CORN Options History — May 2021

In May 2021, CORN traded between $19.30 and $22.90. ATM implied volatility averaged 41.7%, placing in the 56.2% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 4.8% (HV 20d: 36.9%). Max pain ranged from $15.00 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.24.

Notable Days

  • 2021-05-06: Highest Volume — 7,873 contracts
  • 2021-05-27: Largest IV spike — 14.8% change
  • 2021-05-06: Highest IV Rank — 66.9%
  • 2021-05-11: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.85$19.30$22.90$20.79$20.30
Max Pain$18.00$15.00$19.00$15.00$18.00
ATM IV41.7%35.5%47.4%40.3%39.0%
Expected Move11.9%10.2%12.9%11.5%11.2%
HV 20d36.9%27.0%44.6%27.0%42.4%
HV 60d30.1%26.7%34.0%26.7%34.0%
IV Rank56.2%44.6%66.9%53.5%51.1%
IV Percentile96.1%90.1%99.2%98.4%91.7%
Term Structure-1.3%-4.3%4.2%-3.0%1.8%
VWIV42.2%36.8%45.1%40.6%39.5%
Skew 25d-3.8%-6.5%-0.8%-4.4%-2.7%
Skew 10d-10.8%-18.8%-0.3%-14.7%-0.3%
Call IV 25d44.1%40.3%48.6%43.2%41.2%
Put IV 25d40.3%37.1%42.8%38.8%38.4%
Bid-Ask Spread %28.2511.2468.7221.9317.36
Gamma HHI0.130.110.150.150.13
Net GEX626.1K535.9K717.4K709.9K616.5K
Net DEX-36.1M-51.0M-22.1M-40.1M-29.2M
Net VEX-126.0K-138.6K-98.4K-98.4K-130.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.080.600.090.34
Total Volume3,284.28257,8732,816825
Total OI39,370.0533,60744,11433,60737,310

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$20.79$15.0040.3%11.5%27.0%53.5%40.6%-4.4%-3.0%709.9K-40.1M-98.4K0.0921.93N/AN/A2,57424227,5446,063
2021-05-04$21.44$15.0041.9%12.0%27.6%56.5%42.2%-0.8%-1.8%635.2K-42.7M-100.0K0.0814.85N/AN/A3,73229127,5286,225
2021-05-05$21.97$15.0042.9%12.3%27.9%58.3%43.1%-2.4%-1.8%690.8K-48.0M-110.8K0.0814.80N/AN/A6,12646630,0556,437
2021-05-06$22.65$18.0047.4%12.8%28.3%66.9%43.8%-5.2%-3.4%637.3K-49.1M-104.8K0.3159.49N/AN/A6,0091,86428,8256,803
2021-05-07$22.90$18.0044.5%12.6%28.0%61.4%44.1%-4.7%-2.9%664.1K-51.0M-123.5K0.4916.50N/AN/A2,1861,06830,5878,441
2021-05-10$22.10$18.0046.4%12.7%32.3%64.9%45.1%-5.7%-3.5%686.6K-46.3M-131.7K0.2728.74N/AN/A2,57570731,3469,345
2021-05-11$22.28$18.0045.6%12.9%32.1%63.4%44.8%-6.5%-4.2%697.0K-47.4M-134.1K0.1526.07N/AN/A2,83942931,8789,745
2021-05-12$21.70$18.0040.8%11.7%34.5%54.5%43.4%-4.4%-0.8%717.4K-43.3M-137.0K0.2268.72N/AN/A2,40151932,5009,884
2021-05-13$20.59$19.0040.3%11.6%40.7%53.6%41.9%-5.1%0.5%625.5K-35.1M-138.6K0.2463.21N/AN/A3,00772832,66210,116
2021-05-14$19.93$19.0042.5%12.2%42.8%57.8%43.0%-4.2%-4.3%552.6K-30.3M-138.6K0.1438.54N/AN/A4,96068332,97410,136
2021-05-17$19.90$19.0041.9%12.0%42.7%56.5%43.0%-6.2%-1.4%535.9K-28.9M-128.6K0.1728.80N/AN/A3,10351231,86910,332
2021-05-18$20.20$19.0042.1%12.1%42.5%57.0%44.3%-3.6%-1.0%590.2K-31.9M-132.0K0.2425.64N/AN/A1,89444732,82910,341
2021-05-19$20.16$19.0042.4%12.1%42.3%57.4%43.2%-2.6%-1.2%587.9K-32.0M-136.9K0.2511.49N/AN/A2,14554433,68910,425
2021-05-20$20.42$19.0040.5%11.6%40.4%54.0%40.9%-4.5%0.2%626.0K-33.9M-132.8K0.1319.03N/AN/A1,70523033,37310,387
2021-05-21$20.20$19.0040.3%11.6%40.6%53.7%41.5%-0.9%-0.5%618.2K-32.5M-133.7K0.1316.71N/AN/A1,01213133,61810,435
2021-05-24$20.05$19.0040.6%11.6%39.1%54.2%41.3%-1.2%-0.3%598.4K-26.4M-129.8K0.3718.33N/AN/A98836128,0007,530
2021-05-25$19.30$19.0038.3%11.0%41.1%49.9%41.9%-3.8%-2.9%541.7K-22.1M-128.1K0.1511.24N/AN/A2,15632627,9347,811
2021-05-26$19.47$18.0035.5%10.2%40.2%44.6%36.8%-3.2%4.2%575.5K-22.9M-124.4K0.6011.37N/AN/A1,35581028,2517,957
2021-05-27$20.55$18.0040.7%11.7%44.6%54.4%39.6%-3.3%0.4%615.0K-30.0M-125.6K0.3452.24N/AN/A2,77995528,0678,149
2021-05-28$20.30$18.0039.0%11.2%42.4%51.1%39.5%-2.7%1.8%616.5K-29.2M-130.0K0.3417.36N/AN/A61521028,8188,492