CORN Options History — June 2019

In June 2019, CORN traded between $16.36 and $17.40. ATM implied volatility averaged 33.8%, placing in the 82.7% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 11.1% (HV 20d: 22.8%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.22.

Notable Days

  • 2019-06-04: Highest Volume — 4,478 contracts
  • 2019-06-05: Largest IV drop — 11.2% change
  • 2019-06-03: Highest IV Rank — 100.0%
  • 2019-06-03: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.87$16.36$17.40$16.62$16.47
Max Pain$16.15$15.00$17.00$15.00$17.00
ATM IV33.8%31.1%39.1%39.1%31.1%
Expected Move9.6%8.9%11.2%11.2%8.9%
HV 20d22.8%18.7%25.3%24.5%19.9%
HV 60d19.1%18.1%20.1%18.1%19.3%
IV Rank82.7%73.6%100.0%100.0%73.6%
IV Percentile96.0%90.1%100.0%100.0%90.1%
Term Structure-1.2%-3.6%1.1%-2.4%-2.5%
VWIV33.8%31.9%35.9%34.8%33.6%
Skew 25d-6.8%-11.5%-3.2%-9.4%-9.8%
Skew 10d-14.2%-21.5%-5.4%-5.7%-11.6%
Call IV 25d37.4%35.1%40.3%40.3%35.1%
Put IV 25d30.6%25.3%33.2%30.9%25.3%
Bid-Ask Spread %17.2512.3822.6412.6021.20
Gamma HHI0.330.220.820.240.25
Net GEX838.4K508.8K3.3M524.7K508.8K
Net DEX-13.6M-19.5M-9.6M-10.9M-9.8M
Net VEX-54.4K-61.3K-47.7K-49.0K-55.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.050.870.110.26
Total Volume2,037.78404,4782,0623,371
Total OI28,929.924,52632,80324,52627,857

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-06-03$16.62$15.0039.1%11.2%24.5%100.0%34.8%-9.4%-2.4%524.7K-10.9M-49.0K0.1112.60N/AN/A1,86319919,4835,043
2019-06-04$16.73$15.0036.4%10.4%23.4%90.9%34.1%-3.2%-1.8%621.8K-12.0M-49.3K0.0516.81N/AN/A4,24823020,8015,106
2019-06-05$16.36$15.0032.3%9.3%25.3%77.5%34.3%-11.5%-1.2%570.7K-9.6M-47.7K0.0522.64N/AN/A2,76113721,0435,129
2019-06-06$16.56$16.0035.5%9.9%25.0%88.1%33.9%-7.2%-2.1%611.7K-11.2M-50.3K0.0620.85N/AN/A1,95411222,1575,195
2019-06-07$16.39$16.0031.8%9.0%23.2%76.1%32.0%-6.0%-3.6%607.2K-10.4M-49.1K0.3618.77N/AN/A1,52055122,5575,226
2019-06-10$16.45$16.0033.2%9.0%23.0%80.5%32.7%-7.1%-2.8%596.8K-10.4M-50.0K0.0521.22N/AN/A8223922,8535,628
2019-06-11$16.77$16.0035.0%9.7%23.3%86.5%31.9%-7.7%-1.3%705.1K-12.9M-50.5K0.1420.19N/AN/A1,75624923,1505,666
2019-06-12$16.82$16.0033.6%9.6%22.5%82.0%34.0%-7.5%-1.8%717.8K-13.1M-49.1K0.1317.75N/AN/A2,83735823,2385,871
2019-06-13$17.03$16.0032.2%9.2%22.5%77.2%32.0%-5.9%-0.7%821.4K-15.6M-55.9K0.8716.42N/AN/A1,3761,19424,8165,978
2019-06-14$17.27$16.0032.6%9.3%22.3%78.4%33.5%-6.5%0.4%910.9K-17.8M-57.4K0.4716.95N/AN/A1,69679125,5275,520
2019-06-17$17.40$16.0035.2%10.1%22.2%87.2%35.9%-6.1%-3.2%943.7K-19.5M-59.5K0.1117.11N/AN/A1,63217226,3865,543
2019-06-18$17.20$16.0033.5%9.6%23.0%81.6%33.6%-4.9%-0.2%985.4K-17.8M-61.3K0.1613.35N/AN/A1,47223526,8675,638
2019-06-19$16.94$16.0034.8%10.0%23.8%85.7%32.9%-7.0%-0.1%968.7K-15.5M-59.2K0.2918.96N/AN/A1,51243326,8625,715
2019-06-20$17.15$16.0033.6%9.6%24.0%81.9%34.1%-7.1%-1.4%1.1M-17.0M-57.4K0.3317.14N/AN/A87529326,5925,914
2019-06-21$17.01$17.0033.3%9.5%24.1%80.7%34.9%-6.7%1.1%3.3M-15.8M-56.0K0.2216.32N/AN/A1,18526626,9005,903
2019-06-24$17.11$17.0033.5%9.6%23.1%81.5%35.5%-5.9%-0.2%551.0K-13.2M-57.7K0.1412.38N/AN/A73810222,3764,087
2019-06-25$17.10$17.0033.5%9.6%20.9%81.6%34.1%-5.9%-0.4%574.3K-13.5M-59.0K0.2213.68N/AN/A1,02622423,0044,166
2019-06-26$17.03$17.0032.2%9.2%21.0%77.4%33.2%-4.1%0.7%570.6K-12.8M-57.7K0.2515.83N/AN/A1,01725023,0524,276
2019-06-27$16.91$17.0034.5%9.9%18.7%84.8%34.2%-6.3%-1.4%564.0K-12.2M-56.4K0.2414.77N/AN/A1,01224623,1554,318
2019-06-28$16.47$17.0031.1%8.9%19.9%73.6%33.6%-9.8%-2.5%508.8K-9.8M-55.0K0.2621.20N/AN/A2,67869323,5264,331