CORN Options History — September 2019

In September 2019, CORN traded between $14.32 and $15.18. ATM implied volatility averaged 22.9%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.3% (HV 20d: 17.6%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.38.

Notable Days

  • 2019-09-13: Highest Volume — 3,775 contracts
  • 2019-09-06: Largest IV spike — 18.3% change
  • 2019-09-10: Highest IV Rank — 68.1%
  • 2019-09-10: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.71$14.32$15.18$14.52$15.18
Max Pain$14.40$14.00$15.00$15.00$15.00
ATM IV22.9%19.4%29.4%23.1%21.6%
Expected Move6.5%5.6%7.5%6.6%6.2%
HV 20d17.6%14.9%24.1%24.1%17.5%
HV 60d21.2%19.8%21.7%21.7%20.5%
IV Rank46.8%35.3%68.1%47.3%42.3%
IV Percentile65.6%54.4%78.6%68.7%61.9%
Term Structure0.2%-2.2%2.6%-0.1%-0.2%
VWIV22.0%13.0%26.5%23.1%20.5%
Skew 25d-4.4%-10.9%3.6%-1.3%-4.4%
Skew 10d-4.3%-16.8%5.1%1.9%-5.4%
Call IV 25d24.4%16.4%29.3%22.7%23.4%
Put IV 25d20.0%13.1%22.7%21.4%19.0%
Bid-Ask Spread %20.3310.8837.4210.8814.89
Gamma HHI0.330.250.530.270.30
Net GEX708.6K387.2K1.3M472.1K522.4K
Net DEX-3.1M-5.8M-968.8K-968.8K-4.7M
Net VEX-48.3K-54.1K-43.2K-43.2K-48.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.003.940.100.00
Total Volume1,251.3773,7752,7941,113
Total OI37,725.533,28242,38334,23933,864

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$14.52$15.0023.1%6.6%24.1%47.3%23.1%-1.3%-0.1%472.1K-968.8K-43.2K0.1010.88N/AN/A2,53925528,9325,307
2019-09-04$14.44$15.0021.6%6.2%24.1%42.3%26.2%-3.5%0.4%476.6K-1.0M-43.6K0.1215.98N/AN/A1,55918329,9925,529
2019-09-05$14.47$15.0021.4%6.1%24.0%42.0%26.4%-6.2%0.8%578.6K-2.0M-48.3K0.0217.37N/AN/A1,8063631,0745,582
2019-09-06$14.33$15.0025.4%6.5%23.4%54.8%24.1%-8.5%0.1%584.5K-1.5M-47.3K0.0317.50N/AN/A1,7995932,7255,584
2019-09-09$14.32$14.0025.9%6.8%23.5%56.5%23.8%-7.0%-2.2%648.8K-1.7M-45.4K0.1314.96N/AN/A1,18315934,2945,623
2019-09-10$14.60$14.0029.4%7.5%15.6%68.1%26.5%-6.8%-1.1%798.7K-3.7M-51.9K0.2624.10N/AN/A44911834,1165,688
2019-09-11$14.52$14.0025.6%7.3%15.1%55.5%25.2%-6.2%-0.4%778.4K-3.4M-50.6K0.0516.18N/AN/A1,2226234,3435,674
2019-09-12$14.77$14.0025.0%7.2%15.8%53.5%24.7%-4.5%-0.8%1.1M-5.4M-54.0K0.3617.98N/AN/A84830535,4115,700
2019-09-13$14.80$14.0024.1%6.9%15.8%50.7%25.8%-6.1%-0.4%1.2M-5.3M-54.1K0.0724.13N/AN/A3,54123435,8435,824
2019-09-16$14.97$14.0024.0%6.9%15.1%50.2%23.2%-4.1%0.1%1.2M-5.8M-52.1K0.0629.50N/AN/A1,86511534,8455,830
2019-09-17$14.72$14.0023.8%6.8%15.8%49.7%18.2%-4.6%-0.2%893.4K-3.3M-49.4K0.2027.14N/AN/A80516434,5745,938
2019-09-18$14.81$14.0023.1%6.6%15.7%47.4%18.7%-3.8%-0.2%1.2M-4.3M-50.5K0.0437.42N/AN/A5532235,1085,983
2019-09-19$14.82$14.0022.0%6.3%15.6%43.8%22.0%-3.4%0.2%1.3M-4.1M-49.6K3.9437.20N/AN/A4021,58535,5695,969
2019-09-20$14.74$14.0021.1%6.1%15.8%40.8%20.3%-3.4%1.4%432.8K-2.8M-49.6K0.1317.26N/AN/A5006335,8466,537
2019-09-23$14.77$14.0020.9%6.0%15.4%40.2%22.1%3.6%1.5%420.3K-2.5M-46.5K0.0627.39N/AN/A4652627,0926,190
2019-09-24$14.88$14.0019.9%5.7%15.6%36.9%15.6%-1.1%2.6%442.7K-2.9M-48.6K0.2011.97N/AN/A2184427,3086,206
2019-09-25$14.84$15.0020.4%5.8%15.3%38.4%21.2%-10.9%0.5%414.6K-2.3M-44.9K0.1011.32N/AN/A1561527,2786,190
2019-09-26$14.81$15.0020.8%6.0%14.9%39.8%19.0%-3.4%0.6%402.1K-2.1M-44.4K0.0411.27N/AN/A74327,2706,188
2019-09-27$14.79$15.0019.4%5.6%14.9%35.3%13.0%-3.0%1.6%387.2K-1.9M-43.2K1.7322.15N/AN/A17630527,2986,186
2019-09-30$15.18$15.0021.6%6.2%17.5%42.3%20.5%-4.4%-0.2%522.4K-4.7M-48.4K0.0014.89N/AN/A1,110327,4456,419