CORN Options History — October 2018

In October 2018, CORN traded between $16.06 and $16.62. ATM implied volatility averaged 18.9%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.0% (HV 20d: 15.9%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.95.

Notable Days

  • 2018-10-12: Highest Volume — 2,352 contracts
  • 2018-10-10: Largest IV drop — 12.7% change
  • 2018-10-08: Highest IV Rank — 71.8%
  • 2018-10-01: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.29$16.06$16.62$16.21$16.14
Max Pain$16.87$16.00$17.00$16.00$17.00
ATM IV18.9%16.7%22.6%20.2%16.7%
Expected Move5.3%4.8%5.8%5.8%4.8%
HV 20d15.9%13.1%18.4%18.1%13.1%
HV 60d16.2%15.7%17.1%17.1%16.0%
IV Rank51.4%39.2%71.8%58.2%39.2%
IV Percentile65.8%40.9%91.3%81.0%40.9%
Term Structure-1.8%-4.5%0.5%0.1%-1.1%
VWIV17.7%13.2%20.9%20.2%16.6%
Skew 25d-2.8%-6.5%7.1%-3.9%3.5%
Skew 10d-3.0%-9.0%4.3%-5.0%4.3%
Call IV 25d19.3%11.2%22.8%21.9%12.5%
Put IV 25d16.6%13.7%18.5%18.0%16.0%
Bid-Ask Spread %25.4812.7476.6615.5976.66
Gamma HHI0.400.240.640.270.54
Net GEX-44.6K-162.6K36.5K36.1K-99.6K
Net DEX815.0K17.6K1.7M361.8K1.3M
Net VEX-13.5K-15.3K-11.8K-13.8K-11.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.204.850.310.20
Total Volume1,141.2615022,3521,183747
Total OI8,072.1747,3849,3487,5627,700

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-10-01$16.21$16.0020.2%5.8%18.1%58.2%20.2%-3.9%0.1%36.1K361.8K-13.8K0.3115.59N/AN/A9052784,6802,882
2018-10-02$16.29$16.0019.8%5.7%18.0%56.0%20.1%-2.9%-0.6%36.5K256.7K-13.9K0.5014.40N/AN/A8554264,7532,976
2018-10-03$16.16$16.0020.1%5.8%18.2%58.1%20.9%-4.5%-2.0%29.3K414.7K-14.5K0.4612.74N/AN/A8293824,7833,126
2018-10-04$16.26$17.0020.1%5.2%18.3%58.1%16.9%-4.9%-1.7%29.9K402.1K-14.1K0.4413.57N/AN/A8673824,7813,126
2018-10-05$16.28$17.0020.1%5.8%18.3%57.8%16.4%-3.2%-2.5%30.2K410.8K-14.2K0.3717.18N/AN/A8703224,7963,126
2018-10-08$16.23$17.0022.6%5.3%18.3%71.8%15.1%-5.9%-1.7%26.2K514.5K-13.3K0.4124.72N/AN/A9413874,8043,138
2018-10-09$16.13$17.0020.3%5.5%18.4%59.1%17.9%-5.9%-2.9%4.9K776.6K-13.2K0.3921.84N/AN/A8213234,7983,208
2018-10-10$16.07$17.0017.8%5.1%15.3%44.8%15.9%-6.5%-1.3%-3.5K1.0M-12.4K0.3855.89N/AN/A8423234,8003,209
2018-10-11$16.32$17.0018.1%5.2%16.0%46.6%17.4%-4.6%-1.2%17.6K418.2K-13.4K0.3846.42N/AN/A9393564,8443,209
2018-10-12$16.46$17.0019.7%5.6%16.1%55.5%19.3%0.5%-4.5%8.2K17.6K-12.6K3.1620.65N/AN/A5651,7874,7363,203
2018-10-15$16.62$17.0018.5%5.3%15.9%48.9%17.7%-3.8%-1.7%-57.9K196.7K-14.8K0.6820.70N/AN/A5753904,7524,333
2018-10-16$16.55$17.0018.9%5.4%15.1%51.4%16.9%-2.7%-2.8%-68.8K456.7K-14.9K0.7724.24N/AN/A4903764,7174,318
2018-10-17$16.50$17.0017.9%5.1%15.2%45.7%18.6%1.2%0.1%-83.0K653.0K-14.8K1.8524.35N/AN/A4658594,6994,317
2018-10-18$16.38$17.0017.7%5.1%14.9%44.3%20.7%-3.3%-2.4%-156.7K1.3M-15.3K0.4922.45N/AN/A4412164,6544,694
2018-10-19$16.23$17.0018.7%5.4%14.9%50.0%16.5%-2.8%-3.9%-160.7K1.6M-14.6K0.5023.27N/AN/A4992514,6644,674
2018-10-22$16.35$17.0017.9%5.1%14.9%45.9%18.6%-3.2%-1.6%-162.6K1.5M-14.1K4.8518.93N/AN/A3501,6973,7774,303
2018-10-23$16.37$17.0017.4%5.0%14.8%42.9%16.8%-3.5%-3.0%-67.0K922.9K-12.9K4.2922.39N/AN/A3971,7023,7933,591
2018-10-24$16.30$17.0017.7%5.1%14.8%44.3%13.2%-1.3%-0.8%-78.3K1.2M-12.7K0.4620.84N/AN/A3451573,8633,596
2018-10-25$16.06$17.0019.8%5.7%15.7%56.1%15.5%-4.4%-3.2%-89.4K1.7M-12.0K0.3519.23N/AN/A5601953,8533,544
2018-10-26$16.33$17.0019.9%5.7%15.2%56.8%19.1%7.1%-2.4%-55.9K980.5K-12.8K0.2416.79N/AN/A5161264,0623,513
2018-10-29$16.27$17.0018.1%5.2%13.4%46.8%19.4%-4.1%0.5%-74.3K1.1M-12.2K0.2134.56N/AN/A5881264,0723,513
2018-10-30$16.19$17.0017.5%5.0%13.3%43.4%16.8%-4.4%-0.1%-86.2K1.2M-11.9K0.2218.73N/AN/A6391424,1673,513
2018-10-31$16.14$17.0016.7%4.8%13.1%39.2%16.6%3.5%-1.1%-99.6K1.3M-11.8K0.2076.66N/AN/A6201274,2203,480