CORN Options History — September 2022

In September 2022, CORN traded between $26.39 and $27.63. ATM implied volatility averaged 30.0%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 7.6% (HV 20d: 22.4%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2022-09-27: Highest Volume — 4,184 contracts
  • 2022-09-14: Largest IV drop — 18.7% change
  • 2022-09-09: Highest IV Rank — 35.7%
  • 2022-09-06: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.04$26.39$27.63$26.39$27.06
Max Pain$26.90$26.00$27.00$26.00$27.00
ATM IV30.0%27.0%35.5%31.9%27.0%
Expected Move8.3%7.7%9.2%9.1%7.7%
HV 20d22.4%17.9%25.3%23.7%17.9%
HV 60d30.8%26.5%33.1%32.4%26.5%
IV Rank26.6%21.5%35.7%29.7%21.5%
IV Percentile52.7%37.3%77.8%60.7%37.3%
Term Structure0.3%-0.9%1.7%-0.4%0.8%
VWIV28.8%26.8%31.7%31.7%26.8%
Skew 25d-0.8%-2.1%0.4%0.2%0.4%
Skew 10d-1.8%-7.9%1.6%1.6%-2.0%
Call IV 25d29.5%26.6%33.0%31.5%26.6%
Put IV 25d28.7%26.5%31.8%31.8%27.1%
Bid-Ask Spread %40.4712.2774.5321.6333.08
Gamma HHI0.210.160.250.160.19
Net GEX608.6K271.6K868.1K271.6K602.7K
Net DEX-15.4M-20.3M-10.8M-10.8M-13.8M
Net VEX-125.9K-139.6K-112.5K-135.2K-124.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.102.441.121.04
Total Volume1,947.0484094,1843,2682,850
Total OI33,113.47630,75135,39233,53833,432

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$26.39$26.0031.9%9.1%23.7%29.7%31.7%0.2%-0.4%271.6K-10.8M-135.2K1.1221.63N/AN/A1,5441,72422,78710,751
2022-09-02$26.59$26.0029.5%8.5%23.8%25.8%29.2%0.0%1.7%469.2K-14.1M-139.6K0.8074.53N/AN/A37730023,7269,734
2022-09-06$27.07$27.0034.2%9.2%24.2%33.6%31.3%-1.7%-0.9%591.5K-16.3M-133.4K1.6714.12N/AN/A8881,48423,7749,674
2022-09-07$26.84$27.0033.9%8.9%24.7%33.0%31.0%-1.2%-0.7%558.2K-15.1M-134.3K1.2239.62N/AN/A1,7702,15823,9729,830
2022-09-08$26.76$27.0033.3%8.7%24.7%32.1%31.2%-0.9%0.1%480.7K-14.0M-132.3K0.4640.85N/AN/A1,09050123,87310,223
2022-09-09$27.30$27.0035.5%8.6%25.3%35.7%30.3%-0.5%0.4%631.8K-17.4M-132.4K0.1454.17N/AN/A1,09614824,14810,258
2022-09-12$27.63$27.0034.3%8.4%25.0%33.8%29.6%-1.4%0.6%868.1K-20.3M-132.6K0.2530.45N/AN/A1,15928724,65410,202
2022-09-13$27.57$27.0034.3%8.1%24.3%33.8%28.4%-1.3%0.4%770.8K-19.7M-130.4K0.7349.86N/AN/A1,6491,20524,58210,288
2022-09-14$27.43$27.0027.9%8.0%21.9%23.1%28.0%-2.1%0.5%591.3K-18.2M-125.1K0.3833.49N/AN/A48718725,01910,296
2022-09-15$26.95$27.0028.0%8.0%23.3%23.1%27.9%0.4%0.1%620.6K-16.1M-126.4K0.8140.36N/AN/A34227625,08810,304
2022-09-16$27.08$27.0027.6%7.9%23.3%22.5%27.7%-0.6%0.5%648.4K-16.3M-122.7K0.8113.21N/AN/A1,6201,30725,00910,236
2022-09-19$27.07$27.0027.3%7.8%23.3%22.0%27.4%-0.4%0.7%611.2K-14.9M-119.8K0.1542.14N/AN/A6189322,7458,006
2022-09-20$27.59$27.0028.2%8.1%23.8%23.6%28.1%-0.4%0.7%710.7K-18.0M-124.4K0.8549.32N/AN/A87974323,0168,031
2022-09-21$27.38$27.0028.2%8.1%20.9%23.6%28.1%-1.2%-0.1%698.7K-17.1M-120.6K0.1074.33N/AN/A5695923,0637,788
2022-09-22$27.44$27.0028.1%8.1%20.9%23.4%28.2%-1.0%-0.1%712.8K-17.3M-120.6K0.6948.95N/AN/A24216722,9827,795
2022-09-23$26.89$27.0027.6%7.9%21.9%22.6%27.7%-1.2%1.6%630.5K-14.0M-116.1K0.2713.85N/AN/A1,05228823,0457,931
2022-09-26$26.62$27.0029.5%8.5%20.2%25.8%29.0%-2.0%0.3%600.6K-13.0M-112.5K0.9559.14N/AN/A1,4591,37923,1307,889
2022-09-27$26.65$27.0028.3%8.1%19.0%23.7%28.2%-1.1%-0.1%643.1K-13.6M-115.8K2.4473.77N/AN/A1,2172,96723,5267,960
2022-09-28$26.79$27.0027.7%7.9%19.1%22.7%27.4%0.0%-0.1%534.7K-12.0M-121.0K2.0830.65N/AN/A8751,82123,3629,855
2022-09-29$26.78$27.0028.3%8.1%18.9%23.7%27.8%-0.9%-0.5%533.1K-12.1M-124.1K1.5612.27N/AN/A7851,22623,34710,052
2022-09-30$27.06$27.0027.0%7.7%17.9%21.5%26.8%0.4%0.8%602.7K-13.8M-124.5K1.0433.08N/AN/A1,4001,45023,38510,047