CORN Options History — October 2020 In October 2020, CORN traded between $13.15 and $13.82. ATM implied volatility averaged 18.1%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.9% (HV 20d: 15.2%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.15.
Notable Days 2020-10-09 : Highest Volume — 2,292 contracts2020-10-05 : Largest IV spike — 43.3% change2020-10-06 : Highest IV Rank — 28.1%2020-10-15 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $13.47 $13.15 $13.82 $13.23 $13.34 Max Pain $13.00 $13.00 $13.00 $13.00 $13.00 ATM IV 18.1% 13.4% 23.9% 20.2% 17.5% Expected Move 5.4% 4.2% 6.5% 5.8% 5.0% HV 20d 15.2% 13.2% 16.8% 16.6% 14.1% HV 60d 15.3% 14.6% 17.3% 17.3% 15.4% IV Rank 17.9% 9.7% 28.1% 21.5% 16.9% IV Percentile 32.6% 11.1% 54.4% 40.9% 31.7% Term Structure 6.0% -1.3% 40.9% 1.2% 1.0% VWIV 18.6% 14.8% 21.9% 21.3% 21.9% Skew 25d -6.0% -11.7% -0.9% -6.0% -7.9% Skew 10d -10.0% -14.1% 0.8% -9.2% -3.9% Call IV 25d 22.0% 16.4% 26.5% 26.5% 22.2% Put IV 25d 16.1% 11.3% 20.5% 20.5% 14.3% Bid-Ask Spread % 32.98 13.24 77.19 45.30 25.07 Gamma HHI 0.28 0.25 0.33 0.25 0.28 Net GEX 458.3K 342.1K 613.0K 342.1K 419.9K Net DEX -18.9M -22.1M -14.5M -15.9M -15.9M Net VEX -101.8K -119.0K -88.5K -119.0K -94.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.15 0.01 0.53 0.04 0.01 Total Volume 912.409 248 2,292 936 425 Total OI 54,931.636 51,567 57,936 56,511 52,862
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-10-01 $13.23 $13.00 20.2% 5.8% 16.6% 21.5% 21.3% -6.0% 1.2% 342.1K -15.9M -119.0K 0.04 45.30 N/A N/A 896 40 32,982 23,529 2020-10-02 $13.15 $13.00 14.5% 4.2% 16.4% 11.6% 14.8% -0.9% 6.6% 388.6K -15.4M -117.2K 0.53 39.22 N/A N/A 279 147 33,081 23,501 2020-10-05 $13.18 $13.00 20.8% 5.6% 16.2% 22.5% 21.8% -7.3% 4.0% 375.6K -15.5M -115.1K 0.13 28.27 N/A N/A 1,001 130 33,154 23,463 2020-10-06 $13.27 $13.00 23.9% 5.8% 16.1% 28.1% 18.3% -7.2% 3.4% 391.1K -17.3M -114.6K 0.17 37.12 N/A N/A 940 156 33,744 23,559 2020-10-07 $13.38 $13.00 13.6% 5.5% 16.1% 10.1% 19.9% -6.2% 2.5% 461.8K -20.0M -111.4K 0.09 40.90 N/A N/A 1,147 105 33,963 23,632 2020-10-08 $13.31 $13.00 15.7% 5.5% 16.0% 13.7% 20.0% -5.4% 3.5% 422.6K -17.9M -111.0K 0.37 28.51 N/A N/A 674 247 33,807 23,726 2020-10-09 $13.47 $13.00 15.4% 5.5% 16.2% 13.2% 17.9% -2.9% 2.4% 464.6K -21.0M -109.6K 0.04 38.78 N/A N/A 2,195 97 34,078 23,750 2020-10-12 $13.32 $13.00 13.4% 5.3% 16.8% 9.7% 16.9% -4.0% 2.7% 395.1K -18.7M -106.4K 0.01 41.37 N/A N/A 874 7 34,213 23,723 2020-10-13 $13.39 $13.00 15.3% 4.8% 16.6% 13.0% 18.3% -4.0% 2.8% 384.8K -19.1M -105.1K 0.08 13.24 N/A N/A 229 19 33,887 23,717 2020-10-14 $13.43 $13.00 17.8% 5.1% 16.4% 17.4% 17.7% -4.7% 0.5% 417.2K -19.1M -104.7K 0.06 14.10 N/A N/A 661 38 33,841 23,722 2020-10-15 $13.57 $13.00 22.7% 6.5% 16.7% 25.8% 18.9% -6.7% 30.7% 483.3K -21.1M -101.1K 0.06 13.50 N/A N/A 760 49 33,819 23,725 2020-10-16 $13.57 $13.00 20.2% 5.8% 16.3% 21.5% 17.7% -5.3% 1.0% 479.9K -21.2M -99.5K 0.23 16.61 N/A N/A 745 175 33,962 23,758 2020-10-19 $13.64 $13.00 20.1% 5.8% 14.4% 21.4% 18.9% -11.3% 3.8% 454.1K -19.8M -97.8K 0.51 40.83 N/A N/A 525 270 31,563 20,004 2020-10-20 $13.73 $13.00 19.7% 5.6% 14.3% 20.7% 19.6% -2.8% 1.5% 527.9K -20.5M -97.5K 0.28 43.58 N/A N/A 695 196 31,605 20,203 2020-10-21 $13.81 $13.00 19.1% 5.5% 14.2% 19.7% 18.8% -10.2% -0.9% 553.0K -22.1M -93.5K 0.07 14.30 N/A N/A 1,332 95 31,575 20,238 2020-10-22 $13.81 $13.00 18.6% 5.3% 13.2% 18.9% 18.8% -9.7% 5.6% 580.3K -21.6M -91.6K 0.15 31.51 N/A N/A 501 73 31,460 20,272 2020-10-23 $13.82 $13.00 18.0% 5.1% 13.2% 17.7% 15.2% -7.0% 5.5% 613.0K -21.8M -88.9K 0.05 39.89 N/A N/A 289 15 31,466 20,309 2020-10-26 $13.73 $13.00 20.2% 5.8% 13.7% 21.5% 19.7% -11.7% 9.5% 543.7K -21.3M -89.9K 0.19 40.98 N/A N/A 658 122 31,589 20,320 2020-10-27 $13.68 $13.00 17.1% 4.9% 13.7% 16.2% 17.1% -3.6% 5.1% 592.0K -20.8M -88.5K 0.04 14.76 N/A N/A 1,024 38 31,709 20,423 2020-10-28 $13.33 $13.00 17.7% 5.1% 14.2% 17.2% 18.6% -3.4% 40.9% 413.7K -15.0M -91.6K 0.04 77.19 N/A N/A 1,288 53 31,664 20,434 2020-10-29 $13.23 $13.00 16.8% 4.8% 14.0% 15.6% 16.9% -3.3% -1.3% 377.8K -14.5M -91.0K 0.24 40.51 N/A N/A 696 167 32,031 20,433 2020-10-30 $13.34 $13.00 17.5% 5.0% 14.1% 16.9% 21.9% -7.9% 1.0% 419.9K -15.9M -94.7K 0.01 25.07 N/A N/A 419 6 32,425 20,437
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