CORN Options History — February 2021

In February 2021, CORN traded between $16.60 and $17.48. ATM implied volatility averaged 30.1%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 2.1% (HV 20d: 28.0%). Max pain ranged from $14.00 to $17.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.18.

Notable Days

  • 2021-02-10: Highest Volume — 4,041 contracts
  • 2021-02-09: Largest IV spike — 34.4% change
  • 2021-02-10: Highest IV Rank — 47.1%
  • 2021-02-05: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.05$16.60$17.48$16.95$17.22
Max Pain$15.53$14.00$17.00$14.00$17.00
ATM IV30.1%23.0%35.2%34.0%27.0%
Expected Move9.1%7.4%11.1%9.7%7.8%
HV 20d28.0%20.4%33.4%32.0%21.0%
HV 60d22.2%21.3%22.9%21.5%22.6%
IV Rank36.1%25.6%47.1%45.2%28.8%
IV Percentile74.6%39.7%96.4%94.4%56.0%
Term Structure2.0%-3.3%13.1%4.0%3.4%
VWIV30.9%22.4%35.1%33.8%22.4%
Skew 25d-8.0%-18.8%3.1%3.1%-8.7%
Skew 10d-15.3%-24.0%0.9%-22.0%-17.7%
Call IV 25d36.1%31.1%41.7%36.5%31.1%
Put IV 25d28.1%21.1%39.6%39.6%22.4%
Bid-Ask Spread %56.5728.6895.5093.1649.94
Gamma HHI0.290.180.770.230.18
Net GEX622.7K381.4K2.0M500.3K414.0K
Net DEX-21.5M-25.2M-16.8M-22.9M-17.5M
Net VEX-74.7K-84.2K-66.9K-70.7K-73.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.020.700.590.02
Total Volume1,444.8953434,0411,464620
Total OI31,773.94721,45237,67433,08222,827

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$16.95$14.0034.0%9.7%32.0%45.2%33.8%3.1%4.0%500.3K-22.9M-70.7K0.5993.16N/AN/A92154322,75410,328
2021-02-02$16.80$14.0032.1%9.2%32.4%42.0%33.3%-8.6%4.3%518.4K-22.2M-66.9K0.1191.86N/AN/A3103322,90010,370
2021-02-03$16.97$14.0031.6%9.1%32.2%41.1%29.3%0.1%5.4%529.7K-22.1M-78.0K0.1257.82N/AN/A99811722,74210,398
2021-02-04$16.94$16.0025.2%9.5%32.3%29.8%29.3%-18.8%-1.1%550.1K-21.9M-69.7K0.2095.50N/AN/A4498922,53410,473
2021-02-05$16.97$15.0028.9%11.1%32.3%36.1%32.9%-8.7%-0.4%530.7K-22.5M-74.0K0.0737.04N/AN/A5813822,75710,522
2021-02-08$17.35$15.0023.0%9.3%32.9%25.6%35.1%-16.9%0.8%546.5K-24.3M-69.8K0.4953.38N/AN/A1,28662422,73010,550
2021-02-09$17.10$16.0030.9%9.3%33.4%39.5%31.9%-5.3%-1.2%504.7K-22.5M-74.4K0.1459.13N/AN/A1,59122922,72011,079
2021-02-10$16.60$15.0035.2%10.1%28.1%47.1%34.5%-9.8%-3.3%525.9K-20.0M-70.6K0.0753.89N/AN/A3,78725423,20311,194
2021-02-11$16.77$15.0033.4%9.6%28.3%40.6%33.3%-4.7%-0.6%679.7K-22.3M-84.2K0.1156.14N/AN/A1,12412625,85311,291
2021-02-12$16.70$15.0033.2%9.5%27.5%40.3%31.4%-7.3%-0.4%691.4K-22.9M-78.3K0.2065.88N/AN/A1,00719826,31311,361
2021-02-16$17.06$15.0034.1%9.8%28.6%41.9%32.1%-6.6%-1.8%709.2K-25.2M-75.7K0.0945.93N/AN/A1,87217426,04611,476
2021-02-17$17.12$16.0033.2%9.5%28.2%40.4%34.0%-3.8%-2.9%733.9K-24.7M-78.1K0.1858.43N/AN/A1,67229825,84911,601
2021-02-18$17.08$16.0030.6%8.8%27.8%35.5%30.2%-10.5%4.5%775.8K-24.8M-77.8K0.0235.59N/AN/A2,1765225,79711,651
2021-02-19$16.96$16.0028.6%8.2%27.9%31.8%29.8%-7.8%4.2%2.0M-23.0M-77.5K0.0356.04N/AN/A2,4817725,78211,670
2021-02-22$17.27$16.0029.5%8.4%23.0%33.4%28.7%-5.9%1.4%405.7K-16.8M-75.0K0.7056.22N/AN/A79355617,4903,962
2021-02-23$17.32$16.0027.6%7.9%22.5%29.9%28.9%-12.3%13.1%381.4K-17.4M-74.6K0.0946.52N/AN/A1,0389517,6944,472
2021-02-24$17.48$17.0025.8%7.4%20.4%26.6%27.8%-9.9%5.8%409.8K-18.1M-77.4K0.0933.72N/AN/A7596818,0594,517
2021-02-25$17.27$17.0027.4%7.9%21.0%29.5%28.8%-10.3%2.3%419.6K-17.4M-73.1K0.0428.68N/AN/A4021518,1764,564
2021-02-26$17.22$17.0027.0%7.8%21.0%28.8%22.4%-8.7%3.4%414.0K-17.5M-73.3K0.0249.94N/AN/A6071318,2504,577