CORN Options History — March 2019

In March 2019, CORN traded between $15.26 and $16.03. ATM implied volatility averaged 16.4%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 4.3% (HV 20d: 12.1%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2019-03-29: Highest Volume — 1,395 contracts
  • 2019-03-11: Largest IV spike — 28.3% change
  • 2019-03-28: Highest IV Rank — 50.0%
  • 2019-03-25: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.72$15.26$16.03$15.74$15.26
Max Pain$15.71$15.00$16.00$15.00$16.00
ATM IV16.4%13.5%18.5%16.0%14.5%
Expected Move4.7%3.9%5.1%4.6%4.4%
HV 20d12.1%10.7%17.4%10.7%17.4%
HV 60d11.0%10.3%13.4%10.3%13.4%
IV Rank39.0%24.4%50.0%37.0%29.5%
IV Percentile32.4%4.4%57.1%27.8%10.7%
Term Structure0.0%-1.6%1.6%-0.4%1.2%
VWIV16.4%13.3%24.8%15.8%15.7%
Skew 25d-2.2%-5.7%2.1%-3.0%2.1%
Skew 10d-1.4%-6.3%2.8%-3.9%2.8%
Call IV 25d14.9%12.5%16.8%15.9%12.5%
Put IV 25d12.7%10.1%15.7%12.9%14.7%
Bid-Ask Spread %24.4110.23109.9925.8325.53
Gamma HHI0.380.300.500.340.32
Net GEX48.8K-4.0K113.4K19.1K68.2K
Net DEX-288.2K-1.5M661.2K152.8K-104.2K
Net VEX-14.7K-18.9K-11.9K-12.8K-17.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.061.580.510.44
Total Volume379.048511,3954151,395
Total OI6,751.5715,8518,2495,8518,249

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$15.74$15.0016.0%4.6%10.7%37.0%15.8%-3.0%-0.4%19.1K152.8K-12.8K0.5125.83N/AN/A2741413,4202,431
2019-03-04$15.86$15.0016.3%4.7%11.0%38.5%16.3%-5.7%-0.2%31.7K-152.3K-12.8K1.5818.39N/AN/A57903,4392,436
2019-03-05$15.89$15.0014.9%4.3%10.9%31.8%14.9%-5.4%-0.3%26.7K-30.7K-12.8K0.9611.33N/AN/A1041003,4422,526
2019-03-06$15.75$15.0015.5%4.4%11.2%34.7%15.8%-3.3%-0.5%20.1K202.0K-12.6K0.8218.77N/AN/A1231013,4692,526
2019-03-07$15.48$15.0015.6%4.5%12.5%35.4%15.7%-2.8%1.6%-3.7K655.3K-11.9K0.6637.82N/AN/A1521013,5082,526
2019-03-08$15.46$15.0013.5%3.9%12.2%24.4%24.8%-1.0%1.0%-4.0K661.2K-12.1K0.24109.99N/AN/A5641343,5692,525
2019-03-11$15.39$16.0017.3%4.2%12.2%43.9%18.5%-1.5%-1.6%2.8K501.6K-12.2K0.3424.68N/AN/A38133,9922,437
2019-03-12$15.56$16.0017.3%4.8%13.1%43.9%16.9%-0.2%-0.6%22.9K249.0K-12.8K0.1519.02N/AN/A234344,0232,426
2019-03-13$15.59$16.0017.1%4.7%12.3%42.7%16.8%-1.0%-0.5%34.4K79.5K-13.6K0.8122.73N/AN/A73594,1932,425
2019-03-14$15.68$16.0016.7%4.9%12.5%40.9%17.2%-4.8%0.1%45.8K-72.0K-13.9K0.2420.82N/AN/A181434,2202,425
2019-03-15$15.74$16.0016.0%4.7%12.3%37.1%16.0%-3.6%0.3%39.6K-150.9K-13.9K0.3624.97N/AN/A121434,3002,422
2019-03-18$15.73$16.0016.0%4.6%12.3%37.4%15.7%-1.9%0.1%39.6K-135.6K-13.5K1.4524.43N/AN/A49714,0372,323
2019-03-19$15.72$16.0016.9%4.6%11.8%42.0%16.2%-3.7%-0.9%41.4K-240.9K-13.8K1.3820.89N/AN/A741024,0842,266
2019-03-20$15.72$16.0017.2%5.0%11.7%43.1%14.2%-2.7%0.3%43.0K-295.9K-13.7K0.4815.85N/AN/A6022924,0852,267
2019-03-21$15.89$16.0016.9%5.1%11.9%41.6%18.2%-2.8%0.6%74.8K-935.3K-16.8K1.0323.45N/AN/A3093174,6182,462
2019-03-22$15.97$16.0017.2%5.0%12.0%43.5%17.3%-0.9%0.3%91.1K-1.2M-17.2K0.3912.63N/AN/A6922674,7482,464
2019-03-25$16.03$16.0016.7%5.1%11.7%40.8%14.6%-0.0%1.1%113.4K-1.5M-18.8K0.1514.72N/AN/A117175,2372,514
2019-03-26$15.94$16.0016.3%4.7%11.3%38.8%13.3%0.1%0.2%109.3K-1.3M-18.5K0.0911.05N/AN/A209195,2962,508
2019-03-27$15.82$16.0017.1%5.1%11.3%42.8%16.3%-2.2%0.6%100.2K-1.1M-18.4K0.0819.53N/AN/A242195,4102,508
2019-03-28$15.85$16.0018.5%4.8%11.0%50.0%13.3%-1.9%-1.6%109.5K-1.3M-18.9K0.0610.23N/AN/A364235,5092,518
2019-03-29$15.26$16.0014.5%4.4%17.4%29.5%15.7%2.1%1.2%68.2K-104.2K-17.0K0.4425.53N/AN/A9684275,7272,522