CORN Options History — February 2024

In February 2024, CORN traded between $18.91 and $20.48. ATM implied volatility averaged 19.6%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 7.4% (HV 20d: 12.1%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.32.

Notable Days

  • 2024-02-26: Highest Volume — 572 contracts
  • 2024-02-02: Largest IV spike — 11.9% change
  • 2024-02-26: Highest IV Rank — 38.3%
  • 2024-02-26: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.75$18.91$20.48$20.48$19.58
Max Pain$19.05$19.00$20.00$20.00$19.00
ATM IV19.6%17.2%22.6%17.2%21.9%
Expected Move5.6%5.2%6.5%6.0%6.3%
HV 20d12.1%9.7%14.6%12.4%14.0%
HV 60d12.4%11.5%13.6%13.6%12.6%
IV Rank28.2%20.5%38.3%20.5%35.7%
IV Percentile47.7%13.9%73.4%13.9%68.7%
Term Structure1.7%-0.5%3.7%1.8%1.9%
VWIV19.2%17.3%20.3%19.7%19.8%
Skew 25d0.5%-3.8%7.9%1.2%0.4%
Skew 10d2.2%-8.6%10.2%10.2%2.5%
Call IV 25d19.0%14.5%22.0%20.4%19.6%
Put IV 25d19.5%16.0%23.5%21.6%19.9%
Bid-Ask Spread %93.9452.21126.5688.87126.56
Gamma HHI0.200.140.240.140.22
Net GEX85.0K71.7K111.2K77.4K111.2K
Net DEX-873.8K-1.3M-536.3K-942.6K-1.3M
Net VEX-7.3K-10.2K-5.9K-7.5K-10.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.011.960.470.01
Total Volume203.3539572113453
Total OI3,389.552,7254,0153,1774,015

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-02-01$20.48$20.0017.2%6.0%12.4%20.5%19.7%1.2%1.8%77.4K-942.6K-7.5K0.4788.87N/AN/A77362,708469
2024-02-02$20.36$19.0019.2%5.7%12.4%27.2%19.2%0.8%1.1%78.3K-918.8K-7.2K0.0174.10N/AN/A8012,765474
2024-02-05$20.38$19.0019.6%5.4%12.2%28.3%20.1%-0.3%3.0%83.8K-1.1M-7.5K0.0153.81N/AN/A10412,841475
2024-02-06$20.31$19.0019.1%5.2%11.5%26.6%18.0%-0.1%3.2%88.2K-1.1M-7.4K0.2280.99N/AN/A54122,925476
2024-02-07$20.16$19.0018.1%5.2%11.1%23.5%17.3%1.4%3.7%82.1K-899.5K-6.8K0.3352.21N/AN/A39132,930490
2024-02-08$20.05$19.0018.6%5.3%11.2%25.3%17.8%1.2%2.2%80.0K-798.8K-6.5K0.3356.65N/AN/A149492,935496
2024-02-09$19.93$19.0018.6%5.3%11.2%25.1%19.0%1.3%2.9%80.1K-804.3K-7.1K0.0495.23N/AN/A390163,034522
2024-02-12$19.97$19.0018.3%5.3%10.1%24.3%19.3%-0.6%3.1%84.2K-975.0K-6.6K0.25107.08N/AN/A76192,923479
2024-02-13$20.02$19.0018.6%5.3%9.7%25.2%19.1%0.2%3.5%86.3K-1.0M-6.5K0.30111.23N/AN/A3092,941479
2024-02-14$19.73$19.0019.4%5.6%10.7%27.6%19.1%1.0%2.2%81.0K-811.3K-6.5K0.1580.11N/AN/A107162,934482
2024-02-15$19.44$19.0020.5%5.9%11.6%31.5%19.5%-1.7%1.8%71.7K-561.6K-6.2K0.2095.23N/AN/A122253,013481
2024-02-16$19.44$19.0020.1%5.8%11.6%29.9%20.3%-2.1%1.4%72.3K-603.2K-6.4K1.20101.70N/AN/A81973,000483
2024-02-20$19.59$19.0019.0%5.4%12.1%26.4%19.7%5.3%1.1%78.5K-825.6K-6.6K0.05100.59N/AN/A10952,343382
2024-02-21$19.26$19.0019.4%5.6%13.1%27.8%19.7%-2.3%0.2%76.8K-597.9K-5.9K0.11105.47N/AN/A352402,424381
2024-02-22$19.12$19.0019.8%5.7%12.3%29.1%19.9%-3.8%0.7%86.5K-648.5K-6.6K0.07119.41N/AN/A203142,713372
2024-02-23$18.91$19.0020.6%5.9%12.5%31.7%18.5%7.9%0.4%83.7K-536.3K-6.4K1.9692.40N/AN/A1072102,811379
2024-02-26$19.22$19.0022.6%6.5%14.3%38.3%17.8%-3.6%-0.3%83.6K-767.4K-8.3K0.35116.94N/AN/A4241482,882555
2024-02-27$19.37$19.0020.9%6.0%14.6%32.5%19.4%-0.5%-0.5%103.5K-1.0M-9.1K0.30115.08N/AN/A202613,163665
2024-02-28$19.59$19.0019.6%5.6%14.0%28.4%19.7%5.1%1.2%110.8K-1.3M-9.9K0.12105.23N/AN/A121153,247704
2024-02-29$19.58$19.0021.9%6.3%14.0%35.7%19.8%0.4%1.9%111.2K-1.3M-10.2K0.01126.56N/AN/A44943,300715