CORN Options History — April 2019

In April 2019, CORN traded between $14.78 and $15.55. ATM implied volatility averaged 14.9%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 0.9% (HV 20d: 15.8%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2019-04-02: Highest Volume — 1,240 contracts
  • 2019-04-04: Largest IV spike — 59.3% change
  • 2019-04-26: Highest IV Rank — 52.7%
  • 2019-04-26: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.25$14.78$15.55$15.42$15.09
Max Pain$15.57$15.00$16.00$16.00$15.00
ATM IV14.9%8.9%19.0%12.8%19.0%
Expected Move4.6%4.2%5.5%4.4%5.5%
HV 20d15.8%9.9%17.6%17.6%9.9%
HV 60d13.0%12.5%13.4%13.4%13.0%
IV Rank31.5%1.2%52.7%20.9%52.6%
IV Percentile25.4%0.4%65.5%2.4%65.1%
Term Structure2.6%-0.2%4.2%-0.2%0.5%
VWIV16.4%14.4%19.5%14.5%19.2%
Skew 25d-1.2%-5.5%2.9%0.8%2.9%
Skew 10d-0.8%-9.0%3.4%1.8%3.4%
Call IV 25d15.4%9.1%19.8%9.4%14.0%
Put IV 25d14.3%10.3%17.0%10.3%17.0%
Bid-Ask Spread %21.3713.8730.3314.0122.90
Gamma HHI0.250.200.320.310.27
Net GEX83.8K16.8K128.3K103.0K79.4K
Net DEX-725.0K-1.4M556.0K-721.3K-626.3K
Net VEX-21.7K-23.7K-19.6K-19.6K-23.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.044.250.290.15
Total Volume557.5711261,240869211
Total OI11,142.4299,37912,4589,37912,458

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-04-01$15.42$16.0012.8%4.4%17.6%20.9%14.5%0.8%-0.2%103.0K-721.3K-19.6K0.2914.01N/AN/A6761936,4872,892
2019-04-02$15.43$16.0010.5%4.2%17.6%9.4%15.0%1.9%3.5%114.5K-880.3K-20.5K0.1820.17N/AN/A1,0471936,8842,981
2019-04-03$15.47$16.008.9%4.4%17.4%1.2%15.7%1.1%3.6%100.6K-877.5K-20.0K0.3720.70N/AN/A4401616,7493,081
2019-04-04$15.55$16.0014.2%4.6%16.4%28.1%14.4%-0.5%4.2%123.4K-1.3M-21.0K0.3916.96N/AN/A5061986,8783,181
2019-04-05$15.41$16.0013.9%4.4%16.7%26.6%15.8%-1.9%3.8%110.6K-968.5K-21.0K0.4122.32N/AN/A5242136,8823,178
2019-04-08$15.36$16.0011.4%4.3%16.7%13.9%15.2%-2.8%3.9%100.3K-941.1K-20.9K4.2513.87N/AN/A241027,0893,166
2019-04-09$15.38$16.0010.0%4.6%16.2%6.5%16.2%-2.4%2.8%89.0K-862.5K-20.5K0.5930.33N/AN/A3071827,0963,266
2019-04-10$15.41$16.0015.4%4.4%16.2%34.5%16.2%-1.6%3.9%100.8K-1.2M-21.8K0.4027.77N/AN/A4731877,2643,398
2019-04-11$15.34$16.0014.7%4.2%16.0%30.5%16.2%-2.1%4.0%108.8K-938.3K-21.7K0.6223.15N/AN/A3552197,4923,403
2019-04-12$15.36$16.0014.9%4.3%16.0%31.6%15.1%-3.1%3.5%102.6K-988.0K-22.1K2.7622.48N/AN/A1915287,5543,594
2019-04-15$15.41$16.0015.5%4.4%16.0%34.5%15.8%-0.9%2.4%128.3K-1.4M-20.9K1.1718.75N/AN/A2482917,5833,495
2019-04-16$15.28$16.0015.5%4.4%16.3%34.6%16.5%-1.8%4.0%93.6K-1.1M-21.6K0.5228.03N/AN/A3691927,7973,739
2019-04-17$15.25$15.0015.4%4.4%16.2%34.1%17.4%-3.2%3.2%94.0K-1.0M-22.0K1.2423.89N/AN/A3203977,9523,828
2019-04-18$15.25$15.0015.5%4.4%15.6%34.7%15.8%-2.6%3.6%68.7K-830.4K-22.9K3.7518.17N/AN/A1084057,9574,233
2019-04-22$15.11$15.0015.7%4.5%15.6%35.5%14.5%-5.5%1.9%31.8K-128.6K-22.3K0.1017.70N/AN/A247257,2424,473
2019-04-23$14.98$15.0015.5%4.4%15.5%34.6%15.7%0.3%2.2%20.1K33.1K-21.9K0.0822.18N/AN/A513397,3834,490
2019-04-24$14.78$15.0017.5%5.0%15.9%45.0%17.9%-3.1%0.9%16.8K556.0K-21.8K0.1122.06N/AN/A417477,6064,493
2019-04-25$14.85$15.0018.4%5.3%16.1%49.2%19.5%-2.2%0.4%33.6K112.3K-22.4K0.1625.83N/AN/A431707,7164,413
2019-04-26$15.03$15.0019.0%5.5%16.9%52.7%18.9%2.1%0.8%69.1K-614.1K-23.7K0.3521.73N/AN/A2961057,8564,434
2019-04-29$15.05$15.0018.7%5.4%10.6%51.1%18.7%-0.1%0.8%71.6K-526.3K-23.3K0.0415.71N/AN/A249107,8464,482
2019-04-30$15.09$15.0019.0%5.5%9.9%52.6%19.2%2.9%0.5%79.4K-626.3K-23.2K0.1522.90N/AN/A183287,9764,482