CORN Options History — June 2021 In June 2021, CORN traded between $19.21 and $22.45. ATM implied volatility averaged 42.8%, placing in the 58.3% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 0.6% (HV 20d: 43.4%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.30.
Notable Days 2021-06-17 : Highest Volume — 5,742 contracts2021-06-25 : Largest IV spike — 10.8% change2021-06-18 : Highest IV Rank — 63.4%2021-06-18 : Largest Expected Move — 13.1%Monthly Statistics Metric Avg Min Max Open Close Price $20.87 $19.21 $22.45 $21.10 $21.39 Max Pain $19.18 $18.00 $20.00 $18.00 $19.00 ATM IV 42.8% 38.7% 45.6% 40.5% 45.2% Expected Move 12.4% 11.4% 13.1% 11.6% 13.0% HV 20d 43.4% 35.7% 49.9% 44.7% 49.9% HV 60d 37.6% 34.6% 41.5% 34.6% 41.5% IV Rank 58.3% 50.7% 63.4% 54.0% 62.7% IV Percentile 95.1% 89.3% 98.4% 93.7% 96.4% Term Structure -2.4% -8.3% 1.5% 0.3% 0.0% VWIV 43.4% 40.3% 48.9% 40.5% 48.9% Skew 25d -3.1% -7.3% -0.1% -2.0% -1.8% Skew 10d -5.9% -29.5% 12.3% -4.2% -29.5% Call IV 25d 45.9% 42.3% 52.1% 43.1% 52.1% Put IV 25d 42.8% 39.0% 50.3% 41.2% 50.3% Bid-Ask Spread % 37.17 20.11 90.20 26.79 90.20 Gamma HHI 0.13 0.11 0.15 0.13 0.12 Net GEX 648.5K 414.4K 805.7K 675.6K 737.9K Net DEX -31.1M -42.8M -18.8M -34.7M -33.8M Net VEX -121.3K -128.2K -113.5K -128.2K -117.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.30 0.05 0.64 0.18 0.28 Total Volume 1,973.636 526 5,742 2,160 2,801 Total OI 38,158.955 35,767 41,321 37,617 38,738
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 2021-06-01 $21.10 $18.00 40.5% 11.6% 44.7% 54.0% 40.5% -2.0% 0.3% 675.6K -34.7M -128.2K 0.18 26.79 N/A N/A 1,826 334 29,052 8,565 2021-06-02 $20.95 $18.00 41.3% 11.8% 43.4% 55.5% 40.5% -3.2% 0.0% 658.0K -33.5M -126.4K 0.27 22.84 N/A N/A 592 160 29,341 8,755 2021-06-03 $20.71 $18.00 41.0% 11.4% 42.4% 54.8% 41.5% -5.9% 1.5% 640.3K -32.0M -126.1K 0.29 51.92 N/A N/A 408 118 29,328 8,792 2021-06-04 $21.43 $18.00 38.7% 13.0% 42.8% 50.7% 45.0% -7.0% -3.6% 692.1K -36.2M -124.1K 0.05 51.17 N/A N/A 1,601 79 29,373 8,791 2021-06-07 $21.86 $18.00 41.7% 12.1% 43.3% 56.1% 43.0% -4.9% -2.3% 741.4K -40.2M -124.2K 0.14 66.38 N/A N/A 1,533 211 29,951 8,813 2021-06-08 $22.19 $18.00 39.9% 12.7% 41.9% 52.9% 40.3% -3.3% -3.8% 785.8K -42.4M -124.2K 0.11 36.57 N/A N/A 1,942 207 30,299 8,941 2021-06-09 $22.20 $19.00 44.0% 12.6% 41.7% 60.5% 43.9% -4.6% -3.0% 782.7K -42.3M -125.9K 0.22 26.51 N/A N/A 1,273 277 30,463 8,964 2021-06-10 $22.45 $19.00 43.5% 12.5% 40.7% 59.4% 41.8% -2.8% -3.3% 805.7K -42.8M -123.9K 0.46 33.46 N/A N/A 1,162 540 30,020 9,098 2021-06-11 $22.24 $20.00 42.9% 12.3% 35.7% 58.4% 41.6% -2.2% -3.0% 795.9K -40.1M -124.9K 0.43 33.28 N/A N/A 1,159 496 29,717 9,452 2021-06-14 $21.32 $20.00 43.1% 12.4% 37.1% 58.8% 43.7% -0.5% -2.5% 719.8K -33.6M -123.0K 0.12 24.59 N/A N/A 2,685 334 29,403 9,655 2021-06-15 $21.07 $20.00 42.4% 12.2% 37.5% 57.5% 43.6% -3.8% -2.7% 665.7K -30.3M -118.8K 0.36 32.52 N/A N/A 1,141 409 28,853 9,809 2021-06-16 $20.97 $20.00 43.9% 12.6% 37.3% 60.3% 41.1% -0.1% -6.6% 684.0K -30.5M -118.3K 0.64 39.41 N/A N/A 364 232 29,271 10,125 2021-06-17 $19.61 $20.00 42.8% 12.3% 44.6% 58.2% 44.6% -3.5% -0.7% 414.4K -21.1M -116.8K 0.25 49.55 N/A N/A 4,605 1,137 29,456 10,116 2021-06-18 $20.59 $20.00 45.6% 13.1% 47.9% 63.4% 45.5% -1.3% -2.8% 552.4K -28.6M -125.0K 0.21 35.83 N/A N/A 2,967 619 31,308 10,013 2021-06-21 $20.47 $20.00 45.4% 13.0% 47.7% 63.0% 45.0% -2.6% -4.1% 563.1K -26.4M -121.3K 0.29 42.13 N/A N/A 1,020 291 27,160 8,607 2021-06-22 $19.88 $20.00 42.2% 12.1% 48.8% 57.1% 42.8% -1.8% 0.2% 548.9K -23.2M -120.0K 0.32 27.56 N/A N/A 1,032 331 27,445 8,644 2021-06-23 $19.75 $20.00 42.4% 12.2% 46.8% 57.5% 44.0% -7.3% -1.5% 540.5K -22.4M -118.5K 0.41 21.58 N/A N/A 1,167 477 27,348 8,726 2021-06-24 $19.77 $20.00 40.8% 11.7% 46.8% 54.5% 46.1% -3.7% 0.9% 534.3K -21.8M -117.0K 0.29 23.54 N/A N/A 1,444 418 27,312 8,792 2021-06-25 $19.21 $19.00 45.2% 13.0% 43.4% 62.7% 43.2% -2.5% -8.3% 507.6K -18.8M -113.5K 0.58 34.93 N/A N/A 835 486 27,584 8,875 2021-06-28 $20.05 $19.00 44.3% 12.7% 46.2% 61.1% 42.4% -2.1% -2.0% 589.7K -23.7M -113.5K 0.15 26.79 N/A N/A 2,125 317 27,765 8,639 2021-06-29 $20.04 $19.00 45.5% 13.1% 43.8% 63.3% 45.4% -0.5% -4.5% 631.8K -25.4M -116.4K 0.50 20.11 N/A N/A 1,510 755 29,308 8,830 2021-06-30 $21.39 $19.00 45.2% 13.0% 49.9% 62.7% 48.9% -1.8% 0.0% 737.9K -33.8M -117.7K 0.28 90.20 N/A N/A 2,192 609 29,708 9,030
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