CORN Options History — July 2021

In July 2021, CORN traded between $19.15 and $21.34. ATM implied volatility averaged 39.0%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 6.8% (HV 20d: 45.7%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2021-07-06: Highest Volume — 2,438 contracts
  • 2021-07-28: Largest IV drop — 15.2% change
  • 2021-07-06: Highest IV Rank — 68.0%
  • 2021-07-01: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.24$19.15$21.34$21.34$20.12
Max Pain$18.10$18.00$19.00$19.00$18.00
ATM IV39.0%29.3%48.0%44.6%31.0%
Expected Move10.7%8.4%12.8%12.8%8.9%
HV 20d45.7%31.6%53.2%49.7%32.0%
HV 60d42.9%41.4%44.0%41.5%41.4%
IV Rank51.1%33.0%68.0%61.5%36.3%
IV Percentile82.0%54.0%99.2%96.0%63.9%
Term Structure-1.0%-4.4%2.7%-0.1%-1.6%
VWIV38.0%30.1%46.2%46.2%35.6%
Skew 25d-2.7%-5.7%-0.1%-1.0%-0.5%
Skew 10d-3.5%-7.1%9.2%-6.9%-1.4%
Call IV 25d39.5%32.2%47.2%46.4%32.8%
Put IV 25d36.8%30.5%45.4%45.4%32.2%
Bid-Ask Spread %20.999.1546.9040.069.69
Gamma HHI0.150.120.220.120.16
Net GEX629.5K504.0K770.5K763.0K602.3K
Net DEX-24.5M-34.1M-17.6M-34.1M-23.1M
Net VEX-98.6K-117.0K-86.6K-117.0K-87.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.081.470.270.08
Total Volume917.2383222,4381,928345
Total OI37,290.90533,83940,30339,42435,439

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$21.34$19.0044.6%12.8%49.7%61.5%46.2%-1.0%-0.1%763.0K-34.1M-117.0K0.2740.06N/AN/A1,51940930,2099,215
2021-07-02$21.09$19.0044.0%12.6%48.4%60.5%44.2%-5.0%-3.0%749.1K-32.3M-117.0K0.2632.93N/AN/A55114130,4379,367
2021-07-06$19.84$18.0048.0%12.3%52.2%68.0%42.4%-2.7%-3.7%594.8K-22.2M-112.1K0.4441.40N/AN/A1,69374530,4279,438
2021-07-07$19.72$18.0047.4%11.9%51.6%66.8%41.8%-4.4%-4.4%588.8K-21.5M-108.3K0.4430.19N/AN/A55824629,9529,275
2021-07-08$19.41$18.0046.0%11.3%51.7%64.1%41.9%-4.0%-2.9%543.4K-19.5M-106.2K0.4832.11N/AN/A48923530,2879,383
2021-07-09$19.15$18.0045.8%11.4%51.3%63.8%39.2%-5.7%-4.4%504.0K-17.6M-102.8K1.4713.89N/AN/A47970530,3199,354
2021-07-12$19.77$18.0046.6%11.3%53.2%65.3%40.3%-3.1%-1.9%622.5K-21.4M-103.7K0.5546.90N/AN/A1,06658530,4479,207
2021-07-13$20.02$18.0044.6%11.0%51.8%61.7%39.5%-3.1%-2.5%692.7K-23.9M-102.4K0.5218.35N/AN/A50026030,7439,542
2021-07-14$20.45$18.0038.2%11.0%52.4%49.7%38.9%-3.0%-1.3%770.5K-27.0M-101.2K0.1718.72N/AN/A5809630,7499,554
2021-07-15$20.38$18.0038.0%10.9%52.3%49.2%38.0%-2.3%-2.5%759.2K-26.2M-100.4K0.2217.85N/AN/A67014930,5739,559
2021-07-16$20.21$18.0035.6%10.2%46.4%44.7%38.4%-2.4%-1.2%757.2K-25.0M-98.6K0.6417.77N/AN/A50832430,3979,546
2021-07-19$20.29$18.0036.5%10.5%42.9%46.4%37.5%-2.3%0.6%559.3K-23.7M-94.8K0.2010.95N/AN/A97319025,5078,332
2021-07-20$20.74$18.0035.7%10.2%43.6%45.0%36.9%-3.2%1.9%599.7K-26.6M-94.7K0.1610.21N/AN/A5749025,7488,496
2021-07-21$20.76$18.0035.9%10.3%42.2%45.3%36.1%-1.8%1.3%590.7K-26.8M-92.2K0.979.15N/AN/A21620925,6468,540
2021-07-22$20.60$18.0035.8%10.2%42.2%45.1%34.5%-1.1%0.4%590.8K-25.9M-91.5K0.9512.37N/AN/A31229625,6358,725
2021-07-23$20.03$18.0033.9%9.7%43.5%41.6%35.5%-4.3%1.1%538.1K-22.3M-90.2K0.1413.78N/AN/A6849725,5138,811
2021-07-26$20.23$18.0035.4%10.2%42.2%44.5%34.5%-0.7%0.5%557.5K-22.8M-87.6K0.1310.65N/AN/A6729025,5138,811
2021-07-27$20.16$18.0034.5%9.9%39.5%42.8%34.7%-3.1%0.3%563.2K-23.3M-89.4K0.2312.32N/AN/A60514225,6148,841
2021-07-28$20.27$18.0029.3%8.4%39.5%33.0%30.1%-3.6%2.7%630.2K-24.0M-86.7K0.6829.44N/AN/A55937826,0038,862
2021-07-29$20.45$18.0031.4%9.0%31.6%37.0%31.6%-0.1%0.4%641.7K-24.9M-86.6K0.1711.98N/AN/A2764626,1888,905
2021-07-30$20.12$18.0031.0%8.9%32.0%36.3%35.6%-0.5%-1.6%602.3K-23.1M-87.0K0.089.69N/AN/A3192626,3129,127