CORN Options History — March 2022

In March 2022, CORN traded between $25.22 and $27.13. ATM implied volatility averaged 48.5%, placing in the 62.2% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 12.6% (HV 20d: 35.9%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.41.

Notable Days

2022-03-03: Highest Volume — 30,631 contracts
2022-03-03: Largest IV spike — 50.5% change
2022-03-03: Highest IV Rank — 100.0%
2022-03-07: Largest Expected Move — 21.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.25	$25.22	$27.13	$25.62	$27.13
Max Pain	$22.65	$22.00	$23.00	$23.00	$23.00
ATM IV	48.5%	36.6%	74.0%	38.8%	41.8%
Expected Move	13.2%	10.5%	21.2%	11.1%	11.1%
HV 20d	35.9%	27.9%	40.4%	35.1%	29.2%
HV 60d	25.6%	23.1%	27.3%	23.1%	27.3%
IV Rank	62.2%	46.2%	100.0%	72.7%	46.2%
IV Percentile	92.4%	78.2%	100.0%	81.0%	79.0%
Term Structure	-5.5%	-10.1%	-1.9%	-2.3%	-3.3%
VWIV	48.0%	36.4%	79.6%	38.7%	39.3%
Skew 25d	-7.3%	-12.1%	-2.8%	-2.8%	-5.7%
Skew 10d	-12.5%	-21.5%	-0.5%	-0.5%	-7.6%
Call IV 25d	51.6%	38.0%	67.4%	40.4%	44.7%
Put IV 25d	44.3%	33.3%	55.8%	37.6%	39.0%
Bid-Ask Spread %	23.69	11.02	59.55	59.55	27.29
Gamma HHI	0.14	0.12	0.37	0.18	0.12
Net GEX	1.6M	976.1K	2.4M	1.1M	1.5M
Net DEX	-43.9M	-54.1M	-31.0M	-33.4M	-47.4M
Net VEX	-155.9K	-173.4K	-103.7K	-103.7K	-165.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.04	1.66	0.14	1.66
Total Volume	6,563.478	1,785	30,631	6,572	9,692
Total OI	38,835.435	23,649	46,626	23,649	37,714

