CORN Options History — August 2024

In August 2024, CORN traded between $17.16 and $17.94. ATM implied volatility averaged 19.5%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.1% (HV 20d: 17.5%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2024-08-30: Highest Volume — 578 contracts
  • 2024-08-13: Largest IV spike — 64.6% change
  • 2024-08-13: Highest IV Rank — 100.0%
  • 2024-08-05: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.57$17.16$17.94$17.63$17.69
Max Pain$17.77$17.00$18.00$18.00$17.00
ATM IV19.5%16.1%33.8%16.8%16.2%
Expected Move5.3%4.3%11.2%4.8%4.6%
HV 20d17.5%14.6%22.7%22.6%15.3%
HV 60d18.3%17.8%18.9%18.3%18.9%
IV Rank38.1%16.5%100.0%25.8%17.0%
IV Percentile32.7%1.6%100.0%2.8%2.4%
Term Structure0.7%-6.9%29.7%3.0%-5.7%
VWIV17.1%10.3%23.2%16.6%12.3%
Skew 25d1.8%-6.2%26.2%-4.7%-3.4%
Skew 10d4.4%-5.2%34.5%1.5%0.1%
Call IV 25d16.5%10.4%21.2%18.8%15.4%
Put IV 25d18.3%11.7%47.3%14.2%12.0%
Bid-Ask Spread %113.8892.92139.47128.16109.50
Gamma HHI0.270.240.320.270.26
Net GEX154.0K111.4K199.6K142.3K199.6K
Net DEX-1.1M-1.9M-112.0K-908.5K-1.9M
Net VEX-15.9K-21.6K-10.4K-17.2K-16.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.001.790.970.03
Total Volume192.2739578209578
Total OI10,526.57,23912,82812,3068,572

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-08-01$17.63$18.0016.8%4.8%22.6%25.8%16.6%-4.7%3.0%142.3K-908.5K-17.2K0.97128.16N/AN/A10610311,1041,202
2024-08-02$17.83$18.0019.7%5.6%22.7%43.5%23.2%-1.3%-2.6%165.2K-1.1M-18.1K0.08114.43N/AN/A90711,1871,262
2024-08-05$17.94$18.0026.4%11.2%19.3%89.6%0.0%26.2%-0.9%178.9K-1.9M-21.6K0.13139.47N/AN/A1942511,2031,256
2024-08-06$17.86$18.0023.8%6.1%19.3%73.0%0.0%9.0%0.1%147.7K-1.3M-18.6K0.31128.14N/AN/A421311,1381,245
2024-08-07$17.76$18.0020.4%4.6%19.4%51.0%20.2%1.4%1.7%135.7K-859.1K-16.5K0.03129.13N/AN/A244711,1361,253
2024-08-08$17.57$18.0021.5%4.8%19.4%58.2%21.1%-6.2%5.2%146.9K-892.0K-16.7K1.79138.87N/AN/A386811,3791,253
2024-08-09$17.52$18.0021.5%4.4%19.0%58.0%10.9%6.9%9.3%134.8K-419.3K-14.8K1.29137.31N/AN/A486211,4111,295
2024-08-12$17.73$18.0020.5%5.6%17.8%51.6%18.8%-1.3%1.3%144.7K-706.4K-15.4K0.26128.81N/AN/A1895011,4481,296
2024-08-13$17.56$17.0033.8%4.3%17.6%100.0%19.8%2.5%-0.5%147.9K-565.5K-13.8K0.80130.46N/AN/A5411,5931,228
2024-08-14$17.68$17.0016.9%4.8%17.6%20.3%16.4%-2.6%1.3%153.5K-637.9K-14.4K0.4392.92N/AN/A1255411,5981,230
2024-08-15$17.54$18.0016.1%4.6%16.8%16.6%16.2%1.2%29.7%143.7K-796.7K-16.1K0.05104.62N/AN/A64311,5611,179
2024-08-16$17.35$18.0018.6%5.3%17.2%28.2%17.5%3.6%-0.2%111.4K-112.0K-10.4K0.9698.71N/AN/A16115411,5361,086
2024-08-19$17.68$18.0016.9%4.8%16.5%20.2%16.9%4.5%-6.0%147.7K-1.2M-14.7K0.3098.77N/AN/A143436,510729
2024-08-20$17.63$18.0016.1%4.6%16.4%16.5%19.8%-0.0%-3.2%155.5K-1.4M-16.0K0.0596.48N/AN/A357176,625749
2024-08-21$17.56$18.0017.2%4.9%16.4%21.8%17.0%-4.6%-6.0%163.3K-1.1M-14.1K0.13103.22N/AN/A394516,930751
2024-08-22$17.31$18.0016.9%4.8%16.5%20.1%0.0%-2.1%-1.3%158.5K-1.3M-15.2K0.19104.92N/AN/A3167,269800
2024-08-23$17.31$18.0017.2%4.9%14.9%21.8%18.0%-1.6%0.1%159.7K-1.3M-15.3K1.24101.04N/AN/A17217,273802
2024-08-26$17.16$18.0019.0%5.5%14.9%30.4%15.5%3.6%-0.5%140.2K-1.3M-16.3K0.17102.65N/AN/A220377,285816
2024-08-27$17.37$18.0018.5%5.3%15.0%27.8%18.3%-0.1%-0.9%166.0K-1.7M-17.3K0.34106.73N/AN/A246847,452821
2024-08-28$17.30$17.0017.8%5.1%14.6%24.7%10.3%7.8%-0.9%163.0K-1.3M-14.0K0.00108.89N/AN/A5607,666877
2024-08-29$17.45$17.0017.3%5.0%15.0%22.1%16.3%0.5%-6.9%181.3K-1.7M-16.6K0.35102.06N/AN/A54197,700877
2024-08-30$17.69$17.0016.2%4.6%15.3%17.0%12.3%-3.4%-5.7%199.6K-1.9M-16.6K0.03109.50N/AN/A560187,679893