CORN Options History — August 2019

In August 2019, CORN traded between $14.66 and $16.15. ATM implied volatility averaged 27.3%, placing in the 61.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 3.9% (HV 20d: 23.4%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.34.

Notable Days

  • 2019-08-12: Highest Volume — 4,508 contracts
  • 2019-08-12: Largest IV drop — 15.3% change
  • 2019-08-08: Highest IV Rank — 81.8%
  • 2019-08-01: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.22$14.66$16.15$15.67$14.77
Max Pain$15.32$15.00$16.00$16.00$15.00
ATM IV27.3%22.5%33.6%31.6%22.8%
Expected Move7.6%6.5%9.1%9.1%6.5%
HV 20d23.4%17.3%25.9%18.6%24.3%
HV 60d22.7%21.1%24.3%22.1%21.6%
IV Rank61.2%45.5%81.8%75.4%46.4%
IV Percentile77.4%67.9%94.4%87.7%68.7%
Term Structure-0.6%-3.5%1.9%-3.5%-0.3%
VWIV27.1%21.8%32.5%31.6%29.5%
Skew 25d-5.4%-11.8%-1.7%-3.4%-10.6%
Skew 10d-6.9%-18.1%0.5%-7.2%-15.2%
Call IV 25d29.3%25.4%35.3%33.5%26.3%
Put IV 25d23.9%14.0%30.1%30.1%15.7%
Bid-Ask Spread %17.759.2232.4924.0711.94
Gamma HHI0.320.250.400.380.27
Net GEX444.0K247.4K607.6K396.2K553.3K
Net DEX-4.2M-9.5M-812.4K-5.2M-2.9M
Net VEX-53.5K-60.7K-48.9K-50.6K-51.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.010.990.330.01
Total Volume1,193.0912254,5082,1331,501
Total OI34,067.22727,97641,99633,09732,632

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$15.67$16.0031.6%9.1%18.6%75.4%31.6%-3.4%-3.5%396.2K-5.2M-50.6K0.3324.07N/AN/A1,60452927,0826,015
2019-08-02$15.89$16.0029.8%8.5%19.4%69.3%29.2%-5.8%-0.9%464.7K-6.8M-52.6K0.2513.55N/AN/A3628927,8096,034
2019-08-05$16.07$15.0032.5%8.2%20.0%78.3%26.9%-4.9%-0.6%539.3K-8.3M-53.9K0.1716.79N/AN/A1,21220727,9926,014
2019-08-06$15.94$16.0033.1%8.3%19.9%80.1%24.7%-5.6%-1.3%525.9K-7.7M-54.3K0.6515.14N/AN/A93461028,7186,151
2019-08-07$16.01$15.0031.1%8.2%19.8%73.7%30.2%-5.5%-1.3%538.0K-8.1M-59.6K0.1615.95N/AN/A4136629,3066,714
2019-08-08$16.15$16.0033.6%8.1%19.3%81.8%32.5%-6.0%0.0%586.2K-9.5M-60.6K0.3117.28N/AN/A98230529,3146,741
2019-08-09$16.13$16.0031.8%8.2%17.3%76.1%29.4%-5.6%-0.6%607.6K-9.1M-60.7K0.2120.32N/AN/A1,63333829,8567,040
2019-08-12$15.23$16.0027.0%7.8%25.4%60.1%29.8%-5.1%-0.6%263.7K-2.2M-53.0K0.1521.38N/AN/A3,91759130,8897,295
2019-08-13$15.03$16.0027.2%7.7%25.4%60.8%30.6%-4.7%-1.3%305.4K-1.7M-53.0K0.2824.57N/AN/A2,13160333,0797,214
2019-08-14$14.82$15.0027.5%7.9%25.6%61.8%27.0%-1.7%-2.8%314.7K-1.1M-53.8K0.5325.27N/AN/A88346934,4857,230
2019-08-15$14.86$15.0025.9%7.4%25.5%56.6%26.5%-5.1%-0.2%247.4K-812.4K-52.1K0.7932.49N/AN/A32926034,7567,187
2019-08-16$15.11$15.0025.3%7.3%25.9%54.7%25.5%-4.8%0.2%361.6K-3.9M-56.0K0.8413.75N/AN/A75863434,8337,163
2019-08-19$14.94$15.0026.1%7.5%25.7%57.2%26.4%-3.0%-0.8%411.5K-3.2M-52.9K0.2219.24N/AN/A3557823,1234,853
2019-08-20$14.81$15.0024.9%7.1%25.3%53.3%26.6%-4.7%1.2%384.0K-2.6M-51.7K0.4015.62N/AN/A29011723,2714,897
2019-08-21$14.84$15.0023.9%6.8%25.4%50.0%24.1%-4.2%1.9%394.4K-2.5M-50.6K0.1117.38N/AN/A2022323,4224,937
2019-08-22$14.85$15.0025.1%7.2%25.5%53.9%27.9%-5.6%-0.0%402.1K-2.7M-50.6K0.0714.39N/AN/A9926923,5134,941
2019-08-23$14.71$15.0024.2%6.9%25.6%50.9%24.4%-3.3%0.3%402.5K-2.2M-51.1K0.0421.67N/AN/A4291624,3744,993
2019-08-26$14.77$15.0025.1%7.2%25.5%54.0%22.2%-3.8%-1.0%417.8K-2.4M-51.0K0.319.22N/AN/A2768524,6255,000
2019-08-27$14.66$15.0025.9%7.4%25.5%56.7%24.9%-3.9%-2.6%507.2K-2.6M-48.9K0.9913.72N/AN/A41941426,5525,003
2019-08-28$14.81$15.0023.8%6.8%25.4%49.6%24.6%-10.2%-0.4%569.5K-3.8M-54.2K0.0714.22N/AN/A5744026,8305,197
2019-08-29$14.80$15.0022.5%6.5%25.1%45.5%21.8%-11.8%0.7%575.8K-3.7M-53.8K0.5712.47N/AN/A32518427,1725,227
2019-08-30$14.77$15.0022.8%6.5%24.3%46.4%29.5%-10.6%-0.3%553.3K-2.9M-51.4K0.0111.94N/AN/A1,4891227,3295,303