CORN Options History — May 2024

In May 2024, CORN traded between $19.91 and $20.89. ATM implied volatility averaged 22.4%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.5% (HV 20d: 15.9%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.08.

Notable Days

  • 2024-05-17: Highest Volume — 2,617 contracts
  • 2024-05-13: Largest IV spike — 27.0% change
  • 2024-05-13: Highest IV Rank — 40.7%
  • 2024-05-21: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.52$19.91$20.89$20.02$19.91
Max Pain$19.77$19.00$20.00$19.00$20.00
ATM IV22.4%19.3%26.7%19.3%22.2%
Expected Move6.4%5.5%7.0%5.5%6.4%
HV 20d15.9%13.5%16.9%13.5%15.5%
HV 60d16.4%15.8%17.0%15.8%16.1%
IV Rank23.5%11.5%40.7%11.5%22.8%
IV Percentile63.7%27.4%81.7%27.4%68.7%
Term Structure2.0%-5.9%7.6%1.5%0.9%
VWIV22.1%18.1%25.3%19.3%18.1%
Skew 25d-1.0%-6.0%5.3%-4.9%-0.8%
Skew 10d3.6%-10.2%30.8%-6.0%11.3%
Call IV 25d22.1%15.6%26.3%20.9%17.5%
Put IV 25d21.1%16.0%25.4%16.0%16.7%
Bid-Ask Spread %111.2990.75133.22116.61133.22
Gamma HHI0.320.240.470.470.28
Net GEX558.1K354.6K798.7K769.4K373.3K
Net DEX-8.5M-12.3M-4.3M-7.7M-4.3M
Net VEX-27.3K-28.9K-23.8K-28.4K-23.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.170.010.08
Total Volume543.909782,617120250
Total OI10,347.8187,84412,33511,7918,144

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-05-01$20.02$19.0019.3%5.5%13.5%11.5%19.3%-4.9%1.5%769.4K-7.7M-28.4K0.01116.61N/AN/A119110,826965
2024-05-02$20.42$19.0019.9%5.7%15.2%13.6%18.1%0.7%2.4%743.7K-9.9M-28.6K0.07106.70N/AN/A1,1187710,863965
2024-05-03$20.50$19.0019.7%5.7%15.0%13.0%21.2%-2.2%1.2%749.0K-10.0M-28.3K0.06121.57N/AN/A8675210,7531,013
2024-05-06$20.84$19.0022.0%6.9%16.0%22.1%24.4%-3.6%3.8%663.3K-11.7M-28.0K0.02107.72N/AN/A493910,9371,014
2024-05-07$20.79$19.0021.9%6.4%15.4%21.8%21.6%-3.7%2.7%661.3K-11.4M-27.4K0.1590.75N/AN/A2704110,7701,019
2024-05-08$20.48$20.0021.9%6.0%16.6%21.5%21.3%-2.9%4.3%747.8K-9.9M-26.8K0.1496.08N/AN/A4005510,7451,047
2024-05-09$20.42$20.0021.1%6.0%16.1%18.7%21.2%-2.8%2.4%798.7K-10.1M-28.8K0.0899.85N/AN/A1191011,1621,088
2024-05-10$20.84$20.0021.0%6.7%16.9%18.1%23.4%-3.5%3.6%627.5K-12.3M-28.9K0.08110.56N/AN/A6945511,2391,096
2024-05-13$20.89$20.0026.7%6.9%16.5%40.7%23.1%0.8%2.5%588.5K-11.9M-28.8K0.0394.84N/AN/A233711,0301,150
2024-05-14$20.85$20.0025.0%6.6%16.4%34.0%23.6%-3.8%3.5%583.3K-11.8M-28.7K0.0591.64N/AN/A4522311,0611,160
2024-05-15$20.70$20.0022.3%6.4%16.7%23.2%22.4%-1.4%4.1%549.0K-10.6M-27.5K0.06109.41N/AN/A7034310,7991,163
2024-05-16$20.51$20.0022.6%6.5%16.4%24.3%22.6%-0.9%7.6%702.4K-9.3M-26.8K0.17116.53N/AN/A1,48024510,5791,153
2024-05-17$20.31$20.0023.4%6.7%16.3%27.5%23.4%4.1%2.6%659.3K-7.7M-26.7K0.03116.22N/AN/A2,5467110,5921,221
2024-05-20$20.55$20.0023.5%6.7%15.9%28.2%23.5%-2.8%1.5%375.0K-6.0M-27.0K0.14106.41N/AN/A474667,227617
2024-05-21$20.48$20.0024.3%7.0%15.9%31.4%23.0%-2.9%0.8%376.9K-6.0M-27.6K0.13102.73N/AN/A257347,349619
2024-05-22$20.51$20.0022.5%6.4%15.5%24.0%21.7%3.8%2.5%383.8K-6.2M-27.1K0.01119.26N/AN/A14927,362650
2024-05-23$20.64$20.0024.3%7.0%15.4%31.4%22.7%5.1%-0.9%354.6K-6.2M-28.4K0.11131.78N/AN/A98117,415650
2024-05-24$20.72$20.0020.1%5.8%15.3%14.7%20.2%5.3%4.2%405.9K-6.6M-27.5K0.00103.75N/AN/A9007,402661
2024-05-28$20.60$20.0022.5%6.4%15.5%23.9%23.1%-0.6%1.5%396.3K-6.2M-26.2K0.04123.58N/AN/A10147,413661
2024-05-29$20.41$20.0022.4%6.4%15.8%23.5%21.8%1.3%-4.1%389.5K-5.6M-25.7K0.13130.38N/AN/A6997,382665
2024-05-30$20.10$20.0023.2%6.7%16.8%27.0%25.3%-6.0%-5.9%379.3K-4.7M-23.8K0.08118.83N/AN/A157127,364661
2024-05-31$19.91$20.0022.2%6.4%15.5%22.8%18.1%-0.8%0.9%373.3K-4.3M-23.8K0.08133.22N/AN/A231197,472672