CORN Options History — March 2021 In March 2021, CORN traded between $16.38 and $17.56. ATM implied volatility averaged 28.7%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 9.8% (HV 20d: 18.9%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.16.
Notable Days 2021-03-16 : Highest Volume — 5,168 contracts2021-03-10 : Largest IV spike — 15.3% change2021-03-31 : Highest IV Rank — 37.2%2021-03-31 : Largest Expected Move — 9.0%Monthly Statistics Metric Avg Min Max Open Close Price $17.02 $16.38 $17.56 $16.98 $17.56 Max Pain $16.78 $16.00 $17.00 $17.00 $16.00 ATM IV 28.7% 24.6% 31.5% 27.2% 31.5% Expected Move 8.3% 7.8% 9.0% 7.8% 9.0% HV 20d 18.9% 15.7% 29.7% 20.6% 29.7% HV 60d 23.7% 22.7% 27.8% 22.7% 27.8% IV Rank 32.0% 24.3% 37.2% 29.2% 37.2% IV Percentile 65.5% 40.1% 84.1% 57.1% 84.1% Term Structure 0.1% -2.8% 3.2% 1.8% -2.8% VWIV 29.3% 26.0% 32.4% 26.0% 30.0% Skew 25d -2.7% -10.8% 22.1% -10.8% -4.6% Skew 10d -7.6% -23.6% 66.7% -5.9% -21.6% Call IV 25d 30.9% 21.6% 37.3% 30.5% 32.2% Put IV 25d 28.2% 19.5% 47.8% 19.7% 27.6% Bid-Ask Spread % 43.57 14.94 94.77 29.08 68.55 Gamma HHI 0.21 0.17 0.23 0.17 0.22 Net GEX 539.7K 418.2K 677.2K 436.2K 664.3K Net DEX -18.0M -22.4M -15.9M -16.2M -22.4M Net VEX -80.8K -94.4K -66.3K -70.4K -89.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.16 0.00 1.35 0.04 0.19 Total Volume 1,139.13 379 5,168 664 3,015 Total OI 25,861.13 22,699 31,283 22,699 27,587
Daily Data (23 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 2021-03-01 $16.98 $17.00 27.2% 7.8% 20.6% 29.2% 26.0% -10.8% 1.8% 436.2K -16.2M -70.4K 0.04 29.08 N/A N/A 640 24 18,134 4,565 2021-03-02 $17.18 $17.00 28.1% 8.0% 21.0% 30.8% 27.9% -7.9% 2.7% 418.2K -17.4M -69.5K 0.04 31.08 N/A N/A 642 24 18,406 4,579 2021-03-03 $16.97 $17.00 28.0% 8.0% 21.2% 30.7% 28.7% -8.6% 0.4% 444.0K -16.8M -72.4K 0.08 28.08 N/A N/A 683 58 18,688 4,596 2021-03-04 $16.96 $16.00 27.2% 8.6% 20.9% 29.2% 29.5% -6.0% -0.6% 450.3K -16.7M -74.1K 0.04 68.66 N/A N/A 568 24 18,942 4,576 2021-03-05 $17.32 $16.00 28.0% 8.2% 22.2% 30.6% 28.7% -4.2% -0.7% 488.0K -18.2M -72.0K 0.20 41.66 N/A N/A 428 86 18,902 4,568 2021-03-08 $17.30 $17.00 28.6% 7.9% 22.2% 31.8% 30.1% -5.7% 2.3% 479.1K -18.2M -72.1K 0.24 38.93 N/A N/A 433 103 18,793 4,577 2021-03-09 $17.32 $17.00 24.6% 7.9% 20.7% 24.3% 28.8% -4.2% 0.2% 490.0K -17.4M -74.9K 0.20 34.22 N/A N/A 366 72 18,706 4,607 2021-03-10 $17.01 $17.00 28.3% 8.1% 21.1% 31.3% 29.8% -7.0% 0.1% 458.1K -16.6M -70.2K 0.14 52.56 N/A N/A 1,004 137 18,767 4,653 2021-03-11 $17.15 $17.00 28.5% 8.2% 18.2% 31.5% 28.9% -7.5% -0.2% 461.4K -16.9M -74.1K 0.03 35.00 N/A N/A 899 25 18,954 4,701 2021-03-12 $17.09 $17.00 29.6% 8.5% 18.0% 33.7% 29.1% -2.4% -1.1% 461.6K -16.7M -68.4K 1.35 54.58 N/A N/A 225 304 18,824 4,708 2021-03-15 $17.15 $17.00 28.8% 8.3% 17.9% 32.2% 29.1% -4.0% 0.8% 444.7K -16.7M -69.3K 0.18 56.88 N/A N/A 446 81 18,894 5,003 2021-03-16 $17.21 $16.00 27.9% 8.0% 16.3% 30.5% 28.3% -5.5% -0.1% 418.3K -17.2M -66.3K 0.02 51.54 N/A N/A 5,090 78 18,916 5,070 2021-03-17 $17.18 $17.00 27.8% 8.0% 16.3% 30.3% 29.2% -5.0% 1.8% 555.1K -19.7M -86.4K 0.03 77.36 N/A N/A 1,397 41 23,326 5,089 2021-03-18 $16.82 $17.00 28.7% 8.2% 17.9% 32.0% 28.2% -10.7% 1.9% 575.1K -17.6M -88.5K 0.08 62.06 N/A N/A 2,626 207 24,455 5,056 2021-03-19 $16.97 $17.00 27.9% 8.0% 18.1% 30.5% 28.5% -4.7% 3.2% 590.3K -19.7M -93.8K 0.07 16.04 N/A N/A 810 58 26,178 5,105 2021-03-22 $16.88 $17.00 29.5% 8.5% 16.8% 33.5% 29.2% -0.3% 0.5% 660.6K -19.5M -94.2K 0.12 47.99 N/A N/A 790 98 24,410 3,786 2021-03-23 $16.89 $17.00 29.4% 8.4% 16.8% 33.4% 29.6% 0.7% -0.9% 675.6K -19.6M -94.4K 0.15 18.70 N/A N/A 482 70 24,491 3,776 2021-03-24 $16.88 $17.00 30.8% 8.8% 16.3% 35.9% 32.4% 1.6% -1.1% 673.7K -19.7M -93.1K 0.00 33.25 N/A N/A 378 1 24,529 3,823 2021-03-25 $16.79 $17.00 29.8% 8.5% 15.9% 34.0% 29.9% 1.0% -1.2% 677.2K -18.8M -92.9K 0.19 14.94 N/A N/A 785 147 24,412 3,822 2021-03-26 $16.84 $17.00 29.8% 8.6% 16.0% 34.1% 30.3% 3.0% -1.6% 647.9K -18.6M -90.6K 0.16 18.08 N/A N/A 366 58 23,867 3,964 2021-03-29 $16.66 $17.00 30.5% 8.7% 15.7% 35.3% 31.0% 7.3% -0.4% 625.5K -17.9M -90.1K 0.07 28.04 N/A N/A 592 44 24,038 3,950 2021-03-30 $16.38 $16.00 29.5% 8.5% 15.9% 33.5% 29.5% 22.1% -1.8% 618.9K -15.9M -92.0K 0.15 94.77 N/A N/A 1,557 238 24,062 3,951 2021-03-31 $17.56 $16.00 31.5% 9.0% 29.7% 37.2% 30.0% -4.6% -2.8% 664.3K -22.4M -89.8K 0.19 68.55 N/A N/A 2,532 483 23,532 4,055
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