CORN Options History — August 2018

In August 2018, CORN traded between $15.84 and $16.99. ATM implied volatility averaged 19.1%, placing in the 52.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.2% (HV 20d: 15.9%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.70.

Notable Days

  • 2018-08-17: Highest Volume — 1,496 contracts
  • 2018-08-10: Largest IV drop — 27.0% change
  • 2018-08-01: Highest IV Rank — 83.4%
  • 2018-08-01: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.49$15.84$16.99$16.73$16.20
Max Pain$17.00$17.00$17.00$17.00$17.00
ATM IV19.1%15.3%24.7%24.7%18.0%
Expected Move5.4%4.4%7.1%7.1%5.2%
HV 20d15.9%13.0%18.0%18.0%16.8%
HV 60d18.0%17.5%18.5%17.6%18.5%
IV Rank52.4%31.0%83.4%83.4%46.3%
IV Percentile66.5%33.3%96.0%96.0%61.9%
Term Structure0.5%-2.6%1.9%-2.6%1.4%
VWIV18.7%13.3%21.4%21.0%17.8%
Skew 25d-3.7%-11.7%2.7%-11.7%2.7%
Skew 10d-7.0%-15.3%1.9%-13.9%0.6%
Call IV 25d20.3%13.3%27.6%27.6%13.3%
Put IV 25d16.6%13.0%21.4%15.9%16.0%
Bid-Ask Spread %15.348.7539.7718.279.62
Gamma HHI0.310.210.580.390.23
Net GEX75.3K1.3K193.7K172.4K18.0K
Net DEX296.9K-1.1M1.4M-717.6K840.9K
Net VEX-14.5K-16.8K-11.8K-16.8K-15.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.201.200.940.64
Total Volume1,057.0877341,496996756
Total OI9,655.9575,43513,14011,9796,571

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-08-01$16.73$17.0024.7%7.1%18.0%83.4%21.0%-11.7%-2.6%172.4K-717.6K-16.8K0.9418.27N/AN/A5144828,6193,360
2018-08-02$16.82$17.0023.3%6.7%18.0%75.4%20.4%-9.7%-1.2%182.6K-941.4K-16.5K0.9411.55N/AN/A4904618,6223,355
2018-08-03$16.95$17.0020.7%5.9%16.8%61.0%19.6%-9.4%0.7%193.7K-1.1M-16.0K1.1511.06N/AN/A4595288,6123,356
2018-08-06$16.99$17.0022.2%6.2%16.1%69.7%21.2%0.3%-0.6%189.8K-1.1M-15.7K1.2011.14N/AN/A4545478,6133,438
2018-08-07$16.97$17.0023.1%5.9%14.6%74.5%21.1%-0.9%0.3%177.5K-913.0K-15.0K1.0311.72N/AN/A4644768,6173,450
2018-08-08$16.95$17.0022.2%5.5%13.0%69.6%20.2%-2.0%0.9%176.7K-950.9K-14.7K0.9416.57N/AN/A4904618,6123,456
2018-08-09$16.87$17.0023.2%5.8%13.1%74.9%21.4%-1.3%-0.3%142.7K-570.3K-14.2K0.8923.12N/AN/A5004448,6163,436
2018-08-10$16.43$17.0016.9%5.0%16.0%40.1%20.9%-6.0%1.6%53.7K803.9K-12.7K0.5339.77N/AN/A7784108,6313,428
2018-08-13$16.41$17.0015.9%4.8%16.0%34.3%19.4%-5.1%1.9%26.1K1.2M-11.8K0.5817.15N/AN/A7184158,9323,458
2018-08-14$16.61$17.0015.6%5.4%16.1%32.9%18.7%-1.9%1.3%76.4K659.0K-12.6K0.6014.55N/AN/A8675218,9773,458
2018-08-15$16.61$17.0019.8%5.7%16.1%56.0%19.7%-4.4%-0.1%77.4K721.7K-13.7K0.5621.77N/AN/A7584279,1573,638
2018-08-16$16.78$17.0017.8%5.1%16.0%45.3%13.3%-2.5%1.6%146.8K457.9K-14.7K0.5124.30N/AN/A8024079,2783,741
2018-08-17$16.69$17.0017.1%4.9%16.1%40.9%17.3%-2.2%1.6%14.7K731.0K-14.4K0.3313.12N/AN/A1,1263709,3893,751
2018-08-20$16.65$17.0018.9%5.4%16.0%50.9%19.7%-3.5%-0.4%11.9K-3.3K-15.4K0.3812.87N/AN/A5872242,9432,492
2018-08-21$16.54$17.0018.1%5.2%15.9%47.0%16.6%0.1%0.1%12.4K308.1K-15.1K0.2013.90N/AN/A1,1272243,0862,502
2018-08-22$16.26$17.0015.3%4.4%16.3%31.0%17.1%-5.0%1.1%21.6K548.7K-14.9K0.2211.99N/AN/A1,0202253,6042,502
2018-08-23$16.04$17.0016.4%4.7%16.9%37.4%17.3%-5.5%1.7%12.6K900.8K-14.4K0.7210.61N/AN/A6634803,6072,502
2018-08-24$16.12$17.0017.3%5.0%17.0%42.3%18.1%-5.8%1.1%9.9K941.8K-15.2K0.7413.38N/AN/A6574853,6672,682
2018-08-27$16.02$17.0017.0%4.9%16.2%40.5%18.1%-4.2%1.0%6.9K1.0M-14.7K0.4510.15N/AN/A7803503,6932,687
2018-08-28$15.85$17.0018.9%5.4%15.4%50.9%17.2%-6.1%-0.2%2.7K1.3M-14.1K0.9615.41N/AN/A4194033,8032,713
2018-08-29$15.88$17.0018.6%5.3%14.9%49.3%16.4%-1.3%0.3%1.3K1.4M-13.5K0.868.75N/AN/A4363743,7922,706
2018-08-30$15.84$17.0018.9%5.4%14.6%51.0%17.6%0.7%0.3%4.4K1.4M-13.7K0.6712.01N/AN/A4402943,8272,708
2018-08-31$16.20$17.0018.0%5.2%16.8%46.3%17.8%2.7%1.4%18.0K840.9K-15.0K0.649.62N/AN/A4622943,8272,744