CORN Options History — September 2021

In September 2021, CORN traded between $19.28 and $20.27. ATM implied volatility averaged 25.6%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 7.4% (HV 20d: 18.2%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2021-09-10: Highest Volume — 1,993 contracts
  • 2021-09-07: Largest IV spike — 22.0% change
  • 2021-09-07: Highest IV Rank — 50.3%
  • 2021-09-02: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.71$19.28$20.27$19.69$20.27
Max Pain$19.10$18.00$20.00$19.00$20.00
ATM IV25.6%23.8%29.9%27.0%23.8%
Expected Move7.3%6.8%8.0%7.7%6.8%
HV 20d18.2%16.6%20.0%18.5%17.3%
HV 60d28.9%20.2%34.5%34.5%20.2%
IV Rank38.4%33.5%50.3%42.2%33.5%
IV Percentile31.6%25.0%54.8%35.3%25.0%
Term Structure-0.1%-1.5%1.6%1.6%1.1%
VWIV26.0%17.7%29.0%27.7%22.6%
Skew 25d-1.7%-4.4%2.3%-1.2%2.3%
Skew 10d-8.0%-14.9%7.3%-13.1%7.3%
Call IV 25d27.1%23.4%30.5%28.4%23.4%
Put IV 25d25.4%22.1%27.5%27.2%25.8%
Bid-Ask Spread %30.429.9291.9675.9391.96
Gamma HHI0.180.140.320.150.19
Net GEX384.0K213.5K594.7K360.2K444.2K
Net DEX-13.8M-16.4M-11.6M-13.5M-15.5M
Net VEX-53.8K-60.2K-48.3K-60.2K-48.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.031.620.430.20
Total Volume582.5711041,993499473
Total OI24,234.23823,11226,59623,39323,568

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$19.69$19.0027.0%7.7%18.5%42.2%27.7%-1.2%1.6%360.2K-13.5M-60.2K0.4375.93N/AN/A34815117,4815,912
2021-09-02$19.70$20.0027.0%8.0%18.2%42.3%27.7%-3.3%-0.2%357.5K-13.5M-60.0K0.1363.75N/AN/A5997617,5875,953
2021-09-03$19.69$20.0024.5%7.8%17.6%35.5%28.4%-2.4%-0.1%370.4K-13.6M-60.1K0.1215.42N/AN/A2332717,6975,971
2021-09-07$19.32$20.0029.9%7.7%18.5%50.3%28.4%-1.6%-0.3%329.1K-11.9M-58.3K0.1913.53N/AN/A1,10721218,0955,979
2021-09-08$19.33$20.0026.7%7.6%18.6%41.4%27.3%-1.4%-0.1%328.9K-11.8M-56.6K0.1014.32N/AN/A5915918,2395,965
2021-09-09$19.28$20.0026.7%7.7%18.2%41.6%28.5%-1.8%-0.7%330.0K-11.6M-56.1K1.6249.03N/AN/A57092318,3415,906
2021-09-10$19.51$20.0025.7%7.4%17.6%38.8%26.5%-0.4%0.4%373.4K-12.8M-54.9K0.2636.54N/AN/A1,58640718,4185,905
2021-09-13$19.40$20.0025.4%7.3%17.5%38.1%25.6%-3.9%-0.4%213.5K-12.1M-54.1K0.0315.77N/AN/A101318,6686,677
2021-09-14$19.60$18.0025.0%7.2%18.3%36.8%29.0%-2.1%0.7%407.8K-14.3M-54.9K0.3118.51N/AN/A2176819,6046,921
2021-09-15$19.97$18.0026.2%7.5%19.8%40.2%26.1%-0.7%-0.7%538.8K-16.4M-55.7K0.5927.73N/AN/A25615019,5986,905
2021-09-16$19.79$18.0025.4%7.3%20.0%38.0%24.3%-2.8%-0.8%594.7K-15.3M-56.5K0.1234.58N/AN/A4134919,7116,885
2021-09-17$19.73$18.0023.9%6.9%19.1%33.9%24.0%-0.9%0.4%374.5K-14.8M-54.1K0.4113.28N/AN/A2309519,6406,819
2021-09-20$19.62$18.0024.7%7.1%17.4%36.0%17.7%-2.3%0.6%362.3K-13.7M-52.0K0.039.92N/AN/A5741617,6185,733
2021-09-21$19.40$18.0025.3%7.3%17.7%37.7%25.5%-3.4%-1.5%347.5K-13.0M-49.7K0.7014.30N/AN/A866017,7185,792
2021-09-22$19.62$19.0025.3%7.2%17.3%37.5%26.3%-1.8%-0.6%358.2K-13.1M-51.5K0.0834.32N/AN/A2381817,3295,783
2021-09-23$19.81$19.0024.0%6.9%16.6%34.1%24.1%-0.5%0.3%378.2K-13.9M-49.4K0.1018.38N/AN/A4024117,3415,818
2021-09-24$19.71$19.0024.1%6.9%16.6%34.5%24.6%-0.0%-0.9%361.3K-13.5M-49.2K0.2219.54N/AN/A1222717,3425,836
2021-09-27$20.22$19.0024.8%7.1%19.2%36.3%25.7%-0.2%0.7%407.6K-15.3M-48.3K0.2521.55N/AN/A3829417,4435,855
2021-09-28$20.06$19.0026.0%7.5%18.8%39.6%27.2%-4.4%-1.1%401.5K-14.9M-50.2K0.0723.87N/AN/A5594017,5365,855
2021-09-29$20.26$19.0025.7%7.4%18.5%38.8%28.4%-2.7%-0.1%423.9K-15.7M-49.6K0.2826.49N/AN/A49413717,5565,919
2021-09-30$20.27$20.0023.8%6.8%17.3%33.5%22.6%2.3%1.1%444.2K-15.5M-48.5K0.2091.96N/AN/A3947917,6135,955