.5%25.3%-5.8%0.2%138.9K-748.2K-24.3K0.6312.57N/AN/A7164537,6473,318
2018-06-21$16.71$17.0025.7%7.4%17.7%64.0%24.7%-4.0%-0.8%151.7K-855.6K-23.7K1.0115.76N/AN/A4314357,6943,298
2018-06-22$16.72$17.0026.2%7.5%17.8%65.9%24.8%-5.4%-0.4%154.5K-1.0M-24.2K0.8512.56N/AN/A5014287,7223,296
2018-06-25$16.43$17.0023.3%6.7%17.8%54.1%26.7%-8.0%-1.3%125.0K-228.8K-21.8K0.8213.06N/AN/A4964057,7233,304
2018-06-26$16.50$17.0024.5%7.0%17.8%59.1%26.0%-5.1%-3.2%126.1K-223.9K-21.5K0.3413.41N/AN/A5871987,7263,322
2018-06-27$16.51$17.0025.9%7.4%17.7%64.8%25.8%-7.2%-1.9%131.0K-409.1K-21.9K0.3713.68N/AN/A5261977,8223,324
2018-06-28$16.23$17.0022.8%6.5%18.0%52.5%25.8%-7.0%-0.1%104.9K453.2K-20.2K0.349.92N/AN/A5131737,8673,325
2018-06-29$16.40$17.0021.9%6.3%18.8%48.7%22.7%-6.2%-0.5%126.7K24.6K-21.0K0.5210.29N/AN/A5833057,9043,332