CORN Options History — September 2024

In September 2024, CORN traded between $17.75 and $18.46. ATM implied volatility averaged 15.1%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.2% (HV 20d: 14.9%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2024-09-04: Highest Volume — 557 contracts
  • 2024-09-11: Largest IV drop — 34.6% change
  • 2024-09-04: Highest IV Rank — 40.2%
  • 2024-09-04: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.06$17.75$18.46$17.96$18.46
Max Pain$17.85$17.00$18.00$17.00$18.00
ATM IV15.1%9.6%21.1%18.5%13.8%
Expected Move4.2%2.8%6.1%5.3%4.0%
HV 20d14.9%13.4%16.3%16.1%14.2%
HV 60d18.0%17.6%18.5%18.3%17.6%
IV Rank15.8%0.0%40.2%28.0%17.4%
IV Percentile13.1%0.0%71.4%25.0%4.0%
Term Structure1.8%-9.6%8.1%-0.2%-0.1%
VWIV15.5%9.1%23.0%19.8%11.1%
Skew 25d1.6%-6.3%7.8%-6.3%0.7%
Skew 10d3.6%-10.1%13.9%-10.1%0.7%
Call IV 25d13.1%10.2%22.0%22.0%10.3%
Put IV 25d14.7%11.0%21.3%15.7%11.1%
Bid-Ask Spread %126.56107.47142.94107.47124.79
Gamma HHI0.290.240.340.240.29
Net GEX209.8K128.7K320.8K220.8K320.8K
Net DEX-2.0M-3.0M-898.4K-2.0M-3.0M
Net VEX-17.0K-19.2K-13.8K-17.1K-17.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.002.820.180.16
Total Volume233.863557232415
Total OI9,184.858,3309,6688,3309,277

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$17.96$17.0018.5%5.3%16.1%28.0%19.8%-6.3%-0.2%220.8K-2.0M-17.1K0.18107.47N/AN/A196367,429901
2024-09-04$18.12$18.0021.1%6.1%16.3%40.2%21.1%6.6%-9.6%230.9K-2.1M-16.8K2.36109.58N/AN/A1663917,477927
2024-09-05$18.05$17.0018.8%5.2%16.2%29.4%23.0%1.1%1.6%161.3K-1.9M-18.0K0.22133.78N/AN/A387877,4571,287
2024-09-06$17.89$17.0018.5%5.4%16.1%27.7%19.3%5.2%-0.6%153.6K-1.4M-16.9K2.82122.14N/AN/A872457,6941,372
2024-09-09$17.93$18.0018.9%3.3%16.0%29.7%11.5%-0.1%6.9%175.6K-1.7M-17.2K0.58123.43N/AN/A90527,7151,279
2024-09-10$17.84$18.0019.4%5.5%15.6%32.2%13.3%3.4%-0.6%165.3K-1.5M-16.5K0.25118.44N/AN/A268667,7681,293
2024-09-11$17.88$18.0012.7%3.6%15.2%0.5%13.9%4.4%4.3%183.7K-1.6M-17.1K1.08130.29N/AN/A73798,0121,339
2024-09-12$17.91$18.0012.7%3.6%15.0%0.5%14.5%1.1%2.9%194.4K-1.7M-16.3K0.28136.44N/AN/A120338,0601,294
2024-09-13$18.16$18.0016.8%4.8%15.4%19.7%16.8%2.9%2.5%217.5K-2.3M-19.2K1.30128.20N/AN/A1622118,1431,339
2024-09-16$18.08$18.0016.1%4.6%14.8%16.3%16.1%7.8%2.4%196.8K-2.1M-18.2K0.03117.10N/AN/A7228,1801,338
2024-09-17$18.15$18.0012.4%3.6%13.4%0.0%14.1%0.4%2.7%196.3K-2.2M-18.0K1.17131.12N/AN/A1311538,2141,339
2024-09-18$18.13$18.0012.3%3.5%13.4%0.0%20.0%6.6%7.5%168.6K-2.2M-17.8K0.15142.94N/AN/A5588,2921,376
2024-09-19$17.92$18.0012.8%3.7%14.1%2.4%15.5%4.5%6.1%128.7K-1.4M-15.5K1.31139.85N/AN/A35468,2651,379
2024-09-20$17.75$18.0013.4%3.9%13.5%5.5%14.0%-0.6%-1.3%175.8K-898.4K-13.8K0.84124.11N/AN/A117988,2701,353
2024-09-23$18.16$18.009.6%2.8%15.5%0.0%9.1%0.8%8.1%240.4K-2.3M-17.1K0.11128.10N/AN/A231267,926985
2024-09-24$18.16$18.0012.8%3.7%14.9%13.2%15.7%-4.9%1.9%260.7K-2.4M-17.2K0.09120.23N/AN/A8988,1121,000
2024-09-25$18.21$18.0014.0%4.0%14.5%18.1%17.9%1.1%-0.6%272.9K-2.4M-17.3K0.00116.83N/AN/A15508,1971,006
2024-09-26$18.14$18.0013.8%3.9%14.5%17.1%12.9%-2.1%1.4%251.1K-2.3M-16.6K0.02141.38N/AN/A15638,1371,006
2024-09-27$18.26$18.0014.0%4.0%14.4%18.1%11.2%-0.7%0.5%280.6K-2.5M-16.8K0.09135.06N/AN/A116118,2501,009
2024-09-30$18.46$18.0013.8%4.0%14.2%17.4%11.1%0.7%-0.1%320.8K-3.0M-17.3K0.16124.79N/AN/A359568,278999