CORN Options History — May 2023

In May 2023, CORN traded between $22.22 and $23.75. ATM implied volatility averaged 23.2%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.0% (HV 20d: 19.2%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.06.

Notable Days

  • 2023-05-31: Highest Volume — 1,581 contracts
  • 2023-05-08: Largest IV spike — 12.6% change
  • 2023-05-31: Highest IV Rank — 41.6%
  • 2023-05-31: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.01$22.22$23.75$23.27$23.06
Max Pain$23.32$22.00$25.00$25.00$23.00
ATM IV23.2%20.1%26.6%21.2%26.6%
Expected Move6.6%5.9%7.6%6.1%7.6%
HV 20d19.2%16.3%23.6%16.4%23.4%
HV 60d16.1%14.5%18.2%14.5%18.2%
IV Rank32.6%24.5%41.6%27.2%41.6%
IV Percentile54.7%44.0%64.3%47.6%64.3%
Term Structure0.9%-1.1%2.6%-1.1%0.1%
VWIV23.1%20.3%26.3%21.0%26.3%
Skew 25d0.2%-2.3%1.7%-1.0%0.3%
Skew 10d-0.8%-10.3%7.9%1.7%3.7%
Call IV 25d23.0%18.8%26.7%18.8%26.4%
Put IV 25d23.2%17.9%26.7%17.9%26.7%
Bid-Ask Spread %31.4610.7584.4710.7532.57
Gamma HHI0.180.130.210.200.20
Net GEX92.0K19.6K226.6K27.4K191.6K
Net DEX-530.4K-3.1M1.3M578-2.2M
Net VEX-25.3K-31.1K-20.5K-25.6K-27.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.066.770.111.81
Total Volume325.5181,5812271,581
Total OI9,118.0917,99810,0648,6038,777

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$23.27$25.0021.2%6.1%16.4%27.2%21.0%-1.0%-1.1%27.4K578-25.6K0.1110.75N/AN/A205226,4152,188
2023-05-02$23.05$25.0020.7%5.9%16.3%26.1%21.9%1.7%-0.7%23.6K437.1K-23.3K0.3780.49N/AN/A116436,6122,189
2023-05-03$23.47$25.0021.4%6.1%17.8%27.7%20.3%0.6%0.7%57.8K-302.8K-25.0K0.4627.92N/AN/A82386,7222,183
2023-05-04$23.41$24.0020.7%6.2%17.8%25.9%21.2%1.3%-0.9%57.8K-352.4K-26.0K1.2916.13N/AN/A38496,7722,167
2023-05-05$23.75$24.0020.1%6.2%18.7%24.5%20.6%-0.0%1.1%67.4K-743.3K-26.7K0.6427.09N/AN/A88566,7862,212
2023-05-08$23.57$24.0022.7%6.2%17.6%31.2%21.6%0.8%1.7%58.7K-611.8K-26.6K0.1823.17N/AN/A468856,8592,236
2023-05-09$23.14$24.0024.9%6.6%18.3%37.2%23.1%-0.3%1.9%55.0K-84.1K-26.2K0.1576.18N/AN/A124197,1772,298
2023-05-10$23.23$23.0022.6%6.5%18.5%31.0%22.7%0.9%2.3%61.4K-236.9K-26.3K0.1613.85N/AN/A154247,2682,288
2023-05-11$22.95$23.0022.9%6.6%18.8%31.8%0.0%0.9%0.6%39.8K378.5K-23.9K1.5731.62N/AN/A7117,3932,300
2023-05-12$22.73$23.0021.9%6.3%17.7%29.1%22.2%-2.3%2.1%19.6K762.0K-23.4K0.5442.06N/AN/A134727,3952,304
2023-05-15$23.05$23.0022.4%6.4%18.3%30.4%22.8%1.1%2.0%24.6K235.2K-23.6K0.0816.51N/AN/A197167,4972,296
2023-05-16$22.64$23.0022.6%6.5%18.5%30.9%22.7%-0.3%2.6%21.8K1.3M-20.5K0.3129.24N/AN/A248767,5752,294
2023-05-17$22.22$23.0025.0%7.2%18.9%37.4%24.6%-0.5%-0.8%59.0K1.3M-21.7K4.5113.85N/AN/A833747,7402,324
2023-05-18$22.23$23.0024.6%7.0%18.9%36.2%24.1%0.2%1.6%79.1K1.1M-21.7K6.7738.48N/AN/A483257,7662,225
2023-05-19$22.23$22.0024.9%7.1%18.4%37.0%25.7%-1.1%-0.3%84.0K580.2K-21.6K0.0926.07N/AN/A854807,7752,006
2023-05-22$22.67$23.0024.1%6.9%20.3%35.0%23.9%1.0%1.0%140.4K-1.5M-25.3K0.0616.05N/AN/A338196,7331,265
2023-05-23$22.97$23.0022.8%6.5%21.1%31.5%23.1%-0.0%1.7%178.7K-2.1M-27.8K0.5931.52N/AN/A75447,0371,270
2023-05-24$23.02$22.0024.4%7.0%21.1%35.7%23.9%-0.4%-0.4%184.9K-2.2M-27.3K2.3926.83N/AN/A591417,0821,273
2023-05-25$22.85$23.0023.3%6.7%19.1%32.7%22.8%-1.5%1.8%168.5K-1.9M-27.5K0.6014.18N/AN/A75457,1241,405
2023-05-26$23.61$22.0024.4%7.0%22.6%35.8%24.8%1.4%1.9%226.6K-3.1M-31.1K0.1913.02N/AN/A303577,1911,432
2023-05-30$23.17$23.0026.1%7.5%23.6%40.3%25.4%1.4%1.0%197.0K-2.3M-27.5K0.5584.47N/AN/A1861027,3041,443
2023-05-31$23.06$23.0026.6%7.6%23.4%41.6%26.3%0.3%0.1%191.6K-2.2M-27.8K1.8132.57N/AN/A5621,0197,3431,434