CORN Options History — March 2024

In March 2024, CORN traded between $19.33 and $20.21. ATM implied volatility averaged 22.1%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.1% (HV 20d: 15.9%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.21.

Notable Days

  • 2024-03-13: Highest Volume — 862 contracts
  • 2024-03-08: Largest IV drop — 28.2% change
  • 2024-03-07: Highest IV Rank — 46.6%
  • 2024-03-11: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.87$19.33$20.21$19.33$20.21
Max Pain$18.45$18.00$19.00$19.00$19.00
ATM IV22.1%18.1%25.2%21.2%21.3%
Expected Move6.3%6.0%6.9%6.1%6.1%
HV 20d15.9%13.1%18.4%14.5%18.4%
HV 60d13.5%12.8%15.2%12.8%15.2%
IV Rank30.8%20.7%46.6%33.7%22.2%
IV Percentile65.7%18.3%80.2%64.7%59.1%
Term Structure0.7%-1.1%4.4%-0.2%-0.4%
VWIV21.9%15.3%28.3%18.8%20.4%
Skew 25d-2.1%-20.5%3.2%-1.8%3.2%
Skew 10d-3.8%-21.7%8.0%0.3%8.0%
Call IV 25d24.1%19.4%43.8%22.8%19.4%
Put IV 25d22.0%20.7%25.4%21.1%22.6%
Bid-Ask Spread %111.1599.05126.78126.7899.05
Gamma HHI0.330.220.680.250.33
Net GEX247.9K116.2K725.9K116.2K306.3K
Net DEX-3.1M-4.3M-1.2M-1.2M-4.3M
Net VEX-15.3K-18.7K-9.9K-9.9K-16.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.001.840.070.25
Total Volume406.9585862131689
Total OI5,650.14,2246,7934,2746,670

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$19.33$19.0021.2%6.1%14.5%33.7%18.8%-1.8%-0.2%116.2K-1.2M-9.9K0.07126.78N/AN/A12383,559715
2024-03-04$19.58$18.0022.5%6.4%15.5%37.9%22.6%-1.6%1.0%125.8K-1.5M-10.2K0.32108.72N/AN/A5061613,517707
2024-03-05$19.38$18.0022.9%6.0%15.7%39.1%23.7%-3.6%1.9%148.9K-1.5M-10.8K0.03120.68N/AN/A373113,765670
2024-03-06$19.50$18.0022.1%6.4%16.0%36.4%21.7%-1.3%-1.1%165.0K-1.9M-12.3K0.05123.57N/AN/A241114,105675
2024-03-07$19.87$18.0025.2%6.0%17.5%46.6%21.4%-1.7%1.1%187.9K-2.6M-13.9K0.35116.86N/AN/A3421194,313667
2024-03-08$19.98$18.0018.1%6.4%17.5%23.4%28.3%-1.7%4.4%194.1K-2.5M-14.1K0.03118.55N/AN/A15444,288706
2024-03-11$20.05$18.0022.0%6.9%17.4%36.1%23.8%-20.5%-0.5%203.8K-2.7M-13.3K0.03112.95N/AN/A717204,353705
2024-03-12$20.07$19.0023.8%6.6%17.4%42.1%23.1%-2.4%0.9%262.6K-3.1M-15.1K0.02101.02N/AN/A470114,785715
2024-03-13$20.06$19.0021.4%6.1%17.4%34.3%21.3%-0.9%1.5%319.6K-3.5M-15.0K0.11112.42N/AN/A778845,060726
2024-03-14$19.80$19.0021.9%6.3%17.2%35.8%24.7%1.8%-0.0%303.4K-3.3M-16.8K0.05115.18N/AN/A345185,412782
2024-03-15$19.96$18.0021.1%6.0%16.5%21.5%22.0%-2.5%1.8%725.9K-3.6M-16.9K0.35107.67N/AN/A128455,535790
2024-03-18$19.94$18.0022.1%6.3%16.5%25.4%18.8%-0.6%1.6%200.5K-3.5M-16.9K1.84103.08N/AN/A621144,994711
2024-03-19$20.05$18.0021.2%6.1%16.4%21.8%21.4%0.9%1.1%202.9K-3.9M-18.1K0.01105.99N/AN/A10515,032824
2024-03-20$20.09$18.0020.9%6.0%14.9%20.7%20.9%-0.8%0.6%205.9K-4.0M-18.2K0.26118.16N/AN/A257675,046824
2024-03-21$20.18$18.0022.7%6.5%14.5%27.7%22.1%-0.2%0.1%228.0K-4.3M-18.7K0.07108.39N/AN/A802545,253826
2024-03-22$20.09$19.0021.7%6.2%13.9%23.6%15.3%-2.3%1.6%245.7K-3.8M-17.4K0.00102.51N/AN/A65105,348878
2024-03-25$20.04$19.0022.4%6.4%13.1%26.4%23.1%-1.9%0.2%276.3K-4.2M-18.4K0.15109.25N/AN/A74115,729878
2024-03-26$19.77$19.0023.0%6.6%14.0%28.7%23.9%-1.5%-1.0%268.6K-3.5M-17.3K0.0599.16N/AN/A221125,758888
2024-03-27$19.55$19.0023.8%6.8%14.1%31.7%21.3%-2.4%-0.4%270.6K-3.2M-16.8K0.07113.09N/AN/A326245,906887
2024-03-28$20.21$19.0021.3%6.1%18.4%22.2%20.4%3.2%-0.4%306.3K-4.3M-16.6K0.2599.05N/AN/A5501395,775895