CORN Options History — April 2021

In April 2021, CORN traded between $17.27 and $20.80. ATM implied volatility averaged 30.9%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 0.7% (HV 20d: 30.2%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.21.

Notable Days

  • 2021-04-22: Highest Volume — 4,086 contracts
  • 2021-04-09: Largest IV drop — 35.5% change
  • 2021-04-26: Highest IV Rank — 53.5%
  • 2021-04-26: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.77$17.27$20.80$17.32$20.80
Max Pain$14.67$14.00$16.00$16.00$15.00
ATM IV30.9%21.5%40.3%28.3%37.2%
Expected Move8.7%7.3%11.5%8.1%10.7%
HV 20d30.2%25.5%33.9%30.2%27.0%
HV 60d25.8%23.9%28.2%27.8%26.7%
IV Rank36.0%18.5%53.5%31.2%47.7%
IV Percentile71.0%24.2%98.8%60.3%98.0%
Term Structure0.7%-3.3%5.2%0.1%1.8%
VWIV30.8%24.8%39.8%27.8%37.2%
Skew 25d-4.0%-8.1%1.7%1.7%-1.8%
Skew 10d-8.6%-21.2%1.1%1.1%-10.5%
Call IV 25d33.4%24.3%44.6%24.3%38.6%
Put IV 25d29.4%24.5%37.6%26.0%36.7%
Bid-Ask Spread %27.729.0257.2422.8933.63
Gamma HHI0.200.150.240.210.15
Net GEX686.3K621.2K761.1K642.4K713.9K
Net DEX-29.0M-40.9M-20.2M-20.8M-40.1M
Net VEX-94.1K-104.4K-87.5K-87.7K-102.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.021.080.190.08
Total Volume1,777.3331694,0861,2412,162
Total OI29,650.23827,08833,95727,08833,656

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-04-01$17.32$16.0028.3%8.1%30.2%31.2%27.8%1.7%0.1%642.4K-20.8M-87.7K0.1922.89N/AN/A1,04419722,8264,262
2021-04-05$17.34$14.0027.4%7.8%29.3%29.5%28.6%-4.9%-0.1%644.5K-20.6M-87.6K0.1628.80N/AN/A1662722,9574,404
2021-04-06$17.27$14.0030.1%7.4%29.3%34.6%28.0%-3.0%1.0%665.6K-20.2M-88.1K0.5019.14N/AN/A1135623,1114,423
2021-04-07$17.34$14.0029.5%7.5%29.3%33.4%28.2%-2.3%1.3%659.1K-20.4M-87.8K0.0428.22N/AN/A191723,1374,468
2021-04-08$17.77$14.0033.4%8.1%29.7%40.6%27.8%-1.9%0.4%664.6K-22.7M-87.5K0.0222.79N/AN/A2,3285323,0764,471
2021-04-09$17.77$14.0021.5%7.6%29.7%18.5%24.8%-4.6%0.4%733.6K-24.0M-91.5K0.1147.67N/AN/A1,41915523,9404,505
2021-04-12$17.67$14.0026.4%7.7%29.7%27.6%26.4%-2.8%1.8%735.0K-23.2M-89.2K1.0822.76N/AN/A13814923,6464,515
2021-04-13$18.03$14.0032.4%8.0%30.4%38.8%27.5%-6.8%1.1%726.2K-24.8M-88.0K0.4217.82N/AN/A1,27353023,6994,567
2021-04-14$18.37$14.0026.2%7.5%31.0%27.3%27.0%-2.9%-0.1%705.3K-27.2M-89.6K0.1130.89N/AN/A1,21113023,7734,615
2021-04-15$18.39$15.0025.3%7.3%30.9%25.6%25.6%-1.5%5.2%694.8K-27.1M-89.6K0.1645.63N/AN/A90014123,8224,705
2021-04-16$18.35$15.0026.1%7.5%29.6%27.0%26.6%-3.6%1.4%657.1K-26.8M-92.2K0.1041.08N/AN/A4925023,9464,803
2021-04-19$18.59$15.0026.7%7.6%29.8%28.2%25.2%-4.1%2.0%632.2K-26.5M-90.0K0.1521.24N/AN/A1,86927422,9024,375
2021-04-20$18.95$15.0028.3%8.1%30.0%31.2%28.6%-2.6%3.1%635.5K-28.9M-92.4K0.0557.24N/AN/A2,00010423,6324,610
2021-04-21$19.28$15.0030.4%8.7%30.2%35.0%31.8%-0.9%-0.1%676.1K-31.7M-97.1K0.2128.01N/AN/A2,45751924,5964,670
2021-04-22$20.02$15.0034.4%9.9%31.9%42.6%34.6%-5.8%1.6%621.2K-36.0M-97.6K0.1119.34N/AN/A3,68739925,3445,075
2021-04-23$20.02$15.0035.0%10.0%31.7%43.8%38.6%-5.8%-1.2%687.2K-36.6M-102.9K0.0515.47N/AN/A2,75512926,4855,337
2021-04-26$20.64$15.0040.3%11.5%32.5%53.5%39.8%-7.1%-3.3%685.9K-40.9M-102.5K0.099.02N/AN/A3,37331627,4505,430
2021-04-27$20.44$15.0036.4%10.4%32.4%46.3%36.7%-7.8%0.7%752.3K-39.8M-103.8K0.1223.80N/AN/A1,89323328,2195,512
2021-04-28$19.87$15.0036.8%10.6%33.9%47.1%38.8%-6.9%-1.5%761.1K-35.9M-103.7K0.1425.39N/AN/A2,60737328,2365,721
2021-04-29$19.98$15.0036.4%10.4%25.5%46.3%36.8%-8.1%-1.0%718.7K-35.7M-104.4K0.4321.30N/AN/A98342127,7855,949
2021-04-30$20.80$15.0037.2%10.7%27.0%47.7%37.2%-1.8%1.8%713.9K-40.1M-102.5K0.0833.63N/AN/A2,00715527,6955,961