CORN Options History — March 2020

In March 2020, CORN traded between $12.91 and $14.26. ATM implied volatility averaged 22.5%, placing in the 46.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.4% (HV 20d: 17.1%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.80.

Notable Days

  • 2020-03-27: Highest Volume — 1,236 contracts
  • 2020-03-09: Largest IV spike — 48.6% change
  • 2020-03-24: Highest IV Rank — 75.5%
  • 2020-03-24: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.49$12.91$14.26$13.99$12.93
Max Pain$14.00$14.00$14.00$14.00$14.00
ATM IV22.5%13.7%31.4%17.0%25.1%
Expected Move6.5%4.3%9.0%4.9%7.2%
HV 20d17.1%11.8%21.0%11.8%18.7%
HV 60d15.0%13.4%16.3%13.4%16.1%
IV Rank46.9%18.7%75.5%29.4%55.4%
IV Percentile55.7%14.3%85.7%37.7%66.7%
Term Structure-0.8%-5.7%2.7%-0.6%-0.9%
VWIV21.4%12.8%31.4%17.0%25.3%
Skew 25d-3.2%-10.2%3.2%1.1%-3.1%
Skew 10d3.0%-13.0%89.4%1.5%-4.3%
Call IV 25d21.4%12.1%33.5%14.6%24.1%
Put IV 25d18.2%9.9%28.6%15.8%21.0%
Bid-Ask Spread %23.507.89101.549.1218.97
Gamma HHI0.390.220.660.340.23
Net GEX-92.9K-226.0K50.3K-52.9K50.3K
Net DEX428.1K-720.0K1.9M-362.5K-315.7K
Net VEX-27.6K-30.7K-24.6K-25.4K-29.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.800.018.223.450.32
Total Volume473.9551141,236872169
Total OI9,992.5458,63710,8798,63710,071

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$13.99$14.0017.0%4.9%11.8%29.4%17.0%1.1%-0.6%-52.9K-362.5K-25.4K3.459.12N/AN/A1966764,8283,809
2020-03-03$14.15$14.0014.8%4.3%12.6%22.5%14.8%2.6%1.4%-80.4K-512.8K-25.8K1.8912.80N/AN/A1593014,7884,396
2020-03-04$14.26$14.0015.0%4.3%12.7%23.0%15.2%3.2%1.0%-82.6K-720.0K-26.6K5.387.89N/AN/A563014,8134,697
2020-03-05$14.16$14.0014.3%4.4%12.9%20.6%15.2%-5.2%1.0%-137.9K-279.0K-26.6K2.6915.28N/AN/A391054,8104,997
2020-03-06$14.01$14.0013.7%4.5%13.3%18.7%15.8%-0.6%1.1%-175.0K256.9K-26.6K0.2810.26N/AN/A89254,8125,094
2020-03-09$13.84$14.0020.3%4.8%13.5%40.0%12.8%-3.9%1.1%-176.7K860.5K-26.1K0.069.17N/AN/A12674,8365,093
2020-03-10$14.01$14.0016.2%4.8%14.4%26.7%16.4%-0.7%0.3%-172.9K218.0K-26.3K4.499.47N/AN/A1064764,9115,093
2020-03-11$13.86$14.0017.4%5.0%14.7%30.5%17.4%-3.2%0.6%-173.5K580.3K-26.7K5.9110.85N/AN/A1166854,9905,113
2020-03-12$13.54$14.0019.4%5.6%16.4%37.1%15.5%-2.9%0.3%-160.0K1.3M-25.7K0.1911.18N/AN/A147285,0524,864
2020-03-13$13.66$14.0022.8%6.5%17.0%48.0%21.5%-10.2%0.4%-128.0K811.4K-26.8K0.42101.54N/AN/A3231365,1014,867
2020-03-16$13.38$14.0020.0%5.7%18.0%38.9%19.7%-2.3%0.1%-162.8K1.6M-25.7K1.2317.06N/AN/A3964895,3504,853
2020-03-17$13.04$14.0020.5%5.9%18.8%40.4%16.4%-0.5%1.3%-139.1K1.9M-24.6K1.9310.86N/AN/A2334505,6754,405
2020-03-18$12.91$14.0028.6%8.2%18.9%66.2%25.6%0.8%-3.5%-152.5K1.6M-27.3K0.3237.81N/AN/A247795,8914,289
2020-03-19$13.12$14.0026.9%7.7%20.3%60.8%31.4%-5.0%0.9%-101.2K905.3K-28.5K0.5729.79N/AN/A6573756,0354,262
2020-03-20$13.03$14.0031.1%8.9%20.3%74.3%27.4%-5.5%-5.7%-226.0K882.6K-29.4K0.0335.55N/AN/A321116,5584,321
2020-03-23$13.08$14.0031.1%8.9%20.4%74.2%30.2%-9.7%-3.9%-13.9K425.5K-30.1K0.0532.22N/AN/A211106,4083,736
2020-03-24$13.15$14.0031.4%9.0%20.6%75.5%27.8%-6.2%-4.9%-3.9K144.8K-30.6K1.6625.41N/AN/A1502496,5743,745
2020-03-25$13.26$14.0030.4%8.7%21.0%72.1%27.1%2.3%-4.8%1.2K133.1K-30.1K0.0144.59N/AN/A21636,5803,655
2020-03-26$13.22$14.0028.4%8.2%20.5%65.9%26.3%-3.5%-3.2%-2.5K-1.2K-30.7K0.3924.65N/AN/A2591006,6993,653
2020-03-27$13.13$14.0022.6%6.5%20.6%47.2%22.6%-8.7%2.7%-2.6K279.7K-29.6K8.2223.17N/AN/A1341,1026,8283,575
2020-03-30$13.01$14.0028.2%8.1%19.5%65.0%29.8%-9.1%-2.1%49.6K-305.4K-28.9K0.0619.38N/AN/A442276,9002,809
2020-03-31$12.93$14.0025.1%7.2%18.7%55.4%25.3%-3.1%-0.9%50.3K-315.7K-29.9K0.3218.97N/AN/A128417,2502,821