CORN Options History — March 2023

In March 2023, CORN traded between $24.38 and $25.38. ATM implied volatility averaged 17.1%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.1% (HV 20d: 13.9%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.55.

Notable Days

  • 2023-03-28: Highest Volume — 339 contracts
  • 2023-03-15: Largest IV spike — 69.9% change
  • 2023-03-24: Highest IV Rank — 21.3%
  • 2023-03-24: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.88$24.38$25.38$25.21$25.23
Max Pain$25.13$25.00$26.00$26.00$25.00
ATM IV17.1%10.9%18.9%17.1%16.5%
Expected Move5.1%4.7%5.4%4.9%4.7%
HV 20d13.9%12.9%15.1%13.7%13.6%
HV 60d14.0%13.4%14.3%13.8%13.4%
IV Rank12.0%0.0%21.3%3.3%14.9%
IV Percentile14.1%0.0%30.6%6.7%6.0%
Term Structure0.7%-1.3%2.1%1.9%1.2%
VWIV17.5%13.0%19.1%17.0%16.7%
Skew 25d-0.6%-3.7%1.7%-2.8%-2.5%
Skew 10d-0.6%-9.4%3.8%-1.4%-1.1%
Call IV 25d17.8%15.8%19.5%17.9%16.9%
Put IV 25d17.1%13.7%20.1%15.1%14.4%
Bid-Ask Spread %41.709.2392.289.2390.56
Gamma HHI0.150.120.220.200.14
Net GEX72.6K-28.3K198.0K100.7K170.0K
Net DEX-1.6M-3.1M-172.3K-1.8M-2.8M
Net VEX-30.7K-33.8K-28.8K-33.8K-32.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.048.540.890.59
Total Volume197.30470339261207
Total OI8,365.9577,1279,4008,6298,097

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$25.21$26.0017.1%4.9%13.7%3.3%17.0%-2.8%1.9%100.7K-1.8M-33.8K0.899.23N/AN/A1381236,5022,127
2023-03-02$25.16$26.0016.7%4.8%13.3%2.7%16.8%-2.8%1.3%88.6K-1.8M-32.8K1.6915.31N/AN/A901526,5702,098
2023-03-03$25.38$26.0016.7%4.8%13.7%2.7%16.4%-0.4%0.7%121.1K-2.1M-32.6K2.3074.79N/AN/A531226,5812,028
2023-03-06$25.27$25.0016.7%4.9%13.5%2.8%18.0%-0.9%2.0%58.9K-1.8M-31.5K0.8913.02N/AN/A37336,5932,125
2023-03-07$25.13$25.0016.2%4.8%13.4%1.8%16.8%-0.4%0.8%16.0K-1.6M-30.0K0.7849.95N/AN/A1521186,6002,132
2023-03-08$24.76$25.0017.6%4.8%14.0%4.3%17.3%-1.6%1.4%-11.2K-983.7K-30.6K5.1836.48N/AN/A281456,7452,215
2023-03-09$24.38$25.0017.3%5.1%14.4%5.5%18.2%-0.4%1.0%-28.3K-172.3K-29.1K0.6134.84N/AN/A153936,7492,252
2023-03-10$24.59$25.0013.6%5.0%14.9%0.0%17.4%0.3%1.2%-17.0K-520.4K-29.4K1.6316.18N/AN/A781276,8742,243
2023-03-13$24.44$25.0014.6%5.1%13.7%2.7%18.2%0.6%2.1%-4.2K-314.2K-29.1K0.3155.26N/AN/A71226,9022,281
2023-03-14$24.62$25.0010.9%5.4%14.1%0.0%18.6%-0.3%-0.1%-2.2K-589.6K-29.7K0.1538.92N/AN/A188296,9612,298
2023-03-15$24.59$25.0018.5%5.3%14.1%20.1%18.5%0.3%0.5%12.6K-580.1K-29.2K8.5467.79N/AN/A352997,1072,293
2023-03-16$24.69$25.0018.1%5.2%14.3%19.2%17.0%1.7%0.3%64.8K-1.1M-30.4K0.3722.28N/AN/A124467,1152,155
2023-03-17$24.77$25.0018.5%5.3%14.5%20.1%13.0%0.2%-0.2%67.2K-1.3M-29.5K8.3626.80N/AN/A221847,1252,143
2023-03-20$24.72$25.0018.0%5.2%14.1%18.8%18.2%-0.9%0.2%63.0K-1.4M-29.4K0.3724.91N/AN/A126475,0412,086
2023-03-21$24.53$25.0018.2%5.2%13.9%19.3%17.3%-1.4%-0.2%67.8K-1.3M-29.3K0.0720.68N/AN/A142105,1412,089
2023-03-22$24.48$25.0018.9%5.4%13.9%21.2%18.2%0.9%-1.3%63.6K-1.2M-28.8K0.1024.41N/AN/A207205,1552,089
2023-03-23$24.40$25.0018.5%5.3%12.9%20.1%19.1%0.8%0.7%73.0K-1.3M-30.4K0.1592.28N/AN/A99155,2782,095
2023-03-24$24.86$25.0018.9%5.4%14.2%21.3%19.1%0.6%-0.2%102.6K-1.9M-31.2K0.2291.66N/AN/A129285,3232,099
2023-03-27$25.23$25.0018.7%5.4%15.1%20.6%18.5%1.4%0.6%139.8K-2.5M-31.5K0.1728.79N/AN/A160285,4212,099
2023-03-28$25.29$25.0018.1%5.2%13.9%19.0%17.9%-1.6%-0.5%164.2K-2.9M-31.4K0.0431.35N/AN/A327125,5492,110
2023-03-29$25.27$25.0017.9%5.1%13.8%18.5%17.4%-1.6%0.2%198.0K-3.1M-31.9K1.4973.50N/AN/A971455,7772,111
2023-03-30$25.15$25.0017.0%4.9%13.9%16.1%16.4%-3.7%1.4%161.8K-2.7M-32.5K0.8320.17N/AN/A42355,7952,248
2023-03-31$25.23$25.0016.5%4.7%13.6%14.9%16.7%-2.5%1.2%170.0K-2.8M-32.5K0.5990.56N/AN/A130775,8182,279