CORN Options History — August 2023

In August 2023, CORN traded between $21.81 and $22.95. ATM implied volatility averaged 23.5%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 4.4% (HV 20d: 28.0%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.35.

Notable Days

  • 2023-08-07: Highest Volume — 841 contracts
  • 2023-08-03: Largest IV drop — 8.9% change
  • 2023-08-02: Highest IV Rank — 58.5%
  • 2023-08-02: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.39$21.81$22.95$22.95$22.09
Max Pain$22.00$21.00$23.00$23.00$22.00
ATM IV23.5%20.6%28.8%28.4%20.6%
Expected Move6.7%5.9%8.3%8.1%5.9%
HV 20d28.0%17.5%39.4%39.3%17.8%
HV 60d35.7%35.2%36.3%36.3%35.2%
IV Rank41.2%31.7%58.5%57.1%31.7%
IV Percentile57.1%46.0%72.6%71.8%46.0%
Term Structure0.2%-1.0%1.5%-0.9%1.5%
VWIV23.6%20.6%29.6%29.0%20.6%
Skew 25d-1.7%-5.8%0.7%-1.3%-5.8%
Skew 10d-4.6%-13.0%4.5%1.7%-3.9%
Call IV 25d24.6%21.4%30.7%30.0%22.6%
Put IV 25d22.8%16.7%28.7%28.7%16.7%
Bid-Ask Spread %27.188.5280.8227.1318.58
Gamma HHI0.210.170.270.250.21
Net GEX206.3K97.5K276.9K233.5K257.8K
Net DEX-1.9M-3.6M137.6K-2.1M-2.3M
Net VEX-25.7K-29.7K-22.9K-29.7K-23.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.031.120.320.04
Total Volume311.1345841184340
Total OI12,368.4788,69615,22413,4219,512

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$22.95$23.0028.4%8.1%39.3%57.1%29.0%-1.3%-0.9%233.5K-2.1M-29.7K0.3227.13N/AN/A1394510,6062,815
2023-08-02$22.68$23.0028.8%8.3%39.4%58.5%29.6%-4.1%-0.8%201.4K-1.5M-27.7K0.1247.51N/AN/A4225010,6402,825
2023-08-03$22.50$21.0026.3%7.6%38.5%50.1%27.7%-2.5%-0.7%192.2K-1.4M-27.6K0.9727.19N/AN/A595710,8812,724
2023-08-04$22.63$21.0027.0%7.6%38.0%52.5%26.3%-1.5%-0.9%204.4K-1.6M-26.7K1.1223.46N/AN/A859510,8992,773
2023-08-07$22.68$22.0027.4%7.3%37.9%53.6%25.6%-2.4%-0.6%187.2K-1.4M-25.7K0.0322.05N/AN/A8172410,9142,843
2023-08-08$22.72$22.0026.3%7.2%37.9%50.2%25.5%-1.3%-1.0%223.3K-2.0M-28.7K0.1114.86N/AN/A4605011,5942,847
2023-08-09$22.62$22.0024.2%6.9%36.2%43.3%24.4%0.6%-0.4%242.2K-2.0M-28.7K0.6013.12N/AN/A754511,8722,856
2023-08-10$22.63$22.0024.1%6.9%34.1%43.0%24.6%0.3%-0.2%230.9K-2.0M-28.3K0.1115.29N/AN/A53611,8882,833
2023-08-11$22.30$22.0022.5%6.5%33.4%37.9%23.0%-0.6%0.4%165.5K-907.4K-25.6K0.6415.45N/AN/A28818311,9112,832
2023-08-14$22.30$22.0022.1%6.3%33.0%36.5%22.3%0.7%-0.0%141.4K-816.9K-24.6K0.6610.82N/AN/A946211,9962,989
2023-08-15$21.81$22.0022.9%6.6%29.0%39.0%23.0%-2.4%0.7%97.5K137.6K-22.9K0.529.40N/AN/A38119811,9922,953
2023-08-16$22.10$22.0022.1%6.3%26.2%36.4%22.3%-1.2%1.0%132.6K-874.9K-24.4K0.3633.12N/AN/A1595812,1752,860
2023-08-17$22.27$22.0021.4%6.1%26.5%34.4%21.2%-0.3%0.9%144.2K-1.4M-24.7K0.3315.32N/AN/A33911112,2592,834
2023-08-18$22.51$22.0023.3%6.7%26.7%40.4%23.2%-1.6%0.8%202.2K-2.1M-25.4K0.1424.25N/AN/A4516412,3892,835
2023-08-21$22.14$22.0023.1%6.6%18.9%39.7%23.6%-1.4%0.3%199.5K-2.1M-24.4K0.3414.68N/AN/A157546,8531,843
2023-08-22$21.95$22.0022.2%6.4%18.9%36.8%22.8%-0.7%0.4%188.3K-1.7M-22.9K0.1852.72N/AN/A291516,8741,885
2023-08-23$22.33$22.0022.0%6.3%19.4%36.3%22.6%-0.2%1.0%229.8K-2.8M-25.4K0.0943.28N/AN/A371327,1491,928
2023-08-24$22.34$22.0021.6%6.2%19.4%34.8%22.3%-0.7%1.1%238.0K-2.8M-24.8K0.508.52N/AN/A30157,2821,933
2023-08-25$22.31$22.0021.3%6.1%18.9%34.1%20.8%-4.2%0.4%244.7K-2.8M-25.6K0.2880.82N/AN/A121347,3161,945
2023-08-28$22.70$22.0021.5%6.2%17.5%34.6%21.1%-0.5%0.9%276.9K-3.6M-25.2K0.2918.29N/AN/A182527,4341,963
2023-08-29$22.32$22.0021.3%6.1%18.3%34.0%21.4%-5.8%0.5%265.6K-2.9M-25.0K0.1517.30N/AN/A255377,4481,935
2023-08-30$22.17$22.0021.2%6.1%18.0%33.6%21.0%-3.1%0.9%246.8K-2.3M-22.9K0.0972.07N/AN/A242227,3761,964
2023-08-31$22.09$22.0020.6%5.9%17.8%31.7%20.6%-5.8%1.5%257.8K-2.3M-23.5K0.0418.58N/AN/A327137,5451,967