CORN Options History — September 2020

In September 2020, CORN traded between $12.53 and $13.18. ATM implied volatility averaged 26.6%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 12.6% (HV 20d: 14.1%). Max pain ranged from $12.00 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 0.67.

Notable Days

  • 2020-09-11: Highest Volume — 10,524 contracts
  • 2020-09-09: Largest IV spike — 19.1% change
  • 2020-09-10: Highest IV Rank — 44.6%
  • 2020-09-10: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.83$12.53$13.18$12.62$13.10
Max Pain$12.00$12.00$12.00$12.00$12.00
ATM IV26.6%20.2%33.4%30.5%20.2%
Expected Move7.7%5.8%9.6%8.7%5.8%
HV 20d14.1%11.9%16.4%15.4%16.4%
HV 60d18.4%16.3%19.2%18.9%17.2%
IV Rank32.8%21.6%44.6%39.5%21.6%
IV Percentile68.7%41.3%94.4%86.9%41.3%
Term Structure0.5%-1.5%3.3%2.8%0.8%
VWIV26.1%18.7%34.8%28.0%19.4%
Skew 25d-6.7%-16.2%-1.5%-10.7%-8.6%
Skew 10d-6.6%-14.2%1.2%1.2%-13.0%
Call IV 25d27.9%19.6%33.1%27.2%27.5%
Put IV 25d21.2%13.7%28.4%16.4%19.0%
Bid-Ask Spread %22.458.8561.579.0721.96
Gamma HHI0.440.270.690.470.27
Net GEX619.9K219.9K1.9M640.1K347.0K
Net DEX-17.2M-23.4M-11.6M-16.7M-16.0M
Net VEX-109.4K-119.3K-96.6K-96.6K-116.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.013.390.480.36
Total Volume2,680.90578910,5244,1434,343
Total OI50,903.90541,35358,77341,35357,060

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$12.62$12.0030.5%8.7%15.4%39.5%28.0%-10.7%2.8%640.1K-16.7M-96.6K0.489.07N/AN/A2,7971,34632,2919,062
2020-09-02$12.65$12.0031.1%8.9%15.4%40.6%34.8%-16.2%0.3%680.8K-16.9M-101.5K0.0313.08N/AN/A7682133,68110,328
2020-09-03$12.53$12.0027.6%8.3%16.1%34.4%29.0%-6.1%2.1%656.5K-16.2M-100.1K0.0127.65N/AN/A2,1322533,58310,322
2020-09-04$12.64$12.0026.6%8.8%15.6%32.7%30.2%-8.0%1.6%664.3K-17.1M-101.0K0.0861.57N/AN/A1,26710533,67110,311
2020-09-08$12.76$12.0027.7%8.5%15.7%34.7%30.2%-1.5%1.0%744.4K-18.6M-99.4K1.0345.13N/AN/A1,3371,37434,00510,374
2020-09-09$12.72$12.0033.0%9.5%15.9%43.9%32.7%-5.9%-1.3%698.6K-17.8M-104.8K0.0254.36N/AN/A1,2732634,83911,686
2020-09-10$12.85$12.0033.4%9.6%16.0%44.6%28.6%-3.1%3.3%692.3K-18.5M-103.3K0.1649.51N/AN/A1,25220234,41411,699
2020-09-11$12.97$12.0028.7%8.2%12.8%36.4%19.3%-3.4%0.3%801.0K-20.9M-101.4K1.7634.46N/AN/A3,8176,70734,79411,898
2020-09-14$12.93$12.0028.5%8.2%12.9%36.0%28.1%-3.1%-0.7%757.4K-20.4M-112.2K0.2211.15N/AN/A1,75938236,66717,791
2020-09-15$12.85$12.0026.3%7.5%12.6%32.2%27.0%-3.6%0.5%789.4K-19.7M-113.3K1.4115.00N/AN/A1,4131,99637,64518,130
2020-09-16$12.96$12.0025.2%7.2%12.5%30.2%23.8%-11.4%0.9%1.3M-20.5M-115.4K0.1518.42N/AN/A1,53923038,45220,075
2020-09-17$13.03$12.0027.3%7.8%11.9%33.9%27.7%-11.2%-1.5%1.9M-21.5M-116.7K0.0313.57N/AN/A2,9027938,67020,103
2020-09-18$13.18$12.0024.3%7.0%12.1%28.7%25.3%-11.8%1.1%547.5K-23.4M-119.3K0.0610.76N/AN/A4,13523438,59220,170
2020-09-21$12.93$12.0026.7%7.6%14.7%32.9%27.0%-2.1%-1.5%316.6K-15.9M-116.2K0.1214.08N/AN/A2,23327233,58017,967
2020-09-22$12.90$12.0024.3%7.0%14.5%28.8%23.5%-9.0%0.6%292.5K-15.0M-114.4K0.1510.58N/AN/A1,18517633,13018,143
2020-09-23$12.86$12.0026.6%7.6%12.6%32.7%24.9%-2.3%-1.1%274.2K-15.0M-112.0K0.2512.38N/AN/A1,07426733,49118,305
2020-09-24$12.72$12.0025.6%7.3%13.3%30.9%24.9%-7.6%-0.7%229.1K-12.4M-113.9K0.278.85N/AN/A1,23133433,68218,542
2020-09-25$12.73$12.0022.8%6.5%13.1%26.1%22.6%-6.9%1.0%256.8K-13.3M-113.0K1.959.45N/AN/A6821,33234,08818,515
2020-09-28$12.78$12.0022.9%6.6%13.1%26.2%21.5%-4.1%-0.7%254.8K-13.2M-112.6K2.2412.28N/AN/A6111,36734,15919,698
2020-09-29$12.73$12.0020.3%5.8%13.0%21.8%18.7%-4.5%1.9%219.9K-11.6M-114.1K3.3918.22N/AN/A4721,60234,39020,979
2020-09-30$13.10$12.0020.2%5.8%16.4%21.6%19.4%-8.6%0.8%347.0K-16.0M-116.4K0.3621.96N/AN/A3,1861,15734,50922,551