CORN Options History — December 2015

In December 2015, CORN traded between $21.20 and $22.50. ATM implied volatility averaged 19.7%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.3% (HV 20d: 15.4%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.16.

Notable Days

  • 2015-12-15: Highest Volume — 1,335 contracts
  • 2015-12-28: Largest IV drop — 16.8% change
  • 2015-12-08: Highest IV Rank — 21.9%
  • 2015-12-09: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.92$21.20$22.50$22.13$21.20
Max Pain$20.73$20.00$22.00$22.00$21.00
ATM IV19.7%16.7%22.0%18.8%20.4%
Expected Move5.6%4.8%6.3%5.4%5.8%
HV 20d15.4%12.7%17.0%12.7%15.5%
HV 60d14.8%14.1%15.9%15.6%14.1%
IV Rank14.7%5.6%21.9%12.0%16.9%
IV Percentile15.4%2.0%35.3%6.0%22.2%
Term Structure1.1%-4.4%6.7%1.6%1.7%
VWIV18.9%16.6%27.8%18.8%20.7%
Skew 25d-0.7%-8.8%8.3%0.7%-4.3%
Skew 10d2.7%-7.6%40.7%-0.8%-4.1%
Call IV 25d19.2%14.3%23.4%14.3%23.4%
Put IV 25d18.5%13.2%29.3%15.0%19.1%
Bid-Ask Spread %35.7818.8680.8118.8620.09
Gamma HHI0.190.110.420.130.18
Net GEX52.1K31.5K99.7K38.5K42.4K
Net DEX258.1K-262.3K673.8K263.0K673.8K
Net VEX-13.5K-14.6K-11.8K-14.0K-11.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.001.810.000.98
Total Volume1,034.95571,335301,276
Total OI5,269.0915,1055,5015,1055,342

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$22.13$22.0018.8%5.4%12.7%12.0%18.8%0.7%1.6%38.5K263.0K-14.0K0.0018.86N/AN/A3003,7371,368
2015-12-02$21.86$22.0020.9%6.0%12.8%18.6%17.3%-2.0%-0.5%36.2K328.7K-14.2K1.8120.19N/AN/A3446223,7671,368
2015-12-03$22.23$20.0019.6%5.6%14.5%14.4%21.3%3.3%2.3%34.0K256.2K-14.0K1.6433.10N/AN/A3886363,7671,369
2015-12-04$22.50$20.0018.3%5.3%14.5%10.3%17.9%3.1%2.6%38.0K71.2K-14.5K1.6330.14N/AN/A3876303,8061,369
2015-12-07$22.06$20.0019.9%5.5%16.1%15.4%19.3%1.2%-0.4%33.6K156.5K-14.0K0.1731.60N/AN/A613,7931,360
2015-12-08$22.04$20.0022.0%6.0%15.4%21.9%19.0%1.3%-0.6%35.8K245.4K-14.0K1.7031.16N/AN/A3706303,7961,361
2015-12-09$22.08$20.0021.8%6.3%14.1%21.3%21.1%2.3%-1.6%43.0K238.6K-13.8K1.1735.14N/AN/A5166023,8551,361
2015-12-10$22.35$20.0020.6%5.9%14.7%17.6%20.7%0.1%0.9%99.7K-110.2K-13.9K1.0930.29N/AN/A5536024,0171,361
2015-12-11$22.17$20.0020.5%5.9%15.1%17.3%16.8%3.3%-0.6%82.0K-92.0K-14.6K0.9332.27N/AN/A6516054,0611,361
2015-12-14$22.29$20.0019.6%5.6%14.7%14.5%16.8%-3.7%0.2%92.6K-223.8K-13.9K0.9339.63N/AN/A6516054,1271,364
2015-12-15$22.21$21.0020.0%5.7%14.8%15.7%16.6%-3.3%0.3%98.9K-31.7K-13.8K0.9134.43N/AN/A6996364,0541,365
2015-12-16$21.86$21.0019.3%5.5%16.0%13.5%18.5%-7.0%-4.4%89.9K407.0K-12.4K1.0880.81N/AN/A5816304,1011,400
2015-12-17$22.08$21.0021.2%6.1%16.3%19.3%17.8%0.9%-0.8%94.2K133.9K-13.7K1.0944.94N/AN/A5776304,1011,378
2015-12-18$22.16$21.0019.7%5.6%16.3%14.8%17.9%-2.8%1.3%39.2K-262.3K-14.1K1.1035.02N/AN/A5786334,1061,370
2015-12-21$22.00$21.0019.9%5.7%16.5%15.4%17.2%-5.6%0.8%35.7K341.7K-13.9K1.3342.18N/AN/A4726273,8281,324
2015-12-22$21.70$21.0019.4%5.6%17.0%13.8%27.8%-8.8%0.8%32.9K453.9K-13.0K1.3076.53N/AN/A4836273,8281,325
2015-12-23$21.64$21.0017.8%5.1%16.9%9.0%19.9%-1.0%4.0%31.5K509.7K-13.1K1.3931.59N/AN/A4466203,8381,325
2015-12-24$21.59$21.0020.4%5.8%16.8%17.0%19.2%-2.0%0.5%32.1K520.2K-12.9K1.2922.25N/AN/A4746113,8421,324
2015-12-28$21.43$21.0017.0%4.9%16.6%6.3%16.8%-0.4%5.0%36.4K550.6K-12.6K1.3327.98N/AN/A4656203,8721,325
2015-12-29$21.48$21.0016.7%4.8%15.9%5.6%16.6%8.3%6.7%41.8K615.2K-12.3K1.4229.20N/AN/A4516403,9031,334
2015-12-30$21.28$21.0019.4%5.6%16.0%13.8%18.6%1.9%5.1%37.0K632.2K-12.2K1.2239.82N/AN/A5246403,9121,355
2015-12-31$21.20$21.0020.4%5.8%15.5%16.9%20.7%-4.3%1.7%42.4K673.8K-11.8K0.9820.09N/AN/A6456313,9871,355