CORN Options History — August 2020

In August 2020, CORN traded between $11.56 and $12.70. ATM implied volatility averaged 26.7%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 10.4% (HV 20d: 16.3%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.25.

Notable Days

  • 2020-08-11: Highest Volume — 44,849 contracts
  • 2020-08-11: Largest IV spike — 206.5% change
  • 2020-08-11: Highest IV Rank — 100.0%
  • 2020-08-11: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.08$11.56$12.70$11.78$12.63
Max Pain$11.71$11.00$12.00$12.00$12.00
ATM IV26.7%20.0%65.2%24.1%27.8%
Expected Move7.4%5.7%11.1%6.9%8.0%
HV 20d16.3%12.5%18.0%17.1%17.4%
HV 60d18.4%17.3%19.2%17.3%18.9%
IV Rank34.4%21.2%100.0%34.1%34.9%
IV Percentile64.4%41.3%100.0%57.5%76.6%
Term Structure0.6%-9.7%4.8%0.0%3.7%
VWIV25.6%20.5%40.0%24.0%24.7%
Skew 25d-4.0%-9.1%2.8%-5.2%-5.4%
Skew 10d-7.3%-24.6%7.0%-5.2%-13.2%
Call IV 25d28.1%21.5%43.8%22.1%31.9%
Put IV 25d24.1%16.9%35.2%16.9%26.4%
Bid-Ask Spread %11.146.4430.458.1010.52
Gamma HHI0.500.240.920.310.39
Net GEX1.4M143.4K5.2M219.7K719.9K
Net DEX-14.0M-33.2M-1.7M-2.5M-16.9M
Net VEX-57.2K-88.0K-33.3K-34.8K-88.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.010.880.880.63
Total Volume6,88552844,8495486,128
Total OI40,211.85725,27659,39525,27637,612

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$11.78$12.0024.1%6.9%17.1%34.1%24.0%-5.2%0.0%219.7K-2.5M-34.8K0.888.10N/AN/A29225616,4628,814
2020-08-04$11.56$12.0026.0%7.5%17.9%38.0%27.8%-1.1%-2.7%152.0K-1.7M-35.5K0.826.44N/AN/A37931216,6018,978
2020-08-05$11.64$12.0023.0%6.6%18.0%31.8%23.9%2.8%2.2%171.3K-1.9M-33.9K0.589.66N/AN/A41224016,8009,185
2020-08-06$11.65$11.0022.2%6.6%17.3%30.0%23.4%-2.6%1.5%143.4K-2.2M-35.4K0.6713.57N/AN/A34323117,1209,390
2020-08-07$11.56$11.0021.5%6.4%13.9%28.6%23.9%0.1%0.5%166.8K-1.8M-34.7K0.0113.38N/AN/A522617,3059,572
2020-08-10$11.64$11.0021.3%6.9%12.6%28.1%24.5%2.0%-0.2%197.5K-1.8M-33.3K0.8613.30N/AN/A1,00786617,3879,571
2020-08-11$11.65$11.0065.2%11.1%12.5%100.0%40.0%-8.6%-9.7%204.3K-3.5M-43.1K0.0230.45N/AN/A44,15469518,49910,083
2020-08-12$11.72$11.0029.7%8.5%12.8%38.1%30.9%-4.1%-1.3%2.1M-13.4M-62.2K0.0511.30N/AN/A22,9971,13545,45810,305
2020-08-13$12.09$11.0025.6%7.3%16.8%30.9%27.4%-4.7%1.6%4.1M-23.4M-68.1K0.089.09N/AN/A14,5121,21348,36910,939
2020-08-14$12.09$12.0025.1%7.2%16.6%30.1%26.2%-9.0%1.2%4.2M-23.8M-68.2K0.0511.06N/AN/A5,25224947,09611,894
2020-08-17$12.27$12.0026.9%7.7%16.9%33.3%27.1%-9.1%-0.2%1.8M-33.2M-58.1K0.069.42N/AN/A6,25839646,84312,024
2020-08-18$12.21$12.0023.3%6.7%16.5%27.0%25.0%-6.2%2.1%2.4M-24.9M-66.4K0.019.58N/AN/A7,0818747,10012,295
2020-08-19$12.12$12.0023.3%6.7%16.6%27.0%23.9%2.7%1.9%5.2M-26.9M-60.6K0.0414.39N/AN/A2,66910445,07712,341
2020-08-20$12.12$12.0020.0%5.7%16.6%21.2%21.1%-6.5%4.8%5.0M-25.9M-58.5K0.178.40N/AN/A2,61143144,54112,412
2020-08-21$12.15$12.0020.2%5.8%16.6%21.6%20.5%-6.2%3.8%393.6K-25.7M-57.2K0.069.91N/AN/A3,93624842,10212,750
2020-08-24$12.28$12.0022.1%6.3%16.9%24.9%25.3%-7.7%2.0%370.8K-7.9M-57.6K0.088.83N/AN/A9867420,0366,653
2020-08-25$12.56$12.0028.9%8.3%17.6%36.8%27.8%-4.0%-1.6%412.1K-10.2M-61.3K0.028.05N/AN/A8,48715820,6146,701
2020-08-26$12.57$12.0027.1%7.8%17.2%33.6%26.5%-6.5%3.6%614.7K-13.8M-76.4K0.039.66N/AN/A3,91510726,5446,815
2020-08-27$12.66$12.0028.8%8.3%17.2%36.5%22.7%1.2%-1.7%690.3K-15.9M-82.2K0.038.47N/AN/A2,2236028,6306,900
2020-08-28$12.70$12.0028.7%8.2%17.1%36.4%21.5%-5.4%0.8%713.6K-16.8M-85.2K0.0210.41N/AN/A3,4757829,7036,928
2020-08-31$12.63$12.0027.8%8.0%17.4%34.9%24.7%-5.4%3.7%719.9K-16.9M-88.0K0.6310.52N/AN/A3,7702,35830,6636,949