CORN Options History — September 2018

In September 2018, CORN traded between $15.40 and $16.29. ATM implied volatility averaged 19.2%, placing in the 52.9% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.6% (HV 20d: 16.6%). Max pain ranged from $16.00 to $16.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.46.

Notable Days

  • 2018-09-14: Highest Volume — 1,546 contracts
  • 2018-09-07: Largest IV spike — 11.6% change
  • 2018-09-07: Highest IV Rank — 62.6%
  • 2018-09-20: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.95$15.40$16.29$16.29$15.87
Max Pain$16.00$16.00$16.00$16.00$16.00
ATM IV19.2%17.8%20.9%18.9%19.4%
Expected Move5.5%5.1%5.8%5.4%5.6%
HV 20d16.6%14.4%18.3%16.9%18.3%
HV 60d17.4%16.6%18.6%18.6%17.1%
IV Rank52.9%45.2%62.6%51.2%54.0%
IV Percentile74.2%58.7%83.7%73.4%77.0%
Term Structure-0.6%-2.4%0.7%-0.1%-0.1%
VWIV18.0%13.9%20.4%16.3%19.8%
Skew 25d-1.6%-8.3%5.4%4.6%-7.8%
Skew 10d-1.2%-12.1%20.7%1.8%-12.1%
Call IV 25d18.5%12.5%22.3%13.4%21.4%
Put IV 25d16.9%12.1%20.8%17.9%13.6%
Bid-Ask Spread %12.536.6018.5015.1115.05
Gamma HHI0.270.210.470.260.26
Net GEX24.4K-12.5K120.4K30.6K15.9K
Net DEX1.2M630.3K2.1M630.3K959.0K
Net VEX-13.0K-15.0K-11.0K-15.0K-13.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.340.740.700.43
Total Volume1,257.3168921,5468921,275
Total OI7,264.3686,6427,9586,6497,571

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$16.29$16.0018.9%5.4%16.9%51.2%16.3%4.6%-0.1%30.6K630.3K-15.0K0.7015.11N/AN/A5263663,8942,755
2018-09-05$16.20$16.0019.5%5.6%17.0%54.3%19.4%5.3%-1.0%24.3K779.2K-14.6K0.4218.27N/AN/A7523153,8772,765
2018-09-06$16.23$16.0018.8%5.4%17.0%50.5%13.9%-3.1%-1.3%35.6K728.0K-14.5K0.4211.29N/AN/A7553154,1802,755
2018-09-07$16.26$16.0020.9%5.4%17.1%62.6%14.1%-4.0%-2.4%38.5K643.3K-14.5K0.417.77N/AN/A7533084,1852,755
2018-09-10$16.26$16.0019.2%5.2%14.4%52.8%18.1%-2.7%-0.3%39.6K636.8K-14.3K0.399.90N/AN/A8043114,1962,761
2018-09-11$16.22$16.0018.6%5.7%14.4%49.4%14.3%-4.0%-2.2%37.4K711.1K-14.1K0.427.41N/AN/A7473124,2472,763
2018-09-12$15.77$16.0019.2%5.5%16.6%52.7%18.7%-8.3%-1.5%-5111.7M-12.2K0.4117.73N/AN/A7963264,2552,764
2018-09-13$15.70$16.0019.2%5.5%16.6%52.9%19.0%-1.9%-1.0%1.3K1.7M-11.7K0.4310.98N/AN/A9644124,3272,741
2018-09-14$15.71$16.0018.1%5.2%15.9%47.0%18.1%3.7%-0.3%11.5K1.7M-11.6K0.3418.50N/AN/A1,1503964,5192,795
2018-09-17$15.59$16.0018.8%5.4%16.0%50.5%19.6%-1.4%0.1%4.1K1.9M-11.1K0.3517.01N/AN/A1,1303974,7412,810
2018-09-18$15.40$16.0017.8%5.1%16.3%45.2%18.5%-2.3%-0.2%-12.5K2.1M-11.0K0.4413.54N/AN/A1,0754704,8482,928
2018-09-19$15.49$16.0018.6%5.3%16.6%49.3%18.4%0.1%-1.0%3.0K1.9M-11.0K0.5212.08N/AN/A9414894,9482,816
2018-09-20$15.73$16.0020.2%5.8%17.0%58.4%18.8%2.1%0.2%37.3K1.5M-12.1K0.499.05N/AN/A9824835,1052,853
2018-09-21$15.93$16.0019.7%5.6%17.1%55.6%16.4%5.4%-0.1%120.4K1.1M-12.7K0.417.36N/AN/A9413905,1292,803
2018-09-24$16.05$16.0019.4%5.6%17.3%53.8%19.5%-1.5%0.5%22.1K932.7K-12.7K0.7415.81N/AN/A7495554,3342,727
2018-09-25$16.14$16.0020.1%5.8%17.2%57.9%20.4%-4.4%-0.7%16.8K779.5K-13.5K0.5112.35N/AN/A7884054,3642,874
2018-09-26$16.08$16.0019.3%5.5%16.8%53.6%19.6%-5.9%0.7%14.7K896.4K-13.1K0.5512.24N/AN/A7464134,4022,907
2018-09-27$16.17$16.0019.3%5.5%16.9%53.5%19.7%-4.2%-0.7%23.7K698.3K-13.1K0.416.60N/AN/A9573954,4332,896
2018-09-28$15.87$16.0019.4%5.6%18.3%54.0%19.8%-7.8%-0.1%15.9K959.0K-13.5K0.4315.05N/AN/A8943814,6732,898