CORN Options History — September 2023

In September 2023, CORN traded between $21.83 and $22.51. ATM implied volatility averaged 20.1%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 4.4% (HV 20d: 15.7%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.21.

Notable Days

  • 2023-09-18: Highest Volume — 747 contracts
  • 2023-09-11: Largest IV spike — 26.7% change
  • 2023-09-11: Highest IV Rank — 53.4%
  • 2023-09-01: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.16$21.83$22.51$22.21$22.03
Max Pain$20.10$20.00$22.00$22.00$20.00
ATM IV20.1%17.5%27.3%21.8%19.5%
Expected Move5.5%5.0%6.2%6.2%5.6%
HV 20d15.7%12.1%18.3%17.8%14.4%
HV 60d30.8%25.4%35.0%35.0%25.4%
IV Rank30.0%21.6%53.4%35.4%28.0%
IV Percentile43.7%18.7%77.0%54.0%46.0%
Term Structure0.6%-0.7%2.4%-0.3%0.4%
VWIV19.5%16.9%22.4%22.4%19.5%
Skew 25d-0.5%-3.9%2.3%-3.9%0.4%
Skew 10d-0.6%-7.4%6.2%-2.2%4.3%
Call IV 25d19.8%16.3%22.3%22.3%20.3%
Put IV 25d19.3%17.1%21.0%18.4%20.7%
Bid-Ask Spread %20.567.5293.5226.1020.95
Gamma HHI0.270.200.760.220.21
Net GEX336.7K182.8K1.3M281.7K234.2K
Net DEX-2.5M-3.2M-1.5M-2.7M-2.4M
Net VEX-21.6K-23.4K-19.5K-23.3K-20.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.010.930.010.15
Total Volume251.8556747145150
Total OI9,626.28,81510,4519,7149,379

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$22.21$22.0021.8%6.2%17.8%35.4%22.4%-3.9%-0.3%281.7K-2.7M-23.3K0.0126.10N/AN/A14417,7351,979
2023-09-05$22.38$20.0021.2%6.2%18.0%33.5%20.4%-0.8%-0.7%310.1K-3.1M-23.4K0.1026.54N/AN/A166177,8521,980
2023-09-06$22.31$20.0021.0%6.0%18.0%33.0%21.2%-1.7%-0.5%311.0K-2.9M-23.3K0.0523.09N/AN/A17497,8331,988
2023-09-07$22.32$20.0022.3%6.0%18.0%37.3%22.0%-0.9%-0.7%318.1K-2.8M-22.5K0.0411.44N/AN/A5427,9641,991
2023-09-08$22.20$20.0021.5%5.9%18.0%34.6%21.5%-1.7%0.1%322.3K-2.6M-22.6K0.9111.45N/AN/A1511388,0131,990
2023-09-11$22.34$20.0027.3%5.7%17.5%53.4%20.1%0.4%1.1%350.1K-3.0M-22.2K0.1927.62N/AN/A105208,0712,055
2023-09-12$22.00$20.0025.1%5.5%18.3%46.3%20.3%-1.3%1.1%348.1K-2.1M-20.6K0.2611.09N/AN/A388998,1062,065
2023-09-13$22.18$20.0018.7%5.4%16.7%25.5%18.5%-0.1%0.9%470.3K-2.9M-21.7K0.1921.28N/AN/A299578,3802,071
2023-09-14$22.15$20.0018.6%5.3%16.0%25.0%18.8%-1.2%0.6%494.0K-3.0M-21.6K0.0328.67N/AN/A428138,3102,064
2023-09-15$21.98$20.0018.7%5.4%16.0%25.5%18.7%0.0%-0.2%1.3M-2.0M-20.1K0.198.32N/AN/A318598,3812,066
2023-09-18$21.83$20.0018.7%5.4%15.5%25.5%18.7%-0.5%1.0%182.8K-1.5M-19.5K0.0611.72N/AN/A702457,0551,760
2023-09-19$21.96$20.0017.5%5.0%14.7%21.6%17.8%1.5%2.4%210.2K-1.9M-19.7K0.3715.70N/AN/A49187,1831,791
2023-09-20$22.20$20.0018.3%5.2%14.9%24.0%16.9%-0.6%1.3%224.5K-2.6M-21.9K0.9393.52N/AN/A1261177,2091,809
2023-09-21$21.94$20.0018.1%5.2%14.1%23.4%18.0%-1.1%2.0%211.1K-2.1M-21.8K0.1415.81N/AN/A98147,2301,858
2023-09-22$22.06$20.0018.4%5.3%14.3%24.5%18.3%-0.1%0.4%215.5K-2.2M-21.4K0.2714.73N/AN/A44127,2731,871
2023-09-25$22.21$20.0018.3%5.2%14.5%24.2%18.3%0.7%1.4%226.1K-2.4M-20.9K0.188.66N/AN/A71137,2901,856
2023-09-26$22.13$20.0018.6%5.3%13.0%25.2%19.3%-0.4%1.4%223.8K-2.3M-20.9K0.0410.51N/AN/A410167,3341,865
2023-09-27$22.35$20.0019.5%5.6%12.1%27.9%19.3%-1.3%-0.2%243.6K-2.9M-21.8K0.0816.58N/AN/A244207,4771,880
2023-09-28$22.51$20.0018.9%5.4%12.1%26.0%19.8%2.3%0.8%260.9K-3.2M-22.8K0.067.52N/AN/A231157,6151,895
2023-09-29$22.03$20.0019.5%5.6%14.4%28.0%19.5%0.4%0.4%234.2K-2.4M-20.6K0.1520.95N/AN/A130207,5851,794