CORN Options History — June 2024

In June 2024, CORN traded between $18.29 and $20.21. ATM implied volatility averaged 21.4%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 5.5% (HV 20d: 15.9%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.19.

Notable Days

  • 2024-06-24: Highest Volume — 1,450 contracts
  • 2024-06-12: Largest IV spike — 92.0% change
  • 2024-06-27: Highest IV Rank — 52.9%
  • 2024-06-27: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.56$18.29$20.21$19.74$18.29
Max Pain$19.84$19.00$21.00$20.00$19.00
ATM IV21.4%12.6%28.0%20.6%23.9%
Expected Move6.4%4.1%8.0%5.9%6.8%
HV 20d15.9%14.0%18.0%15.5%18.0%
HV 60d16.4%15.7%17.3%15.7%16.4%
IV Rank26.9%0.0%52.9%16.4%38.9%
IV Percentile50.6%0.0%89.7%47.6%81.7%
Term Structure2.2%-3.1%10.8%-1.0%-0.1%
VWIV25.0%14.6%28.9%26.0%25.0%
Skew 25d-5.7%-15.2%12.0%12.0%3.1%
Skew 10d4.7%-16.8%65.9%63.0%17.4%
Call IV 25d24.7%14.6%30.2%23.8%24.0%
Put IV 25d19.0%11.4%35.8%35.8%27.1%
Bid-Ask Spread %108.6984.58137.78117.8987.36
Gamma HHI0.310.260.390.290.30
Net GEX364.7K207.6K489.2K352.1K207.6K
Net DEX-3.6M-5.2M-1.3M-3.8M-1.3M
Net VEX-21.7K-23.5K-18.1K-23.0K-18.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.010.600.380.12
Total Volume358.632181,4502091,235
Total OI8,666.7897,61710,0198,15710,019

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-06-03$19.74$20.0020.6%5.9%15.5%16.4%26.0%12.0%-1.0%352.1K-3.8M-23.0K0.38117.89N/AN/A151587,475682
2024-06-04$19.70$20.0017.1%4.9%14.0%2.7%27.6%-7.2%3.5%352.0K-3.6M-22.3K0.01135.13N/AN/A11717,481695
2024-06-05$19.57$20.0019.7%5.7%14.0%13.0%19.8%-10.3%4.1%333.9K-3.1M-20.4K0.21127.97N/AN/A110237,565695
2024-06-06$20.08$21.0015.3%5.7%16.6%0.0%24.5%-13.9%0.3%412.8K-4.6M-23.5K0.02112.92N/AN/A25157,557676
2024-06-07$19.94$20.0017.5%5.6%16.7%8.1%14.6%-0.3%10.1%429.0K-4.5M-23.3K0.05125.01N/AN/A11057,750676
2024-06-10$19.95$20.0016.9%7.1%14.7%6.1%0.0%0.7%-0.0%421.6K-4.6M-22.9K0.13110.10N/AN/A1627,772681
2024-06-11$19.86$20.0012.6%5.5%14.6%0.0%24.9%-0.3%9.0%466.1K-4.2M-22.6K0.56113.12N/AN/A43247,780682
2024-06-12$19.95$20.0024.2%6.9%14.8%40.0%23.0%-2.1%2.6%425.3K-4.5M-22.5K0.18137.78N/AN/A74137,792708
2024-06-13$20.21$20.0025.4%7.3%15.6%44.0%24.9%-4.0%-0.8%489.2K-5.2M-23.2K0.15102.08N/AN/A260397,849714
2024-06-14$19.97$20.0020.0%5.7%15.9%25.5%25.8%-13.2%10.6%463.3K-4.9M-22.6K0.26121.67N/AN/A134358,009717
2024-06-17$19.75$20.0025.3%7.3%16.0%43.8%28.3%-0.1%0.0%426.7K-4.0M-22.0K0.02130.46N/AN/A11728,068740
2024-06-18$19.86$20.0025.8%7.4%15.4%45.5%26.9%-2.6%-0.5%483.3K-4.3M-22.9K0.1991.71N/AN/A96188,105738
2024-06-20$19.52$20.0027.0%7.7%16.4%49.7%26.8%-6.7%-0.7%353.6K-3.4M-20.9K0.6086.57N/AN/A1741058,140747
2024-06-21$19.34$20.0014.2%4.1%16.5%5.5%27.9%-15.2%10.8%273.2K-2.8M-19.7K0.0394.48N/AN/A859268,201762
2024-06-24$19.34$20.0025.6%7.3%16.2%44.7%25.6%-6.7%-0.2%274.7K-2.9M-18.9K0.3195.11N/AN/A1,1093417,090527
2024-06-25$18.98$19.0025.6%7.3%16.8%44.7%25.4%-12.3%-1.1%266.6K-2.7M-20.8K0.3084.58N/AN/A269828,053845
2024-06-26$18.77$19.0021.3%6.1%17.0%30.2%23.3%-15.0%-3.1%251.9K-2.5M-21.3K0.09106.63N/AN/A202198,365921
2024-06-27$18.74$19.0028.0%8.0%16.9%52.9%28.9%-14.3%-1.5%246.1K-2.4M-21.1K0.0984.59N/AN/A633568,454938
2024-06-28$18.29$19.0023.9%6.8%18.0%38.9%25.0%3.1%-0.1%207.6K-1.3M-18.1K0.1287.36N/AN/A1,0981379,050969