CORN Options History — June 2020

In June 2020, CORN traded between $11.66 and $12.39. ATM implied volatility averaged 27.2%, placing in the 65.4% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 14.7% (HV 20d: 12.5%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.08.

Notable Days

  • 2020-06-23: Highest Volume — 1,727 contracts
  • 2020-06-10: Largest IV spike — 38.2% change
  • 2020-06-10: Highest IV Rank — 75.7%
  • 2020-06-05: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.17$11.66$12.39$12.05$12.38
Max Pain$11.59$11.00$12.00$12.00$12.00
ATM IV27.2%21.8%30.1%28.1%28.7%
Expected Move8.0%7.0%8.8%8.0%8.2%
HV 20d12.5%11.3%20.1%11.7%20.1%
HV 60d16.7%15.6%18.1%18.1%18.1%
IV Rank65.4%47.5%75.7%64.7%70.9%
IV Percentile67.2%48.4%78.2%67.5%75.8%
Term Structure0.0%-4.3%4.8%2.8%-1.2%
VWIV28.2%23.8%33.3%28.0%29.8%
Skew 25d-4.7%-12.7%10.0%-11.7%-6.1%
Skew 10d-5.6%-16.2%14.9%-16.2%-5.5%
Call IV 25d29.1%23.6%33.9%33.9%32.6%
Put IV 25d24.4%18.6%33.6%22.2%26.5%
Bid-Ask Spread %16.858.4627.8712.7914.47
Gamma HHI0.210.190.240.240.23
Net GEX88.0K-257196.9K-257196.9K
Net DEX-1.8M-3.4M-418.9K-418.9K-3.4M
Net VEX-40.2K-42.6K-38.3K-42.6K-40.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.0017.790.270.11
Total Volume583.273251,7273761,479
Total OI22,053.95519,36223,01622,39821,652

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$12.05$12.0028.1%8.0%11.7%64.7%28.0%-11.7%2.8%-257-418.9K-42.6K0.2712.79N/AN/A2958110,27712,121
2020-06-02$12.06$12.0028.6%8.2%11.4%66.5%27.7%-9.2%3.5%2.2K-562.1K-41.5K0.1913.72N/AN/A21410,46512,078
2020-06-03$12.09$12.0028.0%8.0%11.4%68.6%33.3%-8.0%-1.1%20.6K-738.6K-40.9K0.228.46N/AN/A581310,47912,076
2020-06-04$12.27$12.0027.1%8.0%12.2%65.5%29.9%1.0%-0.1%29.0K-1.4M-41.5K0.9025.13N/AN/A62155710,50712,087
2020-06-05$12.38$12.0025.3%8.8%12.1%59.3%31.1%-2.3%-1.3%66.4K-1.8M-41.4K0.3922.16N/AN/A2299010,59712,091
2020-06-08$12.39$12.0027.2%8.3%12.0%65.7%27.1%0.2%0.9%83.1K-2.1M-41.5K0.3821.24N/AN/A29711210,74112,057
2020-06-09$12.31$11.0021.8%8.3%12.1%47.5%29.5%-0.6%-1.1%67.7K-1.8M-41.7K0.1419.93N/AN/A2513610,91011,954
2020-06-10$12.23$11.0030.1%8.6%12.3%75.7%31.7%-7.2%-1.5%65.6K-1.6M-39.9K17.7927.87N/AN/A721,28111,04111,975
2020-06-11$12.29$11.0028.7%8.2%11.5%70.9%28.9%-2.4%-2.7%83.7K-2.0M-39.4K0.0025.87N/AN/A133011,06211,116
2020-06-12$12.30$11.0026.8%7.7%11.3%64.4%25.3%-1.5%-0.0%83.5K-1.9M-39.8K0.1915.45N/AN/A801511,07411,115
2020-06-15$12.22$11.0027.8%8.0%11.6%67.8%26.5%-1.9%-2.5%79.8K-1.9M-38.3K0.0317.64N/AN/A186511,14611,111
2020-06-16$12.24$11.0024.8%7.1%11.5%57.5%27.4%-10.2%4.8%89.0K-2.0M-39.0K0.0317.92N/AN/A3811211,21011,109
2020-06-17$12.24$11.0025.6%7.3%11.4%60.3%25.8%-2.4%2.8%95.8K-2.1M-38.6K0.4616.99N/AN/A27412511,52311,113
2020-06-18$12.25$11.0026.4%7.6%11.4%63.0%26.1%-3.3%-0.8%105.3K-2.4M-39.2K1.5119.17N/AN/A13320111,68911,148
2020-06-19$12.36$11.0024.5%7.0%11.7%56.6%23.8%-4.5%3.6%121.0K-2.6M-39.7K0.2117.39N/AN/A2535211,76711,219
2020-06-22$12.22$12.0029.7%8.5%12.4%74.4%29.9%-6.4%-4.3%113.3K-2.2M-39.5K0.0513.64N/AN/A9804711,0658,297
2020-06-23$12.08$12.0028.3%8.1%12.9%69.6%28.9%-10.0%-0.7%128.3K-2.2M-40.2K0.7212.84N/AN/A1,00672111,8878,353
2020-06-24$11.95$12.0025.9%7.4%13.5%61.5%27.6%-11.0%-0.2%128.0K-1.9M-39.7K0.0212.63N/AN/A470812,3268,423
2020-06-25$11.81$12.0029.2%8.4%12.1%72.7%26.8%-12.7%0.9%116.9K-1.4M-39.2K0.1212.26N/AN/A1,12613612,6148,428
2020-06-26$11.66$12.0026.3%7.5%12.6%62.8%26.3%-3.1%0.5%120.1K-1.5M-40.2K0.0412.93N/AN/A4021813,1308,556
2020-06-29$11.94$12.0029.3%8.4%15.4%72.9%29.7%10.0%-1.7%139.8K-2.0M-39.7K0.1110.25N/AN/A5165513,0398,559
2020-06-30$12.38$12.0028.7%8.2%20.1%70.9%29.8%-6.1%-1.2%196.9K-3.4M-40.9K0.1114.47N/AN/A1,33814113,0498,603