CORN Options History — November 2016

In November 2016, CORN traded between $18.60 and $19.45. ATM implied volatility averaged 17.6%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.2% (HV 20d: 17.5%). Max pain ranged from $14.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2016-11-17: Highest Volume — 3,237 contracts
  • 2016-11-09: Largest IV spike — 18.7% change
  • 2016-11-11: Highest IV Rank — 25.3%
  • 2016-11-08: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.01$18.60$19.45$19.21$18.73
Max Pain$14.48$14.00$19.00$19.00$14.00
ATM IV17.6%15.6%19.5%18.4%17.2%
Expected Move5.1%4.6%6.0%5.3%4.9%
HV 20d17.5%16.1%20.7%18.8%18.0%
HV 60d19.1%18.5%19.8%18.5%19.0%
IV Rank19.8%13.9%25.3%22.0%18.7%
IV Percentile18.4%7.5%34.1%21.4%16.3%
Term Structure-0.6%-4.3%3.5%1.0%-2.7%
VWIV19.8%14.3%47.2%21.4%17.6%
Skew 25d-2.4%-8.4%4.6%-4.1%1.0%
Skew 10d-1.5%-10.0%7.4%-5.0%4.3%
Call IV 25d18.7%14.1%22.0%21.2%14.2%
Put IV 25d16.3%12.7%20.7%17.0%15.2%
Bid-Ask Spread %41.1018.2885.5437.2732.17
Gamma HHI0.410.250.620.550.33
Net GEX203.0K86.3K456.2K327.3K124.9K
Net DEX365.7K-1.3M1.3M264.3K627.8K
Net VEX-14.4K-19.7K-11.2K-18.8K-12.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.391.030.560.39
Total Volume2,426.7141,7553,2372,7382,116
Total OI14,733.52411,70616,56715,71212,257

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$19.21$19.0018.4%5.3%18.8%22.0%21.4%-4.1%1.0%327.3K264.3K-18.8K0.5637.27N/AN/A1,75198711,6964,016
2016-11-02$19.13$19.0016.2%4.7%18.8%15.7%47.2%-6.1%2.4%285.5K678.3K-17.1K0.6685.54N/AN/A1,5121,00511,7203,922
2016-11-03$19.21$14.0018.3%5.2%17.6%21.8%18.8%-4.2%3.5%363.9K-588.5K-19.7K0.6437.91N/AN/A1,5641,00712,0563,893
2016-11-04$19.19$14.0018.2%5.5%17.6%21.6%17.8%-3.3%-0.5%349.9K-79.0K-17.9K0.6418.28N/AN/A1,5571,00412,0563,879
2016-11-07$19.11$14.0018.6%5.5%17.4%22.7%19.5%-4.1%-1.1%357.2K-225.3K-17.2K0.7047.51N/AN/A1,38897812,1263,845
2016-11-08$19.45$14.0015.6%6.0%18.5%13.9%19.4%0.7%-4.3%456.2K-1.3M-17.7K0.7318.69N/AN/A1,4361,04612,2383,823
2016-11-09$18.85$14.0018.6%5.3%20.7%22.6%19.3%-8.4%-1.4%298.4K-901.3K-17.5K0.8467.00N/AN/A1,3701,15112,4043,776
2016-11-10$18.85$14.0018.6%5.3%17.3%22.8%18.0%-4.5%-1.9%213.3K389.7K-14.5K0.8138.80N/AN/A1,4011,13412,5143,851
2016-11-11$18.76$14.0019.5%5.6%16.9%25.3%18.5%0.2%-1.1%163.0K805.9K-13.9K0.7533.20N/AN/A1,4411,08612,4633,847
2016-11-14$18.60$14.0019.0%5.5%16.9%24.0%18.5%-3.1%-0.2%89.1K1.3M-12.4K0.8934.24N/AN/A1,4621,29412,4573,784
2016-11-15$18.78$14.0017.8%5.1%17.4%20.4%17.5%-2.4%0.6%86.3K1.1M-12.6K0.8049.62N/AN/A1,4691,17712,4813,970
2016-11-16$18.70$14.0017.8%5.1%17.0%20.3%17.5%-1.9%0.0%89.0K1.2M-11.8K0.7744.50N/AN/A1,4721,13312,4493,978
2016-11-17$18.76$14.0018.0%5.2%16.1%21.0%20.1%-2.2%0.5%87.6K1.2M-12.1K0.9532.81N/AN/A1,6571,58012,4493,973
2016-11-18$18.97$14.0017.6%5.1%16.7%19.9%14.3%4.6%0.4%351.0K1.0M-13.2K1.0331.64N/AN/A1,5371,58112,5194,048
2016-11-21$19.17$14.0017.3%4.9%16.9%18.7%17.9%1.9%-1.9%90.6K426.8K-12.5K0.5048.36N/AN/A1,3356738,8222,899
2016-11-22$19.24$14.0016.6%4.7%16.9%16.6%17.3%-0.9%0.9%87.7K228.7K-13.4K0.4741.42N/AN/A1,3786438,8332,873
2016-11-23$19.25$14.0016.2%4.6%16.3%15.6%17.3%-0.9%-0.7%107.7K292.7K-12.2K0.4951.81N/AN/A1,3356608,9712,871
2016-11-25$19.23$14.0017.0%4.9%16.2%18.1%17.0%-2.4%-1.6%115.5K243.8K-12.3K0.5737.28N/AN/A1,1186378,9812,893
2016-11-28$19.23$14.0017.7%5.1%16.1%20.2%18.2%-2.5%-2.3%116.1K280.2K-11.8K0.5620.18N/AN/A1,1306378,9832,893
2016-11-29$18.74$14.0015.9%4.6%18.4%14.7%22.2%-7.9%-1.4%103.5K776.7K-11.2K0.4354.85N/AN/A1,4806399,0032,892
2016-11-30$18.73$14.0017.2%4.9%18.0%18.7%17.6%1.0%-2.7%124.9K627.8K-12.2K0.3932.17N/AN/A1,5185989,3152,942