CORN Options History — January 2016

In January 2016, CORN traded between $20.84 and $21.69. ATM implied volatility averaged 22.2%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 9.0% (HV 20d: 13.2%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.65.

Notable Days

  • 2016-01-29: Highest Volume — 1,734 contracts
  • 2016-01-13: Largest IV drop — 41.8% change
  • 2016-01-12: Highest IV Rank — 67.2%
  • 2016-01-06: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.30$20.84$21.69$20.90$21.61
Max Pain$22.21$22.00$23.00$23.00$22.00
ATM IV22.2%13.4%36.6%22.6%13.4%
Expected Move5.8%3.8%6.8%6.4%3.8%
HV 20d13.2%12.1%14.5%14.5%13.3%
HV 60d14.1%13.7%14.5%14.3%13.9%
IV Rank22.6%0.0%67.2%23.6%0.0%
IV Percentile36.0%0.0%96.8%45.2%0.0%
Term Structure0.1%-2.2%2.6%0.3%-0.3%
VWIV19.7%15.1%22.4%22.1%15.5%
Skew 25d-0.1%-6.8%4.9%-6.8%0.5%
Skew 10d0.5%-15.9%27.2%-15.9%27.2%
Call IV 25d19.1%13.9%25.5%24.5%15.4%
Put IV 25d19.0%14.9%22.6%17.8%15.9%
Bid-Ask Spread %32.4920.3377.2531.2942.37
Gamma HHI0.160.120.220.170.19
Net GEX29.7K-17.3K51.3K42.4K-17.3K
Net DEX688.6K511.4K967.1K713.7K951.8K
Net VEX-13.8K-16.8K-11.2K-12.3K-16.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.853.200.882.38
Total Volume1,299.8421,0421,7341,3081,734
Total OI5,140.7894,0815,6995,5065,212

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$20.90$23.0022.6%6.4%14.5%23.6%22.1%-6.8%0.3%42.4K713.7K-12.3K0.8831.29N/AN/A6956134,1391,367
2016-01-05$20.91$23.0024.2%6.4%13.5%28.7%22.3%-6.8%-1.1%43.0K677.7K-12.0K0.8536.91N/AN/A7116034,1811,370
2016-01-06$20.88$23.0028.2%6.8%12.1%41.3%22.4%-2.2%-2.2%42.8K716.0K-12.4K0.9541.83N/AN/A6776404,2201,371
2016-01-07$20.89$23.0028.1%6.6%12.1%40.9%22.0%-3.3%-0.5%37.1K802.3K-12.3K1.0229.74N/AN/A6136234,2081,408
2016-01-08$21.14$22.0024.9%6.3%13.1%31.0%21.2%-1.4%-0.4%47.9K677.8K-12.5K1.0231.25N/AN/A6056184,2131,410
2016-01-11$20.84$22.0029.6%6.2%12.6%45.5%20.6%-0.8%-1.7%41.9K748.5K-12.0K0.9831.07N/AN/A6326194,2041,409
2016-01-12$21.03$22.0036.6%6.6%13.2%67.2%21.9%0.9%0.5%46.2K543.5K-12.2K0.9135.56N/AN/A5605104,2421,342
2016-01-13$21.15$22.0021.3%6.1%13.2%19.8%21.1%-1.0%0.3%49.1K513.4K-12.3K0.8922.18N/AN/A5855194,2271,346
2016-01-14$21.08$22.0021.7%6.2%13.2%21.0%19.3%0.2%-0.5%51.3K546.9K-12.3K1.0226.80N/AN/A5745864,2441,356
2016-01-15$21.32$22.0020.4%5.9%13.2%17.0%17.6%-1.0%0.8%26.5K692.2K-12.5K1.0524.14N/AN/A5595864,2421,457
2016-01-19$21.62$22.0020.4%5.9%13.7%17.1%19.3%2.5%1.2%28.9K760.6K-11.2K1.6934.91N/AN/A3886542,7821,299
2016-01-20$21.69$22.0020.2%5.8%13.6%16.3%20.3%2.9%1.1%29.0K620.8K-14.4K2.2125.45N/AN/A4139122,8121,422
2016-01-21$21.52$22.0020.2%5.8%13.7%16.3%18.9%2.0%0.1%17.1K752.4K-16.0K2.4124.70N/AN/A3799122,8101,758
2016-01-22$21.66$22.0018.8%5.4%13.1%11.9%19.5%3.5%2.1%19.4K673.7K-15.5K2.1624.16N/AN/A4259162,8381,684
2016-01-25$21.68$22.0020.6%5.9%13.0%17.5%18.6%0.9%-0.3%24.7K535.1K-16.7K2.3025.31N/AN/A4039252,8961,681
2016-01-26$21.62$22.0018.5%5.3%13.1%11.0%18.2%1.8%0.4%25.5K511.4K-16.8K2.2932.13N/AN/A3959052,9151,691
2016-01-27$21.67$22.0015.0%4.3%12.8%0.3%18.3%4.9%2.6%23.4K678.3K-16.8K3.2077.25N/AN/A3821,2212,9201,791
2016-01-28$21.43$22.0016.2%4.6%13.4%3.8%15.1%1.0%-0.8%-13.9K967.1K-16.7K3.1820.33N/AN/A3841,2212,9232,285
2016-01-29$21.61$22.0013.4%3.8%13.3%0.0%15.5%0.5%-0.3%-17.3K951.8K-16.3K2.3842.37N/AN/A5131,2212,9262,286