CORN Options History — April 2020

In April 2020, CORN traded between $11.72 and $12.71. ATM implied volatility averaged 28.5%, placing in the 65.9% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 10.0% (HV 20d: 18.4%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 3.03.

Notable Days

  • 2020-04-21: Highest Volume — 4,604 contracts
  • 2020-04-21: Largest IV spike — 38.4% change
  • 2020-04-30: Highest IV Rank — 89.5%
  • 2020-04-30: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.29$11.72$12.71$12.63$12.01
Max Pain$13.24$13.00$14.00$14.00$13.00
ATM IV28.5%22.7%35.8%22.7%35.8%
Expected Move8.2%6.5%10.3%6.5%10.3%
HV 20d18.4%14.4%21.9%19.3%21.3%
HV 60d16.7%15.1%18.2%16.7%18.2%
IV Rank65.9%47.4%89.5%47.4%89.5%
IV Percentile76.0%59.9%97.6%59.9%97.6%
Term Structure-1.4%-7.6%2.0%-0.8%-7.6%
VWIV28.8%15.8%37.8%15.8%37.6%
Skew 25d-2.3%-10.1%8.9%-10.1%3.9%
Skew 10d-1.7%-18.4%44.5%44.5%-1.2%
Call IV 25d28.6%19.5%38.4%26.0%21.2%
Put IV 25d26.4%15.9%39.6%15.9%25.1%
Bid-Ask Spread %15.5710.7520.9518.0611.27
Gamma HHI0.220.160.300.240.19
Net GEX27.1K-101.2K82.1K44.0K-64.7K
Net DEX132.5K-559.9K1.5M257.4K575.5K
Net VEX-35.4K-47.1K-27.3K-27.3K-47.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.030.0017.881.252.09
Total Volume9591464,604169466
Total OI15,298.38110,13123,69710,13123,656

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$12.63$14.0022.7%6.5%19.3%47.4%15.8%-10.1%-0.8%44.0K257.4K-27.3K1.2518.06N/AN/A75947,3252,806
2020-04-02$12.66$14.0023.3%6.8%19.5%49.5%19.6%2.8%0.2%40.8K258.6K-27.3K0.0918.68N/AN/A255237,3492,808
2020-04-03$12.71$14.0024.3%7.3%19.7%52.6%26.5%-2.7%-2.8%46.2K-57.5K-29.4K0.2619.36N/AN/A1,0362687,4972,829
2020-04-06$12.64$14.0024.3%7.3%19.5%52.6%25.6%-2.7%-1.2%69.9K-101.5K-29.8K0.3519.85N/AN/A3371198,4622,950
2020-04-07$12.71$14.0029.2%7.3%18.9%68.3%27.0%-2.8%-1.0%81.2K-438.6K-31.8K0.1419.72N/AN/A453638,7013,013
2020-04-08$12.64$13.0026.2%7.5%18.8%58.8%31.3%-2.9%-1.8%80.8K-485.6K-31.9K0.0020.95N/AN/A14608,9533,055
2020-04-09$12.68$13.0024.1%6.9%17.6%52.2%22.5%-1.7%-0.4%77.8K-292.8K-30.7K0.7819.20N/AN/A103809,0413,055
2020-04-13$12.61$13.0025.9%7.4%17.0%57.7%25.6%4.7%-0.9%73.1K5.9K-29.8K0.2514.90N/AN/A158409,0723,112
2020-04-14$12.42$13.0023.8%6.8%16.4%51.2%24.5%-2.1%2.0%67.3K155.3K-29.0K0.0815.55N/AN/A320259,1393,113
2020-04-15$12.30$13.0026.6%7.6%14.4%59.9%33.3%-6.1%-1.4%76.5K-156.4K-32.0K0.2113.01N/AN/A221479,7743,113
2020-04-16$12.16$13.0025.3%7.3%14.5%55.9%26.6%-8.8%0.5%69.2K-212.6K-31.8K0.3310.75N/AN/A4231389,9343,021
2020-04-17$12.37$13.0025.2%7.2%14.6%55.4%25.8%-4.6%-0.1%82.1K-559.9K-32.6K0.1515.71N/AN/A2643910,2913,034
2020-04-20$12.11$13.0025.4%7.3%16.0%56.2%26.0%-6.3%-0.9%64.1K-419.7K-30.8K0.4212.24N/AN/A6432679,8072,735
2020-04-21$11.80$13.0035.2%10.1%17.6%87.3%36.9%0.1%-2.0%63.1K-250.8K-31.7K2.9617.72N/AN/A1,1633,44110,3032,929
2020-04-22$12.05$13.0033.1%9.5%19.6%80.9%33.8%0.8%-2.9%26.9K-137.1K-42.2K14.1615.28N/AN/A2864,05011,2556,217
2020-04-23$12.14$13.0031.4%9.0%19.5%75.4%28.4%-9.1%-1.1%-31.1K133.1K-46.3K0.7912.41N/AN/A46236511,24510,136
2020-04-24$12.08$13.0032.4%9.3%19.5%78.6%32.1%-6.2%-3.5%-36.3K410.0K-46.3K17.8812.01N/AN/A741,32311,38110,274
2020-04-27$11.77$13.0034.7%10.0%20.9%85.9%37.8%2.4%-1.9%-70.4K1.5M-44.0K7.7413.90N/AN/A1671,29311,43611,402
2020-04-28$11.72$13.0035.2%10.1%20.9%87.5%34.9%-5.2%-1.2%-90.6K1.3M-45.8K12.5512.04N/AN/A5164011,47611,870
2020-04-29$11.88$13.0033.4%9.6%21.9%81.8%33.9%8.9%-1.0%-101.2K1.3M-45.9K1.0714.37N/AN/A34837311,52912,168
2020-04-30$12.01$13.0035.8%10.3%21.3%89.5%37.6%3.9%-7.6%-64.7K575.5K-47.1K2.0911.27N/AN/A15131511,63312,023