CORN Options History — November 2015

In November 2015, CORN traded between $21.68 and $22.91. ATM implied volatility averaged 20.8%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 7.1% (HV 20d: 13.7%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2015-11-04: Highest Volume — 1,982 contracts
  • 2015-11-06: Largest IV spike — 38.0% change
  • 2015-11-10: Highest IV Rank — 40.5%
  • 2015-11-10: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.10$21.68$22.91$22.74$22.03
Max Pain$22.80$22.00$24.00$24.00$22.00
ATM IV20.8%16.3%28.0%20.3%21.9%
Expected Move5.9%4.7%6.7%5.8%6.3%
HV 20d13.7%12.5%14.9%14.7%13.4%
HV 60d16.3%15.3%20.4%20.4%15.6%
IV Rank18.3%4.2%40.5%16.7%21.5%
IV Percentile21.8%0.8%71.8%13.1%32.5%
Term Structure-2.1%-7.9%4.0%0.7%-1.9%
VWIV19.0%14.1%21.9%18.6%21.9%
Skew 25d0.5%-5.1%8.3%-0.5%-0.6%
Skew 10d-0.5%-10.8%7.3%-2.5%7.3%
Call IV 25d18.8%12.1%23.4%23.4%15.9%
Put IV 25d19.2%13.4%25.2%22.9%15.2%
Bid-Ask Spread %33.2120.1270.1426.9029.18
Gamma HHI0.240.120.510.180.13
Net GEX-23.2K-101.5K35.1K18.7K35.1K
Net DEX1.2M439.0K2.0M705.4K451.8K
Net VEX-15.0K-17.6K-13.1K-16.7K-13.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.001.681.370.14
Total Volume991.2581,9821,2718
Total OI7,085.054,9508,0087,0485,099

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$22.74$24.0020.3%5.8%14.7%16.7%18.6%-0.5%0.7%18.7K705.4K-16.7K1.3726.90N/AN/A5367354,4912,557
2015-11-03$22.91$24.0023.1%6.6%14.5%25.4%20.7%7.4%-1.9%9.8K774.7K-16.7K1.3125.91N/AN/A5767544,4922,559
2015-11-04$22.89$23.0020.7%5.9%14.5%17.9%19.3%8.3%0.2%20.0K668.8K-16.7K0.5936.08N/AN/A1,2467364,5022,572
2015-11-05$22.58$24.0018.4%6.3%14.9%10.7%21.3%-4.2%-0.1%12.6K790.1K-17.6K0.5930.04N/AN/A1,2457375,3292,570
2015-11-06$22.58$24.0025.4%6.1%13.2%32.3%21.3%-1.1%1.9%-7.9K1.0M-17.3K0.4833.19N/AN/A25125,3272,557
2015-11-09$22.27$23.0024.0%6.2%14.0%28.2%19.9%-5.1%-7.9%-28.8K1.3M-17.3K0.2334.68N/AN/A106245,3272,568
2015-11-10$21.90$23.0028.0%6.7%14.4%40.5%20.8%-4.4%-2.6%-64.4K1.9M-15.9K1.5062.86N/AN/A5037565,4062,584
2015-11-11$21.91$23.0021.8%6.3%14.0%21.4%20.9%-0.0%-7.6%-75.5K1.9M-15.2K1.5032.05N/AN/A5037565,4252,580
2015-11-12$21.87$23.0021.1%6.1%14.0%19.3%18.2%-0.8%-7.2%-75.6K2.0M-14.5K1.3520.12N/AN/A5747765,4272,579
2015-11-13$21.68$23.0020.9%6.0%14.0%18.4%17.1%-0.1%3.0%-93.2K2.0M-14.7K1.3440.73N/AN/A5727695,4512,546
2015-11-16$21.72$23.0022.1%6.3%13.8%22.1%21.8%-0.4%-7.9%-99.5K2.0M-13.8K1.6224.79N/AN/A13215,4762,532
2015-11-17$21.80$23.0019.9%5.7%13.8%15.4%19.9%-1.7%-7.1%-101.5K1.9M-14.1K1.4370.14N/AN/A5958485,4812,522
2015-11-18$21.77$22.0019.1%5.5%13.3%13.0%18.4%-1.9%-3.4%-73.8K1.5M-13.6K1.2543.28N/AN/A5957465,5452,357
2015-11-19$21.89$22.0018.6%5.3%13.5%11.3%14.1%-0.7%-5.0%-73.1K1.4M-13.7K1.4423.78N/AN/A6399185,5452,354
2015-11-20$21.87$22.0018.9%5.4%13.4%12.4%15.6%-0.6%-3.8%21.0K1.5M-13.6K1.1336.48N/AN/A6467335,5552,288
2015-11-23$22.02$22.0016.3%4.7%12.8%4.2%16.3%6.7%4.0%19.2K593.9K-13.4K0.0025.23N/AN/A9103,5821,368
2015-11-24$21.89$22.0018.2%5.2%12.6%10.2%18.4%5.8%2.1%30.8K467.6K-13.9K0.0022.65N/AN/A1503,6571,368
2015-11-25$21.99$22.0017.4%5.0%12.6%7.6%17.3%5.2%3.2%30.4K439.0K-13.8K1.6823.96N/AN/A3736253,6591,368
2015-11-27$21.75$22.0020.4%5.8%12.5%17.0%19.0%-1.9%-0.1%31.6K504.5K-13.4K1.6122.14N/AN/A3906283,7081,388
2015-11-30$22.03$22.0021.9%6.3%13.4%21.5%21.9%-0.6%-1.9%35.1K451.8K-13.1K0.1429.18N/AN/A713,7321,367