CORN Options History — July 2020

In July 2020, CORN traded between $11.70 and $12.66. ATM implied volatility averaged 28.4%, placing in the 48.0% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 5.1% (HV 20d: 23.4%). Max pain ranged from $12.00 to $12.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.19.

Notable Days

  • 2020-07-13: Highest Volume — 2,546 contracts
  • 2020-07-08: Largest IV spike — 153.4% change
  • 2020-07-08: Highest IV Rank — 100.0%
  • 2020-07-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.09$11.70$12.66$12.64$11.70
Max Pain$12.00$12.00$12.00$12.00$12.00
ATM IV28.4%22.0%55.7%31.6%24.1%
Expected Move7.6%6.5%9.0%9.0%6.9%
HV 20d23.4%17.1%26.0%21.3%17.1%
HV 60d18.4%17.2%20.0%18.6%17.4%
IV Rank48.0%30.8%100.0%80.6%33.9%
IV Percentile70.6%48.8%100.0%88.5%56.7%
Term Structure-0.5%-5.6%3.5%-3.4%-1.1%
VWIV26.1%22.3%30.8%30.8%22.4%
Skew 25d-3.3%-10.3%7.9%1.4%-4.3%
Skew 10d-4.2%-18.7%12.8%5.3%-1.2%
Call IV 25d28.0%19.8%33.1%29.0%22.0%
Put IV 25d24.7%17.2%31.6%30.3%17.7%
Bid-Ask Spread %10.406.2616.1314.738.14
Gamma HHI0.270.220.340.250.29
Net GEX202.1K135.2K329.6K196.2K186.0K
Net DEX-3.0M-4.5M-1.9M-4.3M-1.9M
Net VEX-37.4K-42.0K-31.6K-42.0K-31.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.010.610.040.10
Total Volume815.5451102,5461,6381,171
Total OI22,618.59121,01824,45221,12724,452

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$12.64$12.0031.6%9.0%21.3%80.6%30.8%1.4%-3.4%196.2K-4.3M-42.0K0.0414.73N/AN/A1,5726612,4278,700
2020-07-02$12.47$12.0031.2%9.0%21.5%79.5%28.7%4.8%-5.6%180.5K-3.6M-40.1K0.0516.13N/AN/A3461912,2848,734
2020-07-06$12.55$12.0030.7%8.3%21.4%77.6%29.4%-3.0%-0.9%200.4K-3.8M-39.4K0.6114.83N/AN/A83350712,3578,721
2020-07-07$12.45$12.0022.0%7.5%21.6%48.1%28.1%-3.3%0.0%200.4K-3.4M-38.2K0.2715.93N/AN/A38110212,5488,723
2020-07-08$12.53$12.0055.7%8.1%21.5%100.0%24.4%-6.2%0.1%213.6K-3.8M-40.3K0.4911.83N/AN/A743612,7808,775
2020-07-09$12.66$12.0033.5%8.5%21.6%53.7%25.6%-3.6%-2.9%246.1K-4.5M-40.4K0.1314.23N/AN/A3925112,8008,776
2020-07-10$12.26$12.0030.1%7.4%24.6%46.6%26.6%-4.6%1.1%196.0K-3.2M-39.0K0.1610.97N/AN/A5288312,8558,778
2020-07-13$12.01$12.0032.0%8.2%25.7%50.5%29.9%-1.4%-1.2%147.5K-2.2M-37.5K0.0412.14N/AN/A2,4549213,1988,819
2020-07-14$11.93$12.0030.9%8.1%25.7%48.2%28.5%-5.0%-2.1%212.8K-2.9M-38.4K0.1311.31N/AN/A5737214,6718,858
2020-07-15$11.91$12.0028.7%8.2%25.7%43.6%29.2%0.2%-2.0%224.1K-2.5M-38.0K0.3511.16N/AN/A1,40148414,9168,876
2020-07-16$12.02$12.0029.0%8.3%25.9%44.3%28.8%-1.4%-0.8%281.6K-3.1M-38.2K0.379.76N/AN/A2589514,9668,889
2020-07-17$12.09$12.0025.1%7.2%26.0%36.0%25.5%-9.9%1.5%329.6K-3.6M-37.5K0.129.53N/AN/A6527614,8768,888
2020-07-20$11.96$12.0024.6%7.1%26.0%35.1%25.6%-8.1%1.9%142.0K-2.2M-36.0K0.3611.38N/AN/A37513413,1358,481
2020-07-21$11.84$12.0027.6%7.9%26.0%41.4%25.6%-1.8%-1.7%135.2K-1.9M-35.3K0.096.54N/AN/A5815313,3398,509
2020-07-22$11.95$12.0024.6%7.0%26.0%35.0%23.6%0.7%2.1%171.1K-2.5M-36.1K0.016.91N/AN/A9171113,8098,499
2020-07-23$11.97$12.0023.8%6.8%25.7%33.4%23.5%-7.9%2.9%195.3K-3.0M-36.3K0.028.11N/AN/A213414,4478,474
2020-07-24$11.97$12.0022.6%6.5%25.3%30.8%22.3%-7.4%3.5%213.5K-3.0M-35.4K0.236.66N/AN/A63314314,4398,475
2020-07-27$11.93$12.0023.9%6.9%24.8%33.6%23.1%-10.3%1.4%224.1K-3.0M-35.3K0.016.26N/AN/A966514,8178,578
2020-07-28$11.78$12.0024.8%7.1%23.8%35.5%24.6%7.9%-2.5%200.0K-2.6M-35.6K0.276.94N/AN/A46512515,1698,578
2020-07-29$11.70$12.0025.3%7.3%19.5%36.5%25.3%-5.1%-2.4%170.0K-2.2M-35.7K0.146.93N/AN/A2763915,3678,660
2020-07-30$11.71$12.0023.5%6.7%17.4%32.7%22.7%-4.2%0.2%181.1K-2.2M-35.6K0.138.28N/AN/A6087615,4808,686
2020-07-31$11.70$12.0024.1%6.9%17.1%33.9%22.4%-4.3%-1.1%186.0K-1.9M-31.6K0.108.14N/AN/A1,06510615,7218,731