CORN Options History — July 2023

In July 2023, CORN traded between $21.86 and $25.16. ATM implied volatility averaged 34.1%, placing in the 69.0% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 10.8% (HV 20d: 44.9%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.27.

Notable Days

  • 2023-07-18: Highest Volume — 2,770 contracts
  • 2023-07-12: Largest IV drop — 17.2% change
  • 2023-07-11: Highest IV Rank — 81.2%
  • 2023-07-03: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.37$21.86$25.16$22.42$23.11
Max Pain$23.05$22.00$24.00$24.00$23.00
ATM IV34.1%29.4%41.6%39.4%30.3%
Expected Move9.5%8.4%11.3%11.3%8.7%
HV 20d44.9%39.3%48.7%44.1%39.3%
HV 60d33.2%30.3%36.3%30.3%36.3%
IV Rank69.0%57.2%81.2%75.3%63.4%
IV Percentile84.0%73.8%99.2%97.2%75.8%
Term Structure-2.9%-5.2%-0.3%-4.8%-2.4%
VWIV33.7%29.9%39.1%37.8%32.1%
Skew 25d-1.9%-4.0%1.6%1.6%-3.7%
Skew 10d-4.6%-14.7%5.1%5.1%-14.7%
Call IV 25d34.8%31.5%39.3%38.3%34.4%
Put IV 25d32.9%28.1%39.9%39.9%30.7%
Bid-Ask Spread %31.6015.9950.6715.9924.10
Gamma HHI0.230.170.560.200.22
Net GEX362.3K31.9K1.1M185.5K257.4K
Net DEX-3.2M-11.2M2.9M379.7K-2.7M
Net VEX-37.3K-42.3K-30.7K-39.3K-30.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.061.270.150.36
Total Volume949.952002,770615560
Total OI19,445.9512,32323,52320,42713,180

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$22.42$24.0039.4%11.3%44.1%75.3%37.8%1.6%-4.8%185.5K379.7K-39.3K0.1515.99N/AN/A5367915,7414,686
2023-07-05$22.19$24.0039.0%11.2%44.1%74.3%39.1%-0.7%-3.8%139.2K1.1M-36.9K0.1221.82N/AN/A2,30327416,0574,693
2023-07-06$22.75$23.0038.9%10.2%45.2%74.0%35.0%-3.5%-4.8%321.1K-1.4M-42.0K0.1137.14N/AN/A7538216,8884,757
2023-07-07$22.34$22.0037.9%10.0%45.2%71.3%34.9%-1.0%-5.2%216.5K342.4K-39.3K0.2124.46N/AN/A4299117,0754,939
2023-07-10$22.43$23.0039.4%9.8%45.0%75.3%35.6%-1.4%-5.2%212.8K352.3K-37.0K0.7336.45N/AN/A26619416,9864,949
2023-07-11$22.54$23.0041.6%9.7%45.1%81.2%35.4%-2.5%-4.2%223.6K169.7K-37.9K0.1721.86N/AN/A63710816,9755,092
2023-07-12$21.86$23.0034.4%9.9%44.7%62.3%35.2%-2.1%-4.8%31.9K2.9M-32.3K1.2723.53N/AN/A46759517,0655,166
2023-07-13$22.61$23.0032.5%9.3%46.7%57.2%34.0%-1.6%-3.0%210.6K446.5K-34.9K0.1844.41N/AN/A1,68330217,2074,938
2023-07-14$23.14$23.0033.2%9.5%47.6%72.6%33.8%-1.1%-4.3%506.4K-2.7M-40.6K0.3233.69N/AN/A39812718,3704,921
2023-07-17$22.78$23.0032.7%9.4%45.5%70.9%34.3%-3.0%-3.8%343.1K-708.6K-35.8K0.1735.09N/AN/A84214218,3204,966
2023-07-18$23.82$23.0031.0%8.9%46.8%65.4%31.4%-2.5%-0.9%834.6K-6.6M-39.8K0.1226.45N/AN/A2,47030018,5644,959
2023-07-19$24.63$23.0034.1%9.8%48.7%75.5%33.8%-2.8%-4.1%1.1M-11.2M-42.3K0.2217.21N/AN/A1,52934117,6715,021
2023-07-20$24.34$23.0032.2%9.2%45.3%69.3%33.2%-0.8%-1.0%791.5K-8.4M-39.6K0.0937.58N/AN/A6976417,5655,228
2023-07-21$23.97$23.0030.7%8.8%45.4%64.4%31.3%-1.7%-0.3%62.2K-4.8M-35.9K0.0630.13N/AN/A6113617,7035,242
2023-07-24$25.16$23.0032.4%9.3%45.7%70.0%33.3%-1.2%-0.8%378.0K-7.7M-38.3K0.1049.55N/AN/A940989,7162,607
2023-07-25$24.98$23.0032.2%9.2%45.7%69.5%32.1%-2.6%-1.0%416.0K-7.8M-38.4K0.3150.20N/AN/A2307110,1482,657
2023-07-26$24.38$23.0031.1%8.9%43.9%65.7%32.1%-0.6%-1.1%372.5K-6.0M-36.1K0.2150.67N/AN/A2004310,2032,713
2023-07-27$24.20$23.0029.7%8.5%42.4%61.4%29.9%-4.0%-1.2%363.2K-5.5M-35.2K0.2219.91N/AN/A1643610,2082,732
2023-07-28$23.81$23.0029.4%8.4%42.3%60.2%30.4%-2.9%-1.2%325.2K-4.4M-33.5K0.2831.78N/AN/A2366510,2782,733
2023-07-31$23.11$23.0030.3%8.7%39.3%63.4%32.1%-3.7%-2.4%257.4K-2.7M-30.7K0.3624.10N/AN/A41114910,4332,747