CORN Options History — August 2021

In August 2021, CORN traded between $19.97 and $21.11. ATM implied volatility averaged 29.3%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 8.6% (HV 20d: 20.7%). 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 20 of 22 days. Put/call ratio averaged 0.33.

Notable Days

  • 2021-08-12: Highest Volume — 3,187 contracts
  • 2021-08-09: Largest IV spike — 17.7% change
  • 2021-08-12: Highest IV Rank — 53.8%
  • 2021-08-11: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.56$19.97$21.11$20.62$20.03
Max Pain$19.05$18.00$20.00$18.00$19.00
ATM IV29.3%25.7%34.2%31.0%26.7%
Expected Move8.4%7.4%9.1%8.9%7.7%
HV 20d20.7%17.3%33.2%33.2%17.6%
HV 60d37.9%34.5%41.2%41.2%34.5%
IV Rank42.5%32.5%53.8%36.2%41.6%
IV Percentile50.2%29.8%72.2%63.5%34.9%
Term Structure1.2%-0.1%2.6%1.8%1.7%
VWIV29.2%25.4%32.2%27.6%26.5%
Skew 25d-1.8%-5.7%0.9%-0.4%-0.9%
Skew 10d-4.2%-14.1%7.4%-3.2%-8.4%
Call IV 25d30.7%26.0%34.3%30.8%27.0%
Put IV 25d28.9%21.9%32.3%30.4%26.0%
Bid-Ask Spread %36.279.6274.589.6239.21
Gamma HHI0.220.130.850.180.15
Net GEX781.7K351.6K3.9M641.9K384.9K
Net DEX-23.6M-31.2M-14.6M-26.4M-14.7M
Net VEX-71.9K-82.2K-62.1K-82.2K-62.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.021.480.280.21
Total Volume656.7271253,187484527
Total OI31,95722,07137,26635,51023,000

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$20.62$18.0031.0%8.9%33.2%36.2%27.6%-0.4%1.8%641.9K-26.4M-82.2K0.289.62N/AN/A37910526,3879,123
2021-08-03$20.46$18.0029.9%8.6%24.8%34.2%32.2%0.9%1.5%642.6K-25.2M-82.1K0.1310.55N/AN/A5116526,5339,120
2021-08-04$20.35$18.0029.3%8.4%24.7%33.2%28.9%0.1%0.6%634.8K-24.9M-81.1K0.0214.89N/AN/A7671726,5219,115
2021-08-05$20.51$20.0029.4%9.1%23.9%33.3%31.1%-2.8%0.6%679.1K-25.6M-79.5K0.4032.93N/AN/A893626,4519,219
2021-08-06$20.72$20.0029.0%9.1%23.3%32.5%31.1%-2.5%0.1%699.6K-26.5M-79.3K0.0431.98N/AN/A5382126,7539,223
2021-08-09$20.70$20.0034.1%9.0%20.8%42.0%32.0%-1.2%0.3%701.2K-26.4M-76.0K0.1028.54N/AN/A1,04910426,5959,240
2021-08-10$20.62$20.0034.2%9.0%20.6%42.1%31.3%-2.1%0.3%708.0K-26.3M-77.6K0.0824.27N/AN/A3783126,6349,233
2021-08-11$20.77$19.0031.8%9.1%19.4%37.8%30.5%-3.4%-0.0%732.6K-27.7M-77.5K0.0642.88N/AN/A6313526,9419,271
2021-08-12$21.11$19.0031.2%8.9%20.0%53.8%32.1%-3.1%1.7%795.9K-30.6M-75.9K0.3274.58N/AN/A2,42276527,0689,278
2021-08-13$21.10$19.0030.7%8.8%19.7%52.5%31.0%-2.0%1.0%829.2K-31.2M-74.3K0.6649.13N/AN/A33222027,3609,283
2021-08-16$21.01$19.0030.2%8.7%19.8%51.2%31.2%-4.6%1.3%929.7K-30.7M-72.6K0.1641.45N/AN/A5408427,9049,346
2021-08-17$20.85$19.0030.7%8.8%18.6%52.5%30.6%-4.0%-0.1%933.0K-29.6M-71.2K1.4831.72N/AN/A22232927,9199,347
2021-08-18$20.82$19.0028.1%8.1%18.6%45.3%27.9%-3.6%2.6%827.1K-29.2M-68.4K0.1041.62N/AN/A3323427,6269,413
2021-08-19$20.45$19.0028.5%8.2%19.5%46.5%28.5%0.2%0.1%785.5K-26.1M-67.8K0.1746.20N/AN/A63010527,5519,701
2021-08-20$19.97$19.0029.4%8.4%18.7%48.9%29.7%-2.4%0.8%3.9M-20.5M-66.3K0.4440.24N/AN/A45820027,3709,706
2021-08-23$19.98$19.0028.1%8.0%18.3%45.3%28.7%-0.5%2.2%351.6K-14.6M-65.8K0.0537.33N/AN/A4822216,6465,425
2021-08-24$20.28$19.0027.3%7.8%19.1%43.2%26.8%-1.1%1.3%384.6K-15.9M-65.7K0.1937.23N/AN/A3857216,7365,440
2021-08-25$20.60$19.0027.8%8.0%19.8%44.6%27.6%-1.3%1.0%421.3K-17.4M-65.3K1.2153.78N/AN/A17320916,9285,431
2021-08-26$20.48$19.0025.7%7.4%19.7%38.6%26.7%-5.7%2.5%427.2K-17.1M-62.9K0.9321.64N/AN/A18817417,0465,481
2021-08-27$20.57$19.0026.2%7.5%18.7%40.0%25.4%-0.4%2.3%427.1K-16.9M-65.3K0.2046.26N/AN/A2304717,0785,678
2021-08-30$20.29$19.0025.8%7.4%17.3%38.9%26.0%0.6%1.8%409.4K-15.7M-62.2K0.0941.90N/AN/A4684217,0915,843
2021-08-31$20.03$19.0026.7%7.7%17.6%41.6%26.5%-0.9%1.7%384.9K-14.7M-62.1K0.2139.21N/AN/A4369117,1305,870