CORN Options History — May 2019

In May 2019, CORN traded between $14.64 and $17.02. ATM implied volatility averaged 27.6%, placing in the 79.3% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 10.7% (HV 20d: 16.9%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.43.

Notable Days

  • 2019-05-31: Highest Volume — 7,433 contracts
  • 2019-05-13: Largest IV spike — 47.8% change
  • 2019-05-09: Highest IV Rank — 100.0%
  • 2019-05-31: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.59$14.64$17.02$15.29$16.71
Max Pain$14.86$14.00$15.00$15.00$15.00
ATM IV27.6%17.0%39.0%17.0%39.0%
Expected Move7.7%4.9%11.2%4.9%11.2%
HV 20d16.9%10.9%24.3%11.1%24.3%
HV 60d15.3%13.3%18.5%13.3%18.5%
IV Rank79.3%42.3%100.0%42.3%100.0%
IV Percentile88.4%42.9%100.0%42.9%100.0%
Term Structure-0.3%-2.9%2.6%2.6%-2.4%
VWIV27.0%17.0%39.5%17.0%39.5%
Skew 25d-4.8%-11.2%10.8%-5.0%-8.4%
Skew 10d-6.4%-24.0%70.1%-5.2%-21.5%
Call IV 25d29.3%13.7%42.7%22.0%42.0%
Put IV 25d24.5%15.2%35.8%17.0%33.7%
Bid-Ask Spread %19.9711.6937.8424.4020.22
Gamma HHI0.250.200.310.290.22
Net GEX135.7K13.3K391.0K108.6K391.0K
Net DEX-3.3M-10.9M759.2K-1.4M-10.2M
Net VEX-28.0K-43.3K-22.0K-23.5K-43.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.011.870.600.06
Total Volume1,581.51617,4335997,433
Total OI13,879.86411,09820,92012,46420,920

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-05-01$15.29$15.0017.0%4.9%11.1%42.3%17.0%-5.0%2.6%108.6K-1.4M-23.5K0.6024.40N/AN/A3752247,9774,487
2019-05-02$15.34$15.0018.9%5.4%11.1%51.8%18.8%5.1%0.1%116.6K-1.6M-24.0K0.8125.57N/AN/A2772248,0914,688
2019-05-03$15.34$15.0018.5%5.3%10.9%49.8%18.3%10.8%1.5%119.1K-1.6M-23.7K0.7018.82N/AN/A3632548,1074,688
2019-05-06$15.11$15.0019.7%5.8%11.7%56.0%21.5%-7.0%1.4%90.2K-722.8K-22.9K0.3719.26N/AN/A179678,2044,688
2019-05-07$15.21$14.0018.8%6.1%12.0%51.5%21.8%-4.3%-0.1%108.9K-1.2M-23.1K0.2618.45N/AN/A259678,3184,691
2019-05-08$15.07$14.0023.4%6.1%12.3%74.7%18.6%-8.9%0.7%93.3K-779.9K-22.8K0.1818.83N/AN/A136258,3644,691
2019-05-09$14.70$14.0029.8%6.5%14.9%100.0%22.2%-1.5%-0.3%30.4K442.4K-22.0K1.8730.48N/AN/A5791,0838,3844,711
2019-05-10$14.64$15.0019.3%6.9%14.9%50.2%22.6%-4.1%0.1%13.3K759.2K-23.4K0.9937.84N/AN/A6956888,6965,113
2019-05-13$14.85$15.0028.5%7.1%16.0%93.9%21.4%-4.8%-0.2%51.4K64.9K-23.7K0.5519.66N/AN/A7794278,6965,113
2019-05-14$15.19$15.0033.1%6.8%18.1%100.0%23.9%-5.0%0.1%112.4K-1.7M-25.9K1.3820.02N/AN/A3775199,1445,338
2019-05-15$15.17$15.0025.7%7.4%17.9%69.8%27.2%-4.5%-1.2%109.8K-1.5M-26.5K0.2219.75N/AN/A8481909,1965,528
2019-05-16$15.43$15.0026.7%7.7%18.9%73.9%26.9%-3.1%-0.7%74.1K-2.6M-27.2K0.2615.21N/AN/A6091569,5465,616
2019-05-17$15.45$15.0026.6%7.6%18.9%73.6%25.5%-9.1%-2.9%68.2K-2.9M-27.1K0.3420.34N/AN/A4581559,6055,622
2019-05-20$15.62$15.0030.6%8.8%18.9%89.7%31.9%-6.9%-1.6%87.8K-3.1M-27.2K0.0116.17N/AN/A52536,8544,244
2019-05-21$15.84$15.0030.9%8.9%18.9%91.1%30.7%-4.8%-1.4%105.2K-3.9M-28.4K0.0815.14N/AN/A1,9361467,1414,247
2019-05-22$15.88$15.0032.1%9.2%17.9%96.1%31.5%-4.9%-1.7%156.7K-4.5M-30.8K0.2215.38N/AN/A393878,3464,187
2019-05-23$15.77$15.0030.3%8.7%18.3%88.8%30.0%-4.6%0.4%155.6K-4.4M-30.9K0.2018.81N/AN/A1,0712178,5054,218
2019-05-24$16.12$15.0030.8%8.8%19.3%90.7%33.3%-5.5%0.3%167.1K-5.4M-32.2K0.1411.69N/AN/A1,4772128,6724,366
2019-05-28$16.60$15.0035.2%10.1%21.3%100.0%35.6%-10.4%0.6%218.0K-7.2M-32.8K0.1214.53N/AN/A1,5321849,6104,447
2019-05-29$16.56$15.0036.5%10.5%21.5%100.0%35.8%-11.2%0.1%246.9K-7.7M-35.8K0.1123.53N/AN/A2,89532710,6214,545
2019-05-30$17.02$15.0036.7%10.5%22.8%100.0%39.1%-6.9%-1.9%361.4K-10.9M-37.9K0.0615.16N/AN/A5,97636612,4514,681
2019-05-31$16.71$15.0039.0%11.2%24.3%100.0%39.5%-8.4%-2.4%391.0K-10.2M-43.3K0.0620.22N/AN/A7,04139216,0804,840