CORN Options History — February 2022

In February 2022, CORN traded between $22.35 and $24.54. ATM implied volatility averaged 26.8%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 8.5% (HV 20d: 18.3%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.25.

Notable Days

  • 2022-02-24: Highest Volume — 6,866 contracts
  • 2022-02-25: Largest IV spike — 17.1% change
  • 2022-02-28: Highest IV Rank — 63.1%
  • 2022-02-28: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.37$22.35$24.54$22.88$24.54
Max Pain$22.05$21.00$23.00$21.00$23.00
ATM IV26.8%24.6%35.5%26.5%35.5%
Expected Move7.6%6.9%10.2%7.6%10.2%
HV 20d18.3%13.8%32.5%14.6%32.5%
HV 60d16.0%14.3%21.6%14.3%21.6%
IV Rank37.5%30.9%63.1%36.4%63.1%
IV Percentile43.4%29.0%75.8%41.3%75.8%
Term Structure0.5%-2.8%2.7%-0.6%-2.8%
VWIV27.2%23.7%34.8%24.9%34.8%
Skew 25d-3.1%-5.6%-0.9%-2.4%-4.1%
Skew 10d-6.5%-16.2%13.6%13.6%-5.2%
Call IV 25d28.5%25.5%37.2%26.3%37.2%
Put IV 25d25.4%22.6%33.1%24.0%33.1%
Bid-Ask Spread %39.7319.8477.9828.3741.44
Gamma HHI0.280.180.360.280.21
Net GEX1.1M684.0K1.7M832.9K1.2M
Net DEX-19.3M-27.3M-13.1M-14.7M-27.3M
Net VEX-80.6K-103.3K-61.6K-63.5K-103.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.120.460.200.27
Total Volume3,183.5261,6956,8661,7894,124
Total OI20,029.36815,45023,86015,45023,860

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-02-01$22.88$21.0026.5%7.6%14.6%36.4%24.9%-2.4%-0.6%832.9K-14.7M-63.5K0.2028.37N/AN/A1,49529413,9181,532
2022-02-02$22.55$21.0026.5%7.6%13.8%36.5%28.0%-5.6%-0.3%805.8K-13.1M-61.6K0.1224.89N/AN/A3,17136713,8971,566
2022-02-03$22.35$21.0025.8%7.0%14.0%34.5%25.1%-0.9%1.8%950.2K-13.2M-66.9K0.2826.28N/AN/A1,74949016,0791,684
2022-02-04$22.57$21.0024.6%6.9%14.4%30.9%23.7%-2.6%2.2%1.1M-14.3M-69.2K0.4223.70N/AN/A1,26952916,5561,809
2022-02-07$23.05$22.0026.6%7.4%15.9%36.8%25.5%-3.6%2.0%1.3M-17.6M-72.1K0.1836.23N/AN/A2,99753716,8671,860
2022-02-08$22.94$22.0026.1%7.4%15.7%35.5%25.8%-2.7%0.8%1.4M-17.9M-76.8K0.1726.78N/AN/A2,94751218,1311,887
2022-02-09$23.27$22.0025.3%7.2%16.2%32.9%25.7%-1.3%1.3%1.5M-20.5M-78.1K0.2019.84N/AN/A2,92757118,2651,939
2022-02-10$23.09$22.0025.1%7.2%16.6%32.3%24.8%-3.5%1.3%1.4M-19.2M-80.1K0.1752.77N/AN/A2,60645618,4011,982
2022-02-11$23.44$22.0024.9%7.1%15.9%31.8%26.4%-5.0%2.7%1.3M-21.0M-80.6K0.1467.54N/AN/A3,65950517,5932,084
2022-02-14$23.66$22.0028.0%8.0%15.7%40.9%27.6%-2.2%-0.4%1.5M-23.3M-84.2K0.3324.25N/AN/A1,72257519,5452,181
2022-02-15$23.07$22.0026.0%7.5%18.9%35.2%26.7%-1.9%-0.1%1.4M-18.7M-83.4K0.2758.75N/AN/A1,66045319,8962,249
2022-02-16$23.31$22.0025.0%7.2%18.5%32.3%26.6%-3.0%1.4%1.7M-20.5M-84.4K0.2928.06N/AN/A1,76451920,3072,275
2022-02-17$23.41$22.0025.6%7.3%18.4%33.9%26.7%-3.4%1.0%1.4M-21.4M-85.1K0.4466.74N/AN/A1,18151420,5742,315
2022-02-18$23.57$22.0025.8%7.4%18.4%34.5%24.4%-3.6%1.3%684.0K-22.0M-85.3K0.4630.91N/AN/A1,73979220,5902,368
2022-02-22$24.20$23.0027.2%7.8%20.2%38.6%29.2%-2.4%0.6%700.4K-20.5M-86.1K0.1971.59N/AN/A3,24261916,1551,840
2022-02-23$24.31$23.0026.8%7.7%20.2%37.5%28.8%-3.2%0.9%802.0K-21.5M-88.6K0.3324.82N/AN/A1,60353517,4601,995
2022-02-24$24.48$23.0026.9%7.7%20.2%37.6%29.1%-5.1%-0.2%870.2K-22.6M-92.0K0.1377.98N/AN/A6,05681018,1902,049
2022-02-25$23.31$23.0031.4%9.0%27.5%51.1%32.3%-2.7%-2.5%725.0K-16.8M-89.5K0.2323.93N/AN/A4,4791,01918,4982,161
2022-02-28$24.54$23.0035.5%10.2%32.5%63.1%34.8%-4.1%-2.8%1.2M-27.3M-103.3K0.2741.44N/AN/A3,24088421,7252,135