CORN Options History — February 2019

In February 2019, CORN traded between $15.65 and $16.32. ATM implied volatility averaged 15.0%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.5% (HV 20d: 10.5%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.79.

Notable Days

  • 2019-02-22: Highest Volume — 539 contracts
  • 2019-02-05: Largest IV spike — 40.4% change
  • 2019-02-19: Highest IV Rank — 41.2%
  • 2019-02-19: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.10$15.65$16.32$16.26$15.65
Max Pain$15.84$15.00$16.00$15.00$15.00
ATM IV15.0%10.9%16.8%13.3%16.0%
Expected Move4.4%4.1%4.8%4.1%4.6%
HV 20d10.5%8.8%11.3%11.3%10.8%
HV 60d10.1%9.7%10.5%9.8%10.4%
IV Rank32.1%11.2%41.2%23.5%37.0%
IV Percentile20.3%2.4%36.5%6.0%28.2%
Term Structure0.3%-1.2%1.5%1.5%-1.2%
VWIV15.7%13.4%19.4%15.5%16.2%
Skew 25d-1.3%-5.5%3.1%-3.5%-4.3%
Skew 10d-1.5%-7.4%2.4%-3.4%-4.8%
Call IV 25d14.6%10.0%18.0%17.0%16.3%
Put IV 25d13.3%12.0%14.5%13.5%12.0%
Bid-Ask Spread %21.3411.5339.7231.4321.82
Gamma HHI0.400.290.580.470.32
Net GEX-28.0K-132.7K33.7K-48.3K11.6K
Net DEX197.1K-493.1K764.5K608.5K244.2K
Net VEX-10.7K-13.2K-8.5K-8.8K-12.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.022.391.090.52
Total Volume271.42145539316248
Total OI6,070.2634,7747,3536,0335,829

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-02-01$16.26$15.0013.3%4.1%11.3%23.5%15.5%-3.5%1.5%-48.3K608.5K-8.8K1.0931.43N/AN/A1511653,1742,859
2019-02-04$16.30$16.0010.9%4.2%11.0%11.2%15.0%-4.0%1.1%-54.4K545.6K-8.5K0.8027.76N/AN/A55443,2782,948
2019-02-05$16.32$16.0015.3%4.3%11.0%33.6%16.0%-2.6%0.3%-40.1K416.3K-9.3K0.3418.24N/AN/A149513,2972,939
2019-02-06$16.31$16.0015.6%4.5%10.9%35.2%16.8%-3.1%-0.3%-43.5K406.1K-8.6K0.7737.29N/AN/A2612003,3842,884
2019-02-07$16.16$16.0014.5%4.2%11.2%29.8%14.5%-4.6%1.3%-53.2K651.1K-9.6K0.9239.72N/AN/A2212043,5953,084
2019-02-08$16.08$16.0014.9%4.3%10.6%31.8%17.0%-5.5%0.8%-84.3K705.7K-9.3K1.0328.47N/AN/A2092163,6793,020
2019-02-11$16.05$16.0015.1%4.3%10.4%32.5%15.1%1.9%0.6%-115.4K764.5K-9.2K0.3216.57N/AN/A34113,7203,018
2019-02-12$16.23$16.0015.0%4.3%11.2%32.0%15.4%-2.5%0.3%-54.4K241.3K-9.0K0.9219.92N/AN/A1481363,7333,022
2019-02-13$16.27$16.0014.4%4.1%9.5%29.0%14.6%-2.9%0.6%-40.9K190.8K-9.7K1.0111.53N/AN/A1911923,8233,121
2019-02-14$16.12$16.0014.8%4.2%10.1%31.1%15.2%3.1%0.4%-132.7K445.0K-11.1K1.0913.30N/AN/A1071173,9763,294
2019-02-15$16.11$16.0015.0%4.3%8.8%32.4%13.4%1.5%0.2%14.2K302.0K-11.5K0.5712.73N/AN/A1811044,0023,351
2019-02-19$15.94$16.0016.8%4.8%9.5%41.2%16.7%-0.4%-1.0%7.1K-175.7K-11.6K2.3915.40N/AN/A821962,6582,116
2019-02-20$16.01$16.0016.3%4.7%9.7%39.0%16.1%1.0%-0.7%8.3K-201.8K-12.2K1.8828.06N/AN/A671262,7322,224
2019-02-21$16.15$16.0014.3%4.1%10.3%28.8%15.0%1.2%1.3%17.2K-474.6K-12.2K0.2613.75N/AN/A89232,7572,224
2019-02-22$16.19$16.0015.3%4.4%10.3%33.7%15.3%1.8%0.5%19.0K-493.1K-12.3K0.1815.26N/AN/A458812,7882,230
2019-02-25$16.04$16.0015.8%4.5%10.5%36.0%19.4%1.3%0.1%33.7K-364.8K-13.2K0.0215.91N/AN/A4713,1882,303
2019-02-26$15.88$16.0016.0%4.6%11.0%37.5%15.1%-1.1%-0.6%20.0K-143.0K-12.7K0.5715.41N/AN/A129743,2012,302
2019-02-27$15.77$15.0015.5%4.4%11.1%34.7%15.7%-2.5%-0.1%4.7K76.7K-12.5K0.2522.94N/AN/A312773,2122,370
2019-02-28$15.65$15.0016.0%4.6%10.8%37.0%16.2%-4.3%-1.2%11.6K244.2K-12.7K0.5221.82N/AN/A163853,3912,438