CORN Options History — July 2022

In July 2022, CORN traded between $22.88 and $25.15. ATM implied volatility averaged 38.9%, placing in the 41.4% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 1.3% (HV 20d: 40.2%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 1.31.

Notable Days

  • 2022-07-28: Highest Volume — 3,525 contracts
  • 2022-07-13: Largest IV drop — 20.2% change
  • 2022-07-12: Highest IV Rank — 57.7%
  • 2022-07-12: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.15$22.88$25.15$24.61$25.02
Max Pain$25.80$25.00$27.00$27.00$25.00
ATM IV38.9%35.3%48.7%35.3%36.6%
Expected Move10.8%10.1%11.8%10.1%10.5%
HV 20d40.2%32.3%43.6%32.3%39.6%
HV 60d29.9%25.6%32.1%25.6%32.1%
IV Rank41.4%35.4%57.7%35.4%37.5%
IV Percentile87.0%79.8%97.2%79.8%82.1%
Term Structure-2.0%-4.8%-0.3%-0.3%-1.9%
VWIV38.2%35.7%42.6%35.7%36.7%
Skew 25d-1.8%-3.6%-0.1%-0.5%-0.1%
Skew 10d-4.4%-12.9%-1.2%-12.9%-2.9%
Call IV 25d38.8%35.4%41.5%35.4%36.8%
Put IV 25d37.0%34.9%40.0%34.9%36.7%
Bid-Ask Spread %39.1410.9964.4122.2910.99
Gamma HHI0.120.110.130.120.12
Net GEX416.4K240.9K653.7K596.0K408.8K
Net DEX-5.4M-10.8M124.9K-7.6M-8.8M
Net VEX-133.1K-152.8K-110.4K-151.7K-131.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.752.081.141.17
Total Volume2,504.71,6023,5252,9072,599
Total OI41,878.7538,55045,34243,71641,792

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$24.61$27.0035.3%10.1%32.3%35.4%35.7%-0.5%-0.3%596.0K-7.6M-151.7K1.1422.29N/AN/A1,3561,55134,5769,140
2022-07-05$23.47$26.0040.2%10.5%35.5%43.5%37.4%-1.9%-2.3%400.9K-1.8M-133.8K0.8538.88N/AN/A1,8991,60534,4639,489
2022-07-06$23.76$26.0039.6%10.6%35.4%42.6%35.9%-2.6%-2.1%406.0K-3.0M-133.6K1.0721.82N/AN/A1,2211,30734,2229,423
2022-07-07$24.11$26.0038.5%10.6%34.8%40.7%37.3%-3.6%-2.5%461.7K-5.4M-138.8K1.1457.87N/AN/A1,0811,23034,1679,550
2022-07-08$25.15$26.0040.2%11.0%39.1%43.5%38.5%-2.9%-3.2%653.7K-10.8M-152.8K0.7520.19N/AN/A1,3841,03434,1859,400
2022-07-11$25.04$26.0044.1%11.0%39.0%50.1%38.7%-3.2%-2.9%608.7K-10.2M-149.4K1.2511.93N/AN/A9471,18534,4129,547
2022-07-12$23.69$26.0048.7%11.8%42.2%57.7%41.2%-1.5%-4.8%363.8K-2.9M-131.6K1.2420.14N/AN/A1,2181,51034,4329,774
2022-07-13$24.07$26.0038.8%11.1%43.2%41.3%39.7%-2.8%-2.6%374.2K-4.7M-134.6K1.3119.14N/AN/A1,1931,56734,25910,218
2022-07-14$24.30$26.0039.9%11.4%43.6%43.0%41.9%-0.8%-2.3%408.1K-6.0M-140.6K1.1129.12N/AN/A1,5571,72134,24410,278
2022-07-15$24.34$26.0038.6%11.1%43.5%40.8%42.6%-1.1%-1.8%423.3K-5.9M-140.5K1.1150.66N/AN/A1,3991,55134,90810,434
2022-07-18$24.56$26.0038.9%11.1%43.2%41.4%39.4%-3.0%-0.8%451.6K-8.1M-137.9K1.2748.67N/AN/A1,0761,36829,0949,456
2022-07-19$24.09$26.0037.4%10.7%43.3%39.0%37.8%-1.3%-1.0%395.5K-5.3M-129.7K1.6455.41N/AN/A7671,25729,5009,470
2022-07-20$23.92$26.0037.4%10.7%42.1%38.8%37.1%-1.7%-1.4%359.9K-4.4M-127.3K1.8758.21N/AN/A6431,20429,6019,505
2022-07-21$23.28$26.0037.0%10.6%42.7%38.3%37.1%-2.0%-1.6%295.8K-1.7M-118.6K1.5956.12N/AN/A8631,37029,7319,488
2022-07-22$22.88$26.0036.4%10.4%39.9%37.2%36.8%-2.3%-1.0%240.9K124.9K-110.4K1.5764.41N/AN/A8731,36829,7399,518
2022-07-25$23.55$25.0037.2%10.7%40.4%38.5%36.6%-1.1%-1.7%310.0K-2.8M-118.1K1.4555.48N/AN/A65594729,9579,532
2022-07-26$24.10$25.0038.0%10.9%41.1%40.0%38.2%-1.5%-2.3%372.3K-5.2M-124.1K1.3641.92N/AN/A9251,25529,9879,548
2022-07-27$24.32$25.0037.3%10.7%41.3%38.7%37.5%-0.8%-1.1%359.3K-5.7M-125.5K1.1949.28N/AN/A8601,02330,2109,907
2022-07-28$24.79$25.0038.3%11.0%42.1%40.5%37.7%-2.0%-2.4%437.6K-8.4M-130.4K2.0850.34N/AN/A1,1452,38030,29410,125
2022-07-29$25.02$25.0036.6%10.5%39.6%37.5%36.7%-0.1%-1.9%408.8K-8.8M-131.7K1.1710.99N/AN/A1,1961,40330,54111,251