CORN Options History — July 2019

In July 2019, CORN traded between $15.88 and $17.24. ATM implied volatility averaged 30.6%, placing in the 71.9% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 9.0% (HV 20d: 21.6%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.52.

Notable Days

  • 2019-07-11: Highest Volume — 1,806 contracts
  • 2019-07-10: Largest IV drop — 10.8% change
  • 2019-07-09: Highest IV Rank — 90.1%
  • 2019-07-05: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.54$15.88$17.24$16.11$15.88
Max Pain$16.14$16.00$17.00$17.00$16.00
ATM IV30.6%26.8%36.1%30.5%29.8%
Expected Move8.7%7.7%9.5%8.8%8.6%
HV 20d21.6%19.4%22.6%21.3%20.2%
HV 60d21.1%19.8%22.0%19.8%22.0%
IV Rank71.9%59.7%90.1%71.8%69.5%
IV Percentile86.5%79.4%98.0%88.5%82.9%
Term Structure-1.3%-3.4%1.6%-0.4%-2.3%
VWIV31.7%27.2%34.0%34.0%31.4%
Skew 25d-7.2%-11.6%-3.3%-11.6%-6.4%
Skew 10d-13.2%-23.3%-0.8%-21.3%-0.8%
Call IV 25d34.3%32.5%37.5%33.8%34.5%
Put IV 25d27.1%22.1%31.0%22.3%28.1%
Bid-Ask Spread %12.497.8220.3610.9312.79
Gamma HHI0.330.270.420.270.38
Net GEX567.2K434.2K739.4K459.9K434.2K
Net DEX-10.2M-14.6M-6.6M-7.5M-6.6M
Net VEX-53.8K-56.0K-50.8K-50.8K-51.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.151.120.420.48
Total Volume1,152.9552211,8061,1581,598
Total OI30,798.18228,69133,04528,69132,411

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$16.11$17.0030.5%8.8%21.3%71.8%34.0%-11.6%-0.4%459.9K-7.5M-50.8K0.4210.93N/AN/A81734124,1014,590
2019-07-02$16.31$17.0028.2%8.1%21.7%64.2%31.7%-10.3%0.1%505.7K-8.5M-52.4K0.2713.00N/AN/A82122324,4394,696
2019-07-03$16.67$17.0031.1%8.9%21.7%73.8%27.2%-6.8%1.6%588.5K-10.9M-54.7K0.9617.73N/AN/A67464524,7034,732
2019-07-05$16.75$16.0032.3%9.5%21.3%77.5%33.5%-7.7%-2.9%583.3K-11.6M-55.7K0.4316.64N/AN/A61426324,9835,156
2019-07-08$16.74$16.0033.1%9.4%20.9%80.2%33.7%-6.7%-3.2%608.6K-11.6M-53.5K0.1515.47N/AN/A71611025,1625,174
2019-07-09$16.56$16.0036.1%9.2%21.3%90.1%32.6%-7.9%-1.9%550.0K-10.4M-53.2K0.3914.55N/AN/A83733025,2625,220
2019-07-10$16.65$16.0032.2%9.2%20.2%77.3%34.0%-6.1%-2.9%580.6K-10.8M-53.5K0.6017.97N/AN/A73644325,3715,374
2019-07-11$16.89$16.0032.3%9.3%20.9%77.6%31.9%-6.0%-2.0%653.3K-12.5M-55.1K0.5112.13N/AN/A1,19561125,4065,373
2019-07-12$17.24$16.0031.0%8.9%21.7%73.4%32.1%-3.9%0.2%739.4K-14.6M-55.0K0.4913.05N/AN/A1,17758225,1815,388
2019-07-15$16.90$16.0033.0%9.5%22.2%80.0%32.4%-4.9%-2.6%689.3K-12.3M-53.0K0.9612.88N/AN/A60457925,1035,311
2019-07-16$16.72$16.0031.4%9.0%22.2%74.7%31.7%-6.2%-0.5%671.9K-10.8M-53.2K0.3810.27N/AN/A61123025,4445,752
2019-07-17$16.71$16.0031.3%9.0%21.9%74.2%32.4%-4.9%0.0%697.8K-11.2M-54.0K0.419.92N/AN/A1,08044425,8255,811
2019-07-18$16.45$16.0028.9%8.3%22.0%66.4%30.5%-10.0%-0.4%508.6K-9.4M-52.7K1.1220.36N/AN/A66874526,3806,097
2019-07-19$16.65$16.0030.7%8.8%22.0%72.4%32.5%-4.0%-1.0%511.4K-10.5M-55.8K1.0312.88N/AN/A65567626,8316,214
2019-07-22$16.37$16.0029.8%8.5%22.5%69.3%32.3%-3.8%-1.2%486.1K-9.1M-52.3K0.1512.09N/AN/A1,15017224,4995,014
2019-07-23$16.48$16.0030.0%8.6%22.6%70.2%31.6%-3.3%-2.7%521.3K-9.9M-53.6K0.489.75N/AN/A66631924,8495,071
2019-07-24$16.45$16.0029.4%8.4%22.6%68.2%29.6%-8.7%-3.4%543.5K-9.7M-55.4K0.769.12N/AN/A59845425,2515,328
2019-07-25$16.39$16.0028.7%8.2%22.6%65.7%30.6%-10.0%-1.5%536.1K-9.8M-56.0K0.388.66N/AN/A47218025,5895,486
2019-07-26$16.30$16.0026.8%7.7%22.5%59.7%28.0%-10.1%1.5%527.8K-9.1M-54.5K0.298.78N/AN/A73321225,7145,518
2019-07-29$16.38$16.0028.3%8.1%20.7%64.4%31.9%-8.6%-1.7%562.0K-9.7M-54.7K0.607.82N/AN/A1388326,1865,681
2019-07-30$16.20$16.0027.1%7.8%19.4%60.6%32.6%-11.0%-0.4%519.7K-8.7M-53.1K0.267.86N/AN/A92423926,1835,701
2019-07-31$15.88$16.0029.8%8.6%20.2%69.5%31.4%-6.4%-2.3%434.2K-6.6M-51.4K0.4812.79N/AN/A1,08351526,5285,883