CORN Options History — June 2023

In June 2023, CORN traded between $22.20 and $27.18. ATM implied volatility averaged 33.3%, placing in the 59.2% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 4.1% (HV 20d: 29.1%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.28.

Notable Days

  • 2023-06-01: Highest Volume — 2,889 contracts
  • 2023-06-15: Largest IV spike — 14.7% change
  • 2023-06-21: Highest IV Rank — 77.4%
  • 2023-06-21: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.43$22.20$27.18$23.46$22.20
Max Pain$23.38$22.00$24.00$22.00$24.00
ATM IV33.3%27.0%40.1%27.0%38.1%
Expected Move9.5%7.7%11.5%7.7%10.9%
HV 20d29.1%23.2%44.3%23.3%44.3%
HV 60d22.3%18.4%30.2%18.6%30.2%
IV Rank59.2%42.6%77.4%42.6%72.0%
IV Percentile82.1%65.1%98.4%65.1%94.0%
Term Structure-1.8%-3.8%1.8%1.8%-3.8%
VWIV33.9%26.8%42.9%27.2%38.4%
Skew 25d-2.5%-5.2%0.3%-0.4%0.3%
Skew 10d-4.9%-12.7%1.9%1.9%-5.3%
Call IV 25d35.2%28.2%44.1%28.7%38.4%
Put IV 25d32.7%26.9%39.0%28.3%38.7%
Bid-Ask Spread %38.0513.3985.9885.9854.42
Gamma HHI0.220.160.330.180.19
Net GEX509.6K148.4K787.1K215.3K148.4K
Net DEX-8.6M-19.5M1.0M-3.2M1.0M
Net VEX-47.2K-59.5K-36.2K-36.2K-38.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.020.940.020.68
Total Volume1,100.192402,8892,8891,773
Total OI15,624.04810,26719,96510,26719,965

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$23.46$22.0027.0%7.7%23.3%42.6%27.2%-0.4%1.8%215.3K-3.2M-36.2K0.0285.98N/AN/A2,838517,8432,424
2023-06-02$23.81$22.0027.2%7.8%23.9%43.1%26.8%-1.2%0.7%471.1K-6.3M-46.2K0.0220.99N/AN/A5511310,4462,454
2023-06-05$23.63$23.0028.2%8.6%23.5%45.9%30.3%-2.3%-1.7%456.5K-5.9M-44.6K0.2565.01N/AN/A51012610,7012,454
2023-06-06$23.70$23.0028.5%8.3%23.3%46.6%33.0%-1.6%-1.0%458.9K-5.8M-43.2K0.1422.85N/AN/A2934110,6052,564
2023-06-07$23.27$23.0027.0%8.4%23.3%42.7%28.8%-3.2%-0.5%377.1K-4.4M-40.9K0.6022.74N/AN/A1559310,7512,565
2023-06-08$23.49$23.0028.8%8.3%23.5%47.5%28.8%-1.9%-0.9%423.1K-4.9M-40.6K0.3922.14N/AN/A31012110,7642,579
2023-06-09$23.35$23.0027.1%7.9%23.2%43.0%26.8%-2.5%-0.5%401.1K-4.4M-40.2K0.0423.11N/AN/A2301010,9562,622
2023-06-12$24.02$23.0029.7%8.3%24.8%49.8%29.3%-1.6%-0.7%572.0K-7.1M-43.3K0.1420.02N/AN/A3585111,1192,627
2023-06-13$24.16$23.0033.6%8.6%24.4%60.0%31.3%-2.3%-2.5%591.6K-7.5M-43.5K0.5422.88N/AN/A53528811,1272,636
2023-06-14$24.16$23.0029.1%8.3%23.3%48.2%30.8%-1.7%-1.4%604.9K-7.5M-42.9K0.2822.00N/AN/A3158811,3992,831
2023-06-15$25.06$23.0033.4%9.6%24.6%59.5%33.3%-2.9%-0.8%787.1K-11.5M-46.6K0.9445.54N/AN/A1,2641,19311,4772,916
2023-06-16$25.94$24.0037.0%10.6%26.5%69.1%36.8%-4.4%-3.1%497.9K-15.3M-53.6K0.0918.49N/AN/A2,26620412,2164,064
2023-06-20$25.98$24.0037.3%10.7%26.4%69.8%37.2%-5.0%-3.0%609.1K-14.6M-54.8K0.1741.21N/AN/A72412312,3973,872
2023-06-21$27.18$24.0040.1%11.5%29.3%77.4%41.1%-5.2%-2.5%590.6K-19.5M-54.4K0.0513.39N/AN/A2,19410212,5603,955
2023-06-22$26.80$24.0038.4%11.0%30.4%72.7%39.2%-4.1%-2.7%719.3K-19.2M-59.5K0.0755.31N/AN/A1,1717714,2244,057
2023-06-23$25.44$24.0039.3%11.3%37.1%75.2%40.3%-4.7%-2.9%633.1K-13.1M-57.7K0.2030.46N/AN/A84416914,0554,098
2023-06-26$25.62$24.0038.6%11.1%36.8%73.4%42.9%-3.2%-3.6%714.5K-14.3M-56.2K0.1754.22N/AN/A1,26121414,4054,148
2023-06-27$24.54$24.0036.9%10.6%39.2%68.9%36.2%-2.7%-2.6%603.6K-9.0M-53.0K0.5263.47N/AN/A58930414,8694,269
2023-06-28$23.77$24.0037.0%10.6%40.3%69.0%37.6%-1.5%-2.1%455.0K-5.4M-49.4K0.2745.96N/AN/A88623814,9974,405
2023-06-29$23.38$24.0036.1%10.3%40.8%66.7%36.4%-1.0%-3.5%371.7K-3.4M-46.8K0.3248.95N/AN/A40312815,1504,539
2023-06-30$22.20$24.0038.1%10.9%44.3%72.0%38.4%0.3%-3.8%148.4K1.0M-38.7K0.6854.42N/AN/A1,05372015,3444,621