CORN Options History — October 2021

In October 2021, CORN traded between $19.55 and $21.36. ATM implied volatility averaged 24.3%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 6.8% (HV 20d: 17.6%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2021-10-27: Highest Volume — 2,539 contracts
  • 2021-10-11: Largest IV spike — 15.9% change
  • 2021-10-11: Highest IV Rank — 47.5%
  • 2021-10-04: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.35$19.55$21.36$20.54$21.36
Max Pain$19.14$19.00$20.00$20.00$20.00
ATM IV24.3%21.9%28.9%23.8%24.1%
Expected Move6.8%6.3%7.3%6.8%6.9%
HV 20d17.6%16.3%18.9%17.8%18.0%
HV 60d18.4%17.3%20.1%20.1%18.0%
IV Rank35.0%28.3%47.5%33.6%34.4%
IV Percentile26.0%17.5%48.8%25.0%22.6%
Term Structure0.2%-0.7%1.6%0.7%-0.0%
VWIV24.2%22.5%26.3%24.1%24.3%
Skew 25d-1.2%-4.9%2.4%2.4%-0.1%
Skew 10d-3.2%-11.2%8.0%2.8%8.0%
Call IV 25d25.2%22.0%27.9%22.0%25.4%
Put IV 25d24.0%23.0%25.3%24.4%25.3%
Bid-Ask Spread %26.898.4865.2313.4733.36
Gamma HHI0.170.150.300.170.15
Net GEX556.8K471.6K782.9K486.5K630.4K
Net DEX-17.2M-21.9M-13.5M-16.9M-21.9M
Net VEX-57.8K-62.8K-50.2K-50.2K-62.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.020.840.040.66
Total Volume1,148.286892,5392,4621,994
Total OI26,349.23823,95927,88323,95926,777

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$20.54$20.0023.8%6.8%17.8%33.6%24.1%2.4%0.7%486.5K-16.9M-50.2K0.0413.47N/AN/A2,3768617,9046,055
2021-10-04$20.52$19.0027.3%7.3%17.8%43.1%25.4%-2.3%0.5%492.6K-17.1M-50.5K0.1436.90N/AN/A6028418,1366,092
2021-10-05$20.36$19.0024.6%7.0%16.5%35.8%25.6%-2.4%0.6%558.9K-17.6M-60.2K0.1037.18N/AN/A2212320,3616,132
2021-10-06$20.22$19.0026.6%7.0%16.8%41.2%25.1%-2.5%0.5%546.5K-16.9M-61.7K0.3531.52N/AN/A662320,5556,202
2021-10-07$20.24$19.0023.7%6.8%16.7%33.2%24.4%-0.7%0.7%566.2K-17.0M-60.1K0.4665.23N/AN/A1577220,6776,198
2021-10-08$20.16$19.0024.9%6.8%16.5%36.6%24.1%-2.5%0.0%562.9K-16.7M-59.5K0.4326.76N/AN/A1556720,7036,202
2021-10-11$20.27$19.0028.9%6.8%16.3%47.5%24.3%-1.8%-0.2%582.4K-17.0M-58.1K0.0212.51N/AN/A5651220,7656,253
2021-10-12$19.96$19.0027.5%7.0%17.1%43.7%24.0%-0.4%-0.5%555.6K-15.3M-56.3K0.1027.19N/AN/A7157020,7736,264
2021-10-13$19.55$19.0023.9%6.9%17.4%33.8%24.7%-0.3%0.8%471.6K-13.5M-55.2K0.1944.01N/AN/A1,31725421,1886,266
2021-10-14$19.67$19.0023.1%6.6%17.3%31.7%23.3%0.4%-0.1%536.2K-13.9M-56.5K0.8012.08N/AN/A13310721,3236,277
2021-10-15$20.01$19.0022.7%6.5%18.4%30.6%22.8%0.5%0.8%782.9K-16.0M-57.2K0.348.48N/AN/A40714021,6066,277
2021-10-18$20.16$19.0022.5%6.4%18.3%30.0%23.2%-0.6%0.0%520.3K-16.3M-57.6K0.069.25N/AN/A6864320,3835,366
2021-10-19$20.11$19.0022.9%6.6%17.8%31.1%23.1%-1.0%-0.0%518.3K-16.4M-56.3K0.5012.98N/AN/A21410620,4705,375
2021-10-20$20.47$19.0023.5%6.7%18.4%32.7%24.2%-1.1%-0.7%547.1K-17.7M-58.6K0.5615.65N/AN/A1,28872220,5285,447
2021-10-21$20.21$19.0022.3%6.4%18.9%29.3%23.8%-1.9%0.3%510.4K-16.5M-57.3K0.8114.17N/AN/A89371920,3635,481
2021-10-22$20.39$19.0022.5%6.5%18.9%30.1%23.2%-0.8%0.1%530.4K-16.9M-57.7K0.8415.71N/AN/A85771920,4005,518
2021-10-25$20.42$19.0021.9%6.3%16.7%28.3%22.5%-0.2%1.6%523.6K-17.4M-56.2K0.6551.84N/AN/A1,01365620,4425,535
2021-10-26$20.53$19.0024.3%7.0%16.5%35.0%24.5%-2.5%-0.5%557.9K-18.0M-58.4K0.5521.69N/AN/A1,20665920,6125,534
2021-10-27$21.04$19.0025.5%7.3%18.3%38.1%26.3%-2.8%0.3%600.4K-20.8M-60.5K0.5247.61N/AN/A1,67086920,7225,543
2021-10-28$21.22$20.0024.4%7.0%18.4%35.3%26.1%-4.9%0.2%612.5K-21.3M-62.0K0.6727.15N/AN/A1,28386520,9145,715
2021-10-29$21.36$20.0024.1%6.9%18.0%34.4%24.3%-0.1%-0.0%630.4K-21.9M-62.8K0.6633.36N/AN/A1,19879621,0635,714