CORN Options History — May 2020

In May 2020, CORN traded between $11.86 and $12.22. ATM implied volatility averaged 32.1%, placing in the 77.5% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 14.3% (HV 20d: 17.8%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 2.36.

Notable Days

  • 2020-05-04: Highest Volume — 884 contracts
  • 2020-05-11: Largest IV spike — 18.1% change
  • 2020-05-11: Highest IV Rank — 94.1%
  • 2020-05-12: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.97$11.86$12.22$11.95$12.14
Max Pain$12.15$12.00$13.00$13.00$12.00
ATM IV32.1%27.3%37.3%33.3%27.3%
Expected Move9.0%7.8%9.7%9.5%7.8%
HV 20d17.8%10.8%21.6%21.2%11.5%
HV 60d18.2%17.9%18.4%18.2%18.1%
IV Rank77.5%62.1%94.1%81.3%62.1%
IV Percentile82.3%65.9%99.2%90.9%65.9%
Term Structure0.3%-3.0%4.4%-2.9%4.2%
VWIV31.7%27.2%34.7%33.1%27.7%
Skew 25d-3.6%-15.3%1.2%-14.6%-7.5%
Skew 10d-4.5%-18.8%13.1%-18.8%-9.7%
Call IV 25d33.2%26.8%38.2%38.2%30.1%
Put IV 25d29.6%20.4%34.8%23.6%22.6%
Bid-Ask Spread %18.2910.4324.8211.4114.18
Gamma HHI0.200.180.220.190.22
Net GEX-68.3K-155.2K10.3K-69.8K10.3K
Net DEX428.9K-754.4K1.0M608.3K-752.1K
Net VEX-43.9K-47.3K-41.2K-47.3K-43.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.360.0411.435.450.41
Total Volume383.550884613634
Total OI23,255.4520,43025,48024,06822,038

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$11.95$13.0033.3%9.5%21.2%81.3%33.1%-14.6%-2.9%-69.8K608.3K-47.3K5.4511.41N/AN/A9551811,75912,309
2020-05-04$11.88$13.0034.2%9.3%21.1%84.2%34.7%0.9%0.8%-92.3K1.0M-46.5K5.3624.82N/AN/A13974511,80012,374
2020-05-05$11.93$13.0036.1%9.2%21.2%90.4%31.5%1.2%-0.2%-94.0K598.5K-46.8K11.4322.72N/AN/A1416011,91813,034
2020-05-06$11.86$12.0034.3%9.5%21.0%84.5%32.5%-3.5%0.4%-99.5K932.2K-46.5K2.5723.92N/AN/A6917711,93013,083
2020-05-07$11.97$12.0035.1%9.6%21.5%87.3%31.4%0.5%-2.0%-78.9K662.3K-45.8K3.9422.80N/AN/A3614211,90613,122
2020-05-08$12.05$12.0031.5%9.2%21.6%75.8%32.5%0.8%-0.9%-76.6K751.5K-44.8K2.4823.52N/AN/A13032211,91613,172
2020-05-11$11.99$12.0037.3%9.6%21.6%94.1%34.4%-0.4%0.4%-79.9K637.9K-44.6K1.7422.32N/AN/A14425111,95313,227
2020-05-12$12.05$12.0036.2%9.7%21.2%90.8%34.3%-2.0%-3.0%-92.7K991.9K-43.5K3.2420.28N/AN/A10333412,01313,397
2020-05-13$11.91$12.0032.8%9.4%21.4%79.9%32.5%-2.8%0.5%-107.8K837.2K-43.6K3.7318.17N/AN/A13148812,05113,404
2020-05-14$11.87$12.0032.5%9.3%21.1%78.7%32.3%-2.4%-1.0%-104.2K924.6K-44.4K0.3219.55N/AN/A381212,10213,378
2020-05-15$11.94$12.0032.9%9.4%20.1%80.1%31.9%-3.3%0.5%-155.2K820.6K-43.3K4.0819.19N/AN/A3815512,09813,361
2020-05-18$11.91$12.0027.3%7.8%18.8%62.3%31.6%-7.3%4.4%-55.0K346.0K-42.5K0.1613.97N/AN/A234388,70311,727
2020-05-19$11.98$12.0030.4%8.7%16.4%72.3%31.7%-4.3%0.2%-52.0K241.1K-42.7K0.6615.04N/AN/A143948,87611,733
2020-05-20$11.97$12.0031.0%8.9%14.5%73.9%30.6%-0.4%-0.2%-47.3K46.4K-43.4K0.5316.83N/AN/A131698,96611,773
2020-05-21$11.96$12.0029.6%8.5%14.2%69.6%29.8%-3.5%0.6%-50.5K115.1K-42.0K0.1817.24N/AN/A177329,04111,829
2020-05-22$11.90$12.0029.2%8.4%14.2%68.3%29.2%-3.8%1.4%-52.5K434.8K-41.2K0.7418.53N/AN/A2421788,90311,854
2020-05-26$11.99$12.0030.5%8.8%10.9%72.6%31.5%-0.5%1.1%-40.1K142.1K-41.4K0.1417.09N/AN/A403569,12812,000
2020-05-27$11.99$12.0032.2%9.2%10.8%78.0%34.2%-15.3%-1.5%-34.4K-10.1K-42.9K0.0413.80N/AN/A256119,46111,986
2020-05-28$12.22$12.0027.5%7.9%11.7%62.8%27.2%-4.1%2.4%6.0K-754.4K-41.6K0.1110.43N/AN/A660719,79711,987
2020-05-29$12.14$12.0027.3%7.8%11.5%62.1%27.7%-7.5%4.2%10.3K-752.1K-43.0K0.4114.18N/AN/A45018410,04011,998