CORN Options History — October 2019

In October 2019, CORN traded between $14.97 and $15.43. ATM implied volatility averaged 19.5%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.9% (HV 20d: 17.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.19.

Notable Days

  • 2019-10-10: Highest Volume — 878 contracts
  • 2019-10-03: Largest IV drop — 9.3% change
  • 2019-10-08: Highest IV Rank — 46.0%
  • 2019-10-11: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.23$14.97$15.43$15.30$15.14
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV19.5%15.9%22.7%20.9%17.7%
Expected Move5.6%4.6%6.2%6.0%5.1%
HV 20d17.6%15.2%20.1%16.2%16.4%
HV 60d20.3%19.6%21.0%20.6%19.6%
IV Rank35.6%23.8%46.0%40.3%29.6%
IV Percentile52.3%30.6%63.9%60.7%44.4%
Term Structure-0.4%-2.2%1.5%1.2%-0.9%
VWIV20.2%15.6%23.5%20.8%17.7%
Skew 25d-3.7%-7.9%3.9%-2.5%3.3%
Skew 10d-4.3%-14.9%4.6%-2.9%4.2%
Call IV 25d21.6%13.2%25.9%22.3%13.7%
Put IV 25d17.9%14.7%21.7%19.8%17.0%
Bid-Ask Spread %22.7115.8740.1320.2623.13
Gamma HHI0.310.290.410.290.37
Net GEX499.4K344.0K628.4K610.0K395.2K
Net DEX-4.3M-6.7M-1.9M-6.2M-2.7M
Net VEX-41.2K-52.4K-32.1K-52.4K-33.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.000.720.040.06
Total Volume360.08766878798194
Total OI34,001.65233,13834,82734,07933,504

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$15.30$15.0020.9%6.0%16.2%40.3%20.8%-2.5%1.2%610.0K-6.2M-52.4K0.0420.26N/AN/A7683027,6626,417
2019-10-02$15.16$15.0021.2%6.1%16.5%41.3%21.6%-6.0%0.9%520.1K-4.4M-47.4K0.1021.17N/AN/A2362327,6286,422
2019-10-03$15.18$15.0019.3%6.1%16.5%34.8%22.2%-3.5%-0.6%520.1K-4.5M-47.5K0.0031.60N/AN/A188027,6706,438
2019-10-04$15.12$15.0020.9%6.1%16.1%40.1%21.7%-3.9%-1.2%494.6K-3.9M-46.2K0.0218.58N/AN/A247427,7126,438
2019-10-07$15.16$15.0021.6%5.9%16.0%42.5%21.5%-1.8%-0.9%487.0K-3.9M-43.5K0.2327.46N/AN/A741727,8076,438
2019-10-08$15.37$15.0022.7%6.1%15.4%46.0%23.3%-6.3%-0.9%622.3K-6.3M-48.1K0.1720.08N/AN/A5569627,8686,445
2019-10-09$15.35$15.0021.4%6.1%15.2%41.7%23.5%-7.7%-2.2%599.8K-6.1M-48.0K0.0526.35N/AN/A8034327,8756,461
2019-10-10$14.97$15.0020.5%5.9%17.1%38.9%21.6%-7.9%-1.0%409.7K-2.8M-41.6K0.0823.31N/AN/A8166228,0856,461
2019-10-11$15.43$15.0021.5%6.2%20.1%42.1%22.3%-6.9%-2.2%628.4K-6.7M-48.1K0.2822.81N/AN/A59416728,3486,453
2019-10-14$15.40$15.0021.1%6.1%19.8%40.9%22.2%-6.8%-0.6%595.0K-6.5M-45.7K0.0416.56N/AN/A3451528,2646,512
2019-10-15$15.33$15.0020.5%5.9%18.8%38.7%20.4%-5.4%-0.7%552.8K-5.7M-43.3K0.0620.85N/AN/A1901128,3476,469
2019-10-16$15.31$15.0019.6%5.6%18.8%36.0%19.6%-4.0%-0.7%516.0K-5.2M-41.2K0.7118.91N/AN/A896328,3236,470
2019-10-17$15.38$15.0018.9%5.4%18.8%33.4%19.5%-3.3%0.5%588.6K-5.6M-41.4K0.7220.15N/AN/A22716428,3546,431
2019-10-18$15.32$15.0019.1%5.5%18.7%34.3%19.6%-3.5%-0.8%529.2K-5.2M-40.4K0.0023.28N/AN/A422228,2936,534
2019-10-21$15.22$15.0019.5%5.6%19.0%35.4%19.9%-4.0%-0.9%486.4K-3.3M-36.7K0.3920.73N/AN/A2349227,2905,848
2019-10-22$15.24$15.0018.8%5.4%18.8%33.1%20.4%-6.3%-0.6%492.8K-3.5M-38.2K0.0217.96N/AN/A83227,3855,952
2019-10-23$15.24$15.0018.6%5.3%18.8%32.6%20.9%-5.0%-0.4%477.0K-3.2M-36.0K0.2315.87N/AN/A3217427,3905,952
2019-10-24$15.18$15.0017.0%4.9%18.8%27.5%17.2%-5.0%1.2%428.6K-3.1M-35.0K0.2022.21N/AN/A1352727,5105,655
2019-10-25$15.18$15.0017.4%5.0%18.8%28.7%19.3%-5.1%0.0%422.5K-3.1M-34.8K0.2319.55N/AN/A2054727,5065,682
2019-10-28$15.03$15.0015.9%4.6%16.8%23.8%15.6%-0.8%1.5%344.0K-1.9M-32.1K0.2227.74N/AN/A2455527,4575,692
2019-10-29$15.07$15.0017.0%4.9%16.5%27.3%17.0%2.4%0.5%369.8K-2.3M-32.6K0.2523.73N/AN/A531327,5535,732
2019-10-30$15.16$15.0017.9%5.1%16.4%30.3%17.9%3.9%-0.3%396.3K-2.8M-33.6K0.1740.13N/AN/A2143627,5775,728
2019-10-31$15.14$15.0017.7%5.1%16.4%29.6%17.7%3.3%-0.9%395.2K-2.7M-33.1K0.0623.13N/AN/A1831127,7435,761