CORN Options History — February 2020

In February 2020, CORN traded between $13.77 and $14.47. ATM implied volatility averaged 13.1%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 0.6% (HV 20d: 13.6%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.34.

Notable Days

  • 2020-02-20: Highest Volume — 655 contracts
  • 2020-02-12: Largest IV spike — 72.7% change
  • 2020-02-28: Highest IV Rank — 37.7%
  • 2020-02-28: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.26$13.77$14.47$14.37$13.77
Max Pain$14.16$14.00$15.00$15.00$14.00
ATM IV13.1%8.2%19.6%9.0%19.6%
Expected Move4.1%2.3%5.6%2.6%5.6%
HV 20d13.6%9.6%16.9%16.5%10.0%
HV 60d12.8%12.6%13.1%13.1%12.9%
IV Rank16.8%1.1%37.7%3.6%37.7%
IV Percentile15.6%0.4%55.6%1.2%55.6%
Term Structure2.3%-0.8%7.5%7.5%-0.6%
VWIV15.0%8.2%19.6%8.2%19.6%
Skew 25d1.1%-3.4%44.1%1.6%-1.3%
Skew 10d3.4%-3.3%74.0%2.3%-0.2%
Call IV 25d15.0%8.8%17.9%9.1%17.4%
Put IV 25d16.0%9.8%56.6%10.7%16.1%
Bid-Ask Spread %10.225.6114.998.0813.92
Gamma HHI0.390.280.590.430.28
Net GEX-32.8K-190.5K61.3K-25.1K-64.1K
Net DEX577.6K-945.3K1.5M1.2M219.3K
Net VEX-25.1K-30.9K-23.8K-25.3K-25.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.035.610.090.09
Total Volume287.842276557374
Total OI15,642.5267,52918,83118,1978,613

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$14.37$15.009.0%2.6%16.5%3.6%8.2%1.6%7.5%-25.1K1.2M-25.3K0.098.08N/AN/A67610,5507,647
2020-02-04$14.46$15.0010.5%3.0%16.7%8.6%12.6%-1.0%3.2%45.1K446.6K-30.9K0.048.84N/AN/A26110,5497,614
2020-02-05$14.45$15.008.2%2.3%16.7%1.1%0.0%1.0%7.0%40.5K753.0K-24.4K0.038.78N/AN/A80210,5487,614
2020-02-06$14.37$14.009.8%4.7%16.7%6.2%17.9%-2.7%0.7%16.8K1.1M-27.6K0.149.69N/AN/A59810,6287,614
2020-02-07$14.47$14.0010.0%4.4%16.9%7.0%16.1%-0.3%1.5%61.3K704.0K-25.0K1.8510.97N/AN/A8415510,6667,616
2020-02-10$14.43$14.0010.4%4.1%16.5%8.3%14.3%-2.9%2.0%17.3K895.5K-24.1K0.7112.40N/AN/A28620210,7077,764
2020-02-11$14.37$14.008.4%4.3%16.4%1.9%14.9%-2.0%1.9%-43.8K988.3K-24.8K0.8612.72N/AN/A585010,9267,872
2020-02-12$14.43$14.0014.5%4.2%16.5%21.5%0.0%-3.0%2.0%16.1K799.3K-24.9K0.0512.25N/AN/A109510,9367,895
2020-02-13$14.39$14.0013.9%4.0%16.5%19.5%16.7%-2.7%2.4%-41.2K1.4M-24.7K0.4514.99N/AN/A1115010,6407,895
2020-02-14$14.27$14.0013.4%3.9%14.3%17.9%13.8%-2.9%2.9%-155.2K1.5M-24.2K5.618.35N/AN/A3620210,6967,895
2020-02-18$14.44$14.0013.1%3.7%11.2%16.8%14.0%-3.0%4.2%18.3K1.2M-23.8K4.2011.10N/AN/A9941610,6878,097
2020-02-19$14.39$14.0013.6%3.9%11.2%18.6%13.3%-3.0%2.8%-45.0K784.0K-24.0K2.495.61N/AN/A9022410,6917,488
2020-02-20$14.28$14.0014.5%4.2%11.4%21.3%14.8%-2.5%2.7%-190.5K219.4K-24.1K1.107.68N/AN/A31234310,7017,049
2020-02-21$14.19$14.0014.0%4.0%11.0%19.7%14.0%1.9%2.4%-82.6K-945.3K-24.0K1.558.03N/AN/A19730510,8996,611
2020-02-24$14.05$14.0014.4%4.1%10.5%21.2%14.4%44.1%1.3%-25.9K-276.6K-24.0K0.539.05N/AN/A3201704,3263,203
2020-02-25$14.04$14.0015.6%4.5%10.1%24.9%15.6%1.5%0.9%-36.4K-202.9K-24.9K1.7710.29N/AN/A1753094,3903,364
2020-02-26$13.99$14.0016.0%4.6%9.6%26.3%16.0%0.7%0.1%-58.8K-86.5K-25.3K0.7511.58N/AN/A2662004,5453,666
2020-02-27$13.78$14.0019.2%5.5%10.6%36.4%19.2%-3.4%-0.8%-70.1K329.9K-25.4K3.189.85N/AN/A892834,7403,866
2020-02-28$13.77$14.0019.6%5.6%10.0%37.7%19.6%-1.3%-0.6%-64.1K219.3K-25.4K0.0913.92N/AN/A6864,8103,803