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2022-03-01	$25.62	$23.00	38.8%	11.1%	35.1%	72.7%	38.7%	-2.8%	-2.3%	1.1M	-33.4M	-103.7K	0.14	59.55	N/A	N/A	5,760	812	21,441	2,208
2022-03-02	$25.22	$23.00	36.6%	10.5%	35.8%	66.4%	36.4%	-4.8%	-1.9%	1.1M	-31.0M	-108.4K	0.14	14.66	N/A	N/A	4,776	674	22,382	2,573
2022-03-03	$25.54	$23.00	55.1%	15.8%	35.2%	100.0%	58.7%	-8.9%	-5.6%	976.1K	-33.3M	-116.4K	0.04	55.72	N/A	N/A	29,481	1,150	23,340	2,688
2022-03-04	$26.23	$23.00	62.9%	18.0%	35.4%	100.0%	70.4%	-10.6%	-6.5%	1.7M	-49.3M	-152.2K	0.06	50.69	N/A	N/A	21,460	1,337	37,349	3,160
2022-03-07	$26.39	$23.00	74.0%	21.2%	35.4%	100.0%	79.6%	-11.6%	-10.1%	1.8M	-53.7M	-163.7K	0.08	11.02	N/A	N/A	12,389	935	40,915	3,718
2022-03-08	$26.29	$23.00	55.7%	18.4%	35.3%	69.4%	69.3%	-11.2%	-7.6%	2.0M	-54.1M	-173.4K	0.07	18.67	N/A	N/A	9,962	710	42,776	3,850
2022-03-09	$25.78	$23.00	53.5%	16.7%	36.3%	65.8%	61.0%	-12.1%	-7.5%	1.8M	-46.6M	-169.4K	0.25	26.60	N/A	N/A	3,223	798	41,081	4,118
2022-03-10	$26.35	$23.00	49.7%	14.9%	36.6%	59.4%	55.3%	-10.5%	-6.4%	2.0M	-51.4M	-168.1K	0.18	23.63	N/A	N/A	4,246	746	40,414	4,219
2022-03-11	$26.56	$23.00	50.8%	15.2%	36.2%	61.2%	55.4%	-10.3%	-7.1%	2.1M	-52.5M	-167.4K	0.26	14.28	N/A	N/A	2,680	710	40,302	4,353
2022-03-14	$26.01	$22.00	48.0%	11.9%	37.4%	56.5%	43.7%	-9.0%	-6.5%	2.0M	-46.5M	-159.4K	0.31	15.55	N/A	N/A	2,655	834	40,432	4,420
2022-03-15	$26.16	$22.00	48.1%	12.1%	37.4%	56.7%	43.0%	-6.5%	-6.1%	2.0M	-47.8M	-161.0K	0.50	30.31	N/A	N/A	2,246	1,126	41,354	4,728
2022-03-16	$25.28	$22.00	45.3%	11.4%	38.5%	52.1%	41.2%	-7.1%	-5.6%	1.6M	-38.0M	-153.8K	0.29	29.38	N/A	N/A	2,650	770	41,049	4,777
2022-03-17	$26.08	$22.00	46.5%	11.7%	39.6%	54.0%	41.9%	-6.3%	-5.7%	1.8M	-45.4M	-154.7K	0.35	13.55	N/A	N/A	2,084	721	40,714	4,820
2022-03-18	$26.02	$22.00	46.5%	11.6%	39.7%	54.1%	42.0%	-5.3%	-6.0%	2.4M	-43.9M	-154.2K	0.41	25.65	N/A	N/A	1,700	705	40,918	4,939
2022-03-21	$26.74	$22.00	48.5%	12.3%	40.4%	57.5%	43.3%	-6.4%	-5.9%	1.2M	-41.3M	-155.6K	0.28	14.06	N/A	N/A	3,105	878	28,952	3,420
2022-03-22	$26.80	$22.00	46.8%	11.9%	39.7%	54.5%	41.5%	-6.8%	-5.5%	1.3M	-43.1M	-161.6K	0.40	13.21	N/A	N/A	1,830	730	30,437	3,668
2022-03-23	$26.96	$22.00	45.4%	11.8%	39.7%	52.2%	43.1%	-6.0%	-3.8%	1.3M	-44.0M	-161.8K	0.43	17.78	N/A	N/A	2,793	1,213	30,354	3,773
2022-03-24	$26.69	$23.00	44.5%	11.6%	40.1%	50.8%	41.7%	-5.7%	-4.4%	1.3M	-42.8M	-167.3K	0.48	14.98	N/A	N/A	1,780	847	31,775	4,223
2022-03-25	$26.86	$23.00	42.1%	11.4%	34.8%	46.8%	38.7%	-4.6%	-2.2%	1.4M	-44.2M	-169.3K	0.97	17.10	N/A	N/A	1,302	1,261	32,502	4,334
2022-03-28	$26.55	$23.00	45.5%	11.4%	31.2%	52.3%	39.4%	-5.2%	-5.3%	1.4M	-41.6M	-167.4K	0.58	18.85	N/A	N/A	1,556	901	32,744	4,742
2022-03-29	$26.08	$23.00	44.8%	11.3%	28.4%	51.2%	39.4%	-4.9%	-5.5%	1.3M	-37.8M	-166.0K	0.75	19.51	N/A	N/A	2,258	1,689	33,021	4,809
2022-03-30	$26.36	$23.00	44.3%	11.2%	27.9%	50.5%	40.1%	-5.4%	-4.9%	1.4M	-40.6M	-165.5K	0.70	12.74	N/A	N/A	1,047	738	33,357	4,352
2022-03-31	$27.13	$23.00	41.8%	11.1%	29.2%	46.2%	39.3%	-5.7%	-3.3%	1.5M	-47.4M	-165.0K	1.66	27.29	N/A	N/A	3,639	6,053	33,333	4,381