CORN Options History — June 2022

In June 2022, CORN traded between $25.18 and $29.09. ATM implied volatility averaged 32.8%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 7.9% (HV 20d: 24.9%). Max pain ranged from $26.00 to $29.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2022-06-21: Highest Volume — 10,966 contracts
  • 2022-06-30: Largest IV drop — 10.2% change
  • 2022-06-29: Highest IV Rank — 37.8%
  • 2022-06-29: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.66$25.18$29.09$27.47$25.18
Max Pain$27.24$26.00$29.00$28.00$27.00
ATM IV32.8%29.6%36.8%30.0%33.0%
Expected Move9.5%8.6%10.5%8.6%9.5%
HV 20d24.9%19.4%31.8%24.4%31.8%
HV 60d23.0%20.6%25.3%24.0%25.3%
IV Rank31.2%26.0%37.8%26.5%31.6%
IV Percentile69.3%54.0%84.9%55.6%72.2%
Term Structure0.1%-2.3%2.2%2.2%0.5%
VWIV33.6%30.6%38.8%32.1%34.2%
Skew 25d-2.9%-4.8%-1.1%-2.4%-3.6%
Skew 10d-5.6%-11.0%-1.6%-10.3%-1.7%
Call IV 25d34.7%32.0%40.3%32.9%34.9%
Put IV 25d31.8%29.4%35.5%30.5%31.3%
Bid-Ask Spread %44.2511.4065.9845.5150.36
Gamma HHI0.180.130.320.180.13
Net GEX1.4M746.3K2.2M1.5M746.3K
Net DEX-30.4M-41.9M-11.5M-35.2M-11.5M
Net VEX-186.1K-206.9K-162.4K-190.7K-162.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.321.550.320.76
Total Volume3,748.5711,94710,9667,6493,117
Total OI41,373.09537,77845,49139,79543,393

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$27.47$28.0030.0%8.6%24.4%26.5%32.1%-2.4%2.2%1.5M-35.2M-190.7K0.3245.51N/AN/A5,7811,86834,5655,230
2022-06-02$27.59$26.0029.6%9.1%24.4%26.0%31.4%-2.9%0.3%1.3M-31.7M-176.6K0.4819.14N/AN/A2,5271,21532,0315,747
2022-06-03$27.57$26.0030.0%8.9%24.4%26.5%30.6%-2.6%0.9%1.3M-31.7M-176.8K1.2823.77N/AN/A1,4511,85132,1025,749
2022-06-06$27.93$26.0030.9%9.0%24.5%28.0%31.5%-2.3%0.3%1.4M-32.7M-178.2K1.4013.86N/AN/A1,0501,46731,8126,395
2022-06-07$28.52$26.0030.6%9.2%24.3%27.6%31.8%-2.8%0.5%1.5M-37.6M-182.0K0.9249.02N/AN/A1,5111,38431,7926,415
2022-06-08$28.48$26.0030.5%8.7%23.9%27.4%31.4%-2.6%1.2%1.5M-35.7M-183.1K1.5544.04N/AN/A9151,41831,9376,934
2022-06-09$28.54$26.0032.2%9.2%22.9%30.3%31.6%-3.8%0.0%1.5M-36.7M-184.2K0.7248.51N/AN/A1,18485131,9526,957
2022-06-10$28.79$26.0032.1%9.2%22.3%30.1%31.9%-3.1%0.7%1.6M-37.7M-185.7K0.7745.08N/AN/A1,09785031,8196,981
2022-06-13$28.64$26.0032.8%9.4%22.1%31.2%32.9%-2.8%1.0%1.6M-37.4M-179.5K0.4031.93N/AN/A3,6541,46732,0837,004
2022-06-14$28.54$28.0032.5%9.3%20.5%30.7%32.1%-3.6%0.7%1.5M-37.1M-190.6K0.8355.99N/AN/A1,8361,52433,7167,896
2022-06-15$28.66$28.0032.0%9.2%20.6%29.9%30.9%-2.4%0.6%1.5M-37.7M-195.8K0.9660.95N/AN/A1,2571,20534,3428,508
2022-06-16$29.09$28.0032.8%9.4%19.4%31.3%32.9%-3.2%0.6%1.9M-41.9M-203.6K0.6764.72N/AN/A2,4211,61034,6338,821
2022-06-17$28.87$28.0033.9%9.7%19.6%33.1%34.2%-2.2%-0.7%2.2M-38.7M-206.9K0.8161.61N/AN/A3,0642,46735,2839,354
2022-06-21$27.84$29.0033.6%9.6%23.4%32.6%34.8%-3.3%0.8%915.5K-27.4M-201.1K0.4447.48N/AN/A7,6283,33831,1579,723
2022-06-22$27.52$28.0034.0%9.8%23.3%33.3%34.1%-3.4%-1.2%1.4M-29.8M-203.2K0.9665.98N/AN/A1,3491,29936,2678,709
2022-06-23$26.17$28.0034.5%9.9%28.5%34.1%38.8%-1.1%-1.0%1.0M-18.5M-184.3K0.4225.54N/AN/A4,1741,76336,6778,814
2022-06-24$26.80$28.0034.3%9.8%30.2%33.8%34.5%-1.7%-0.1%1.2M-23.5M-191.5K1.2141.90N/AN/A9991,21236,6538,535
2022-06-27$26.15$28.0036.1%10.3%31.2%36.7%38.8%-4.8%-2.0%981.8K-18.2M-177.1K1.1359.29N/AN/A9271,04634,1798,762
2022-06-28$26.30$28.0036.1%10.3%30.6%36.7%36.6%-2.3%-1.8%1.0M-19.0M-176.9K0.5763.21N/AN/A1,7911,02634,2078,802
2022-06-29$26.27$28.0036.8%10.5%29.8%37.8%38.0%-3.3%-2.3%993.7K-18.7M-177.3K0.8411.40N/AN/A1,15597133,9518,948
2022-06-30$25.18$27.0033.0%9.5%31.8%31.6%34.2%-3.6%0.5%746.3K-11.5M-162.4K0.7650.36N/AN/A1,7711,34634,3659,028