CORN Options History — July 2024

In July 2024, CORN traded between $17.63 and $18.46. ATM implied volatility averaged 20.3%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 0.2% (HV 20d: 20.5%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2024-07-01: Highest Volume — 903 contracts
  • 2024-07-03: Largest IV spike — 37.7% change
  • 2024-07-24: Highest IV Rank — 51.1%
  • 2024-07-03: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.06$17.63$18.46$18.37$17.63
Max Pain$18.82$18.00$19.00$19.00$18.00
ATM IV20.3%14.6%25.0%14.6%20.1%
Expected Move5.7%4.2%7.1%4.2%5.8%
HV 20d20.5%18.1%23.3%18.2%22.6%
HV 60d17.8%16.3%19.0%16.4%18.7%
IV Rank33.7%6.9%51.1%6.9%42.1%
IV Percentile47.5%0.8%86.1%0.8%49.2%
Term Structure0.3%-13.8%24.3%9.2%-13.8%
VWIV21.0%11.4%36.4%23.1%14.6%
Skew 25d-4.9%-9.5%-0.3%-7.1%-8.3%
Skew 10d-0.4%-9.9%13.9%2.5%5.4%
Call IV 25d22.1%17.7%27.2%22.7%22.0%
Put IV 25d17.1%12.7%22.1%15.6%13.8%
Bid-Ask Spread %106.5982.95124.08101.50124.08
Gamma HHI0.320.280.380.300.29
Net GEX202.8K146.0K246.4K235.6K157.9K
Net DEX-1.5M-2.6M-754.2K-1.7M-1.2M
Net VEX-20.9K-24.4K-18.8K-20.8K-18.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.015.370.270.39
Total Volume295.90971903903230
Total OI12,317.13610,78713,23710,78712,223

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-07-01$18.37$19.0014.6%4.2%18.2%6.9%23.1%-7.1%9.2%235.6K-1.7M-20.8K0.27101.50N/AN/A7101939,791996
2024-07-02$18.32$19.0018.1%5.2%18.1%18.8%27.8%-9.5%-0.9%240.7K-2.0M-23.6K0.48100.17N/AN/A21210210,3421,112
2024-07-03$18.27$19.0024.9%7.1%18.1%42.3%21.9%-5.1%-2.8%231.4K-1.7M-22.3K1.71105.33N/AN/A6310810,4541,159
2024-07-05$18.46$19.0023.5%6.5%18.7%37.7%22.2%-2.5%-2.4%246.4K-2.1M-24.4K0.0186.17N/AN/A70110,4961,217
2024-07-08$17.84$19.0022.7%5.8%18.6%34.7%18.8%-1.2%0.5%163.1K-754.2K-19.4K0.3682.95N/AN/A61422010,5851,218
2024-07-09$17.87$19.0025.0%6.0%18.8%42.7%19.3%-1.0%-0.9%186.7K-863.8K-19.2K0.1091.46N/AN/A2923011,1311,248
2024-07-10$17.84$19.0020.6%5.9%18.7%27.7%23.8%-0.3%-1.0%202.9K-1.1M-20.7K0.4187.45N/AN/A1536211,3591,270
2024-07-11$18.02$19.0021.1%6.0%19.5%29.1%21.6%-9.3%-9.0%203.8K-1.4M-21.2K5.37102.31N/AN/A5227911,3151,284
2024-07-12$18.19$19.0016.7%4.8%19.9%18.8%11.4%-0.6%10.3%215.9K-1.3M-20.8K0.12117.92N/AN/A2052511,3331,357
2024-07-15$17.77$19.0022.6%6.5%19.9%46.7%23.0%-8.6%-1.5%190.9K-789.4K-18.9K0.04120.18N/AN/A2991311,4551,334
2024-07-16$17.95$19.0021.4%6.1%20.6%41.1%19.9%-5.3%-0.8%226.4K-1.4M-20.5K1.48111.42N/AN/A15823411,7411,289
2024-07-17$18.09$19.0020.2%5.8%21.0%35.5%20.7%-4.8%-0.7%221.8K-1.6M-21.7K0.96112.06N/AN/A484611,8481,314
2024-07-18$17.79$19.0020.8%6.0%21.0%38.1%20.1%-4.6%24.3%172.3K-1.5M-22.6K0.62121.69N/AN/A764711,8791,358
2024-07-19$17.82$18.0019.9%5.7%20.7%34.1%13.0%-7.2%1.6%190.8K-1.1M-19.6K1.56108.22N/AN/A457011,9171,293
2024-07-22$18.23$18.0020.0%5.7%22.8%37.5%23.6%-4.4%2.2%230.3K-1.9M-20.9K0.30113.44N/AN/A972911,0921,085
2024-07-23$18.26$19.0019.6%5.6%22.8%35.1%19.5%-5.8%4.2%226.6K-2.0M-20.9K0.14113.27N/AN/A1542111,0971,110
2024-07-24$18.28$19.0022.7%6.5%22.0%51.1%23.8%-3.5%-1.5%230.1K-2.6M-24.0K0.61116.50N/AN/A43726711,1911,104
2024-07-25$18.43$19.0020.1%5.8%22.0%38.3%20.5%-2.4%-5.2%223.3K-2.3M-22.8K0.41108.31N/AN/A702910,9721,328
2024-07-26$18.02$19.0018.3%5.3%23.3%31.1%18.8%-4.9%4.3%146.0K-1.3M-19.3K0.96106.24N/AN/A18117410,9861,335
2024-07-29$18.09$19.0017.4%5.0%21.8%27.3%36.4%-7.3%-8.6%167.7K-1.5M-19.2K1.27104.59N/AN/A11614710,9471,212
2024-07-30$17.82$18.0017.0%4.9%22.3%25.0%18.8%-5.0%-0.3%150.5K-1.3M-19.0K0.19109.83N/AN/A1102111,0001,200
2024-07-31$17.63$18.0020.1%5.8%22.6%42.1%14.6%-8.3%-13.8%157.9K-1.2M-18.8K0.39124.08N/AN/A1666411,0411,182