CORN Options History — October 2023

In October 2023, CORN traded between $22.16 and $23.09. ATM implied volatility averaged 19.6%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.0% (HV 20d: 16.7%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.17.

Notable Days

  • 2023-10-24: Highest Volume — 835 contracts
  • 2023-10-09: Largest IV spike — 15.1% change
  • 2023-10-10: Highest IV Rank — 36.1%
  • 2023-10-13: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.55$22.16$23.09$22.54$22.24
Max Pain$21.77$20.00$22.00$20.00$22.00
ATM IV19.6%17.8%22.0%19.8%18.9%
Expected Move5.6%5.3%5.9%5.7%5.4%
HV 20d16.7%13.8%18.2%16.5%13.8%
HV 60d19.9%15.9%25.6%25.6%15.9%
IV Rank28.5%22.4%36.1%29.0%26.0%
IV Percentile47.4%25.0%63.5%47.6%45.2%
Term Structure0.4%-0.9%1.8%-0.6%-0.1%
VWIV19.5%15.4%20.9%20.1%19.6%
Skew 25d-1.5%-6.0%3.2%3.2%-3.1%
Skew 10d-3.4%-11.6%6.6%2.8%-1.3%
Call IV 25d20.0%17.1%22.1%17.4%19.8%
Put IV 25d18.5%15.2%21.1%20.6%16.6%
Bid-Ask Spread %22.788.1381.8317.929.82
Gamma HHI0.240.220.280.220.25
Net GEX315.1K255.8K472.5K262.8K272.7K
Net DEX-3.6M-5.9M-2.4M-3.4M-2.4M
Net VEX-20.1K-22.5K-17.2K-21.2K-17.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.020.600.130.06
Total Volume281.95550835228169
Total OI9,782.59,40310,6079,4269,568

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$22.54$20.0019.8%5.7%16.5%29.0%20.1%3.2%-0.6%262.8K-3.4M-21.2K0.1317.92N/AN/A201277,6131,813
2023-10-03$22.49$20.0018.8%5.4%16.3%25.9%18.5%1.0%0.4%262.1K-3.3M-21.6K0.2610.43N/AN/A161427,6141,811
2023-10-04$22.43$21.0018.8%5.4%16.3%25.8%18.8%-1.3%1.1%261.5K-3.2M-21.1K0.0771.44N/AN/A9477,6211,852
2023-10-05$22.83$22.0020.6%5.8%17.4%31.7%20.7%-1.9%1.0%278.6K-4.1M-21.9K0.1548.28N/AN/A201317,6231,859
2023-10-06$22.70$22.0017.8%5.5%17.5%22.4%19.8%-1.7%1.8%283.2K-3.9M-21.6K0.2125.30N/AN/A230487,6341,875
2023-10-09$22.57$22.0020.5%5.8%17.5%31.2%20.4%-1.8%0.5%291.2K-3.6M-20.9K0.0517.02N/AN/A17087,7501,863
2023-10-10$22.46$22.0022.0%5.8%16.6%36.1%20.4%-0.4%-0.3%290.9K-3.3M-20.3K0.1013.38N/AN/A169177,8031,869
2023-10-11$22.57$22.0019.6%5.6%16.5%28.3%18.6%-0.9%0.3%305.7K-3.8M-20.6K0.0221.46N/AN/A622157,8301,867
2023-10-12$22.84$22.0020.3%5.8%16.9%30.8%20.8%-1.0%0.3%368.9K-5.1M-22.5K0.1581.83N/AN/A171268,3051,872
2023-10-13$22.77$22.0020.6%5.9%16.7%31.6%20.3%-2.0%0.5%369.9K-4.8M-21.6K0.4713.28N/AN/A34168,3011,894
2023-10-16$22.61$22.0019.7%5.7%16.7%28.8%19.8%-1.7%0.5%370.3K-4.4M-20.5K0.0811.61N/AN/A203178,3511,891
2023-10-17$22.56$22.0019.4%5.6%16.6%27.6%19.2%-3.3%0.8%352.3K-4.1M-19.6K0.4411.51N/AN/A48218,2091,904
2023-10-18$22.71$22.0019.2%5.5%16.4%27.1%20.7%-1.4%0.7%369.9K-4.5M-19.8K0.0225.75N/AN/A549138,2171,892
2023-10-19$23.09$22.0019.5%5.6%16.5%28.2%19.4%0.3%1.0%472.5K-5.9M-20.9K0.1910.73N/AN/A176338,7091,898
2023-10-20$22.79$22.0020.0%5.7%17.4%29.8%20.0%-0.4%-0.8%449.7K-4.7M-20.2K0.1016.12N/AN/A718708,7021,896
2023-10-23$22.64$22.0019.7%5.6%17.5%28.7%20.9%-2.9%1.0%302.0K-3.1M-19.4K0.049.12N/AN/A309127,7471,689
2023-10-24$22.33$22.0020.2%5.8%18.2%30.2%15.4%-0.9%-0.9%300.4K-2.8M-19.6K0.028.13N/AN/A817188,0721,703
2023-10-25$22.26$22.0019.4%5.6%17.9%27.9%19.2%1.1%0.0%255.8K-2.4M-18.3K0.0647.42N/AN/A227137,6861,717
2023-10-26$22.16$22.0020.3%5.8%17.7%30.8%20.0%-6.0%-0.1%267.3K-2.4M-18.7K0.349.27N/AN/A169577,8601,726
2023-10-27$22.28$22.0018.4%5.3%16.1%24.6%18.6%-4.7%0.8%276.2K-2.5M-17.8K0.6011.70N/AN/A105637,8481,710
2023-10-30$22.19$22.0018.4%5.3%13.8%24.4%18.7%-3.7%-0.0%268.7K-2.4M-17.5K0.149.59N/AN/A93137,8521,699
2023-10-31$22.24$22.0018.9%5.4%13.8%26.0%19.6%-3.1%-0.1%272.7K-2.4M-17.2K0.069.82N/AN/A159107,8571,711