CORN Options History — July 2018

In July 2018, CORN traded between $15.77 and $16.99. ATM implied volatility averaged 21.7%, placing in the 61.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.8% (HV 20d: 19.9%). 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 3 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2018-07-31: Highest Volume — 1,298 contracts
  • 2018-07-26: Largest IV spike — 13.6% change
  • 2018-07-26: Highest IV Rank — 74.9%
  • 2018-07-02: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.24$15.77$16.99$16.00$16.99
Max Pain$17.00$17.00$17.00$17.00$17.00
ATM IV21.7%19.4%24.4%23.8%22.1%
Expected Move6.2%5.6%6.8%6.8%6.3%
HV 20d19.9%17.2%21.9%19.3%17.2%
HV 60d16.7%15.4%17.5%15.4%17.5%
IV Rank61.0%46.6%74.9%56.1%68.9%
IV Percentile83.1%74.6%90.9%87.3%87.3%
Term Structure-0.6%-1.8%2.3%-1.4%-0.2%
VWIV21.1%18.0%24.3%23.6%21.4%
Skew 25d-4.6%-10.2%0.2%-9.8%-0.4%
Skew 10d-5.2%-20.0%20.2%-10.6%1.6%
Call IV 25d24.0%20.0%27.1%27.1%24.9%
Put IV 25d19.5%15.2%24.4%17.3%24.4%
Bid-Ask Spread %13.919.5822.7912.4320.62
Gamma HHI0.310.230.400.290.40
Net GEX115.1K60.7K225.6K67.7K225.6K
Net DEX476.2K-1.5M1.7M1.2M-1.5M
Net VEX-16.7K-20.2K-14.2K-17.8K-16.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.321.030.500.57
Total Volume956.817191,2987741,298
Total OI11,970.47611,43212,48911,43211,950

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$16.00$17.0023.8%6.8%19.3%56.1%23.6%-9.8%-1.4%67.7K1.2M-17.8K0.5012.43N/AN/A5162588,0033,429
2018-07-03$16.19$17.0021.9%6.3%19.9%48.5%22.7%-6.2%0.9%97.9K711.1K-18.9K0.4914.92N/AN/A5042498,1153,439
2018-07-05$16.17$17.0021.4%6.3%19.9%46.6%22.8%-10.2%-1.3%99.1K599.3K-19.1K0.6111.83N/AN/A4552778,1123,441
2018-07-06$16.50$17.0022.8%6.1%21.7%58.5%24.3%-6.4%-0.4%140.0K-185.9K-20.2K0.4317.83N/AN/A6722878,1383,435
2018-07-09$16.31$17.0024.4%6.2%21.9%65.3%24.1%-3.4%-0.2%129.2K428.3K-19.4K0.489.58N/AN/A5742748,4103,409
2018-07-10$16.04$17.0021.1%6.1%21.4%50.9%21.5%-3.9%-1.0%83.7K1.1M-17.0K0.6022.79N/AN/A5323218,5103,403
2018-07-11$15.79$17.0022.6%6.5%19.8%57.3%22.8%-3.1%-1.8%66.3K1.5M-15.6K0.8213.58N/AN/A4343568,6763,374
2018-07-12$15.95$17.0021.8%6.3%20.5%67.0%21.6%-2.6%-1.2%91.5K1.2M-16.0K1.0317.21N/AN/A4154298,7613,339
2018-07-13$15.77$17.0022.5%6.5%19.1%70.9%21.2%-1.7%-1.1%60.7K1.7M-14.6K0.8412.65N/AN/A3913288,7403,363
2018-07-16$15.85$17.0021.7%6.2%19.4%66.5%20.9%0.2%-0.5%65.9K1.6M-14.2K0.8415.50N/AN/A4033408,7783,334
2018-07-17$16.02$17.0020.1%5.8%19.5%57.4%18.8%-9.1%2.3%102.1K1.1M-15.6K0.3211.18N/AN/A8982888,8223,352
2018-07-18$16.01$17.0020.4%5.8%19.5%59.1%18.2%-7.5%0.4%112.7K1.0M-15.4K0.359.59N/AN/A8572979,1133,345
2018-07-19$16.19$17.0021.0%6.0%20.0%62.7%18.5%-6.0%-0.1%127.1K608.6K-16.2K0.3411.13N/AN/A9013059,1463,342
2018-07-20$16.31$17.0020.9%6.0%20.2%61.9%18.0%-4.8%-0.7%119.7K129.7K-16.9K0.4116.53N/AN/A7833189,1383,351
2018-07-23$16.40$17.0020.4%5.9%20.3%59.7%20.1%-2.3%-0.5%124.9K-21.5K-16.7K0.3913.35N/AN/A8363268,5363,197
2018-07-24$16.26$17.0019.4%5.6%19.6%53.9%19.4%-7.7%-0.6%95.6K503.2K-15.3K0.4810.48N/AN/A7833738,6383,231
2018-07-25$16.49$17.0020.4%5.8%20.2%59.4%19.9%-1.2%-0.3%132.8K-146.1K-16.7K0.5610.26N/AN/A5683188,7323,278
2018-07-26$16.51$17.0023.2%6.6%20.2%74.9%21.7%-6.4%-1.5%143.9K-324.7K-16.4K0.6512.47N/AN/A6033938,7103,281
2018-07-27$16.56$17.0021.5%6.2%19.2%65.5%20.5%-0.5%-1.4%143.2K-249.2K-15.9K0.4617.27N/AN/A7323348,7213,276
2018-07-30$16.78$17.0022.4%6.4%19.4%70.9%20.7%-3.2%-1.6%187.6K-970.3K-16.6K0.6310.96N/AN/A5333348,7333,279
2018-07-31$16.99$17.0022.1%6.3%17.2%68.9%21.4%-0.4%-0.2%225.6K-1.5M-16.7K0.5720.62N/AN/A8264728,6753,275