CORN Options History — December 2016

In December 2016, CORN traded between $18.45 and $19.32. ATM implied volatility averaged 18.3%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 0.5% (HV 20d: 18.8%). Max pain ranged from $14.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2016-12-02: Highest Volume — 2,375 contracts
  • 2016-12-14: Largest IV drop — 29.5% change
  • 2016-12-13: Highest IV Rank — 42.5%
  • 2016-12-16: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.93$18.45$19.32$18.45$18.72
Max Pain$20.05$14.00$21.00$14.00$20.00
ATM IV18.3%14.2%25.2%14.8%18.1%
Expected Move5.0%4.1%5.5%4.2%5.2%
HV 20d18.8%17.4%22.0%18.7%17.4%
HV 60d18.7%18.1%19.8%18.9%18.1%
IV Rank21.9%9.5%42.5%11.3%21.2%
IV Percentile28.3%3.2%70.6%4.8%26.2%
Term Structure0.8%-2.1%3.7%-0.9%1.2%
VWIV18.2%13.5%22.7%17.1%17.3%
Skew 25d-2.0%-9.6%6.6%-9.6%-3.7%
Skew 10d-0.3%-8.0%8.1%-2.7%-1.3%
Call IV 25d17.6%13.8%22.1%21.1%16.4%
Put IV 25d15.5%11.3%20.4%11.5%12.7%
Bid-Ask Spread %28.4719.2256.4556.4519.30
Gamma HHI0.370.270.420.270.41
Net GEX136.6K101.3K174.7K101.3K148.0K
Net DEX914.1K-457.7K2.1M1.3M1.8M
Net VEX-11.5K-14.1K-9.7K-10.8K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.390.710.390.46
Total Volume1,870.191,5492,3752,1741,549
Total OI12,532.90511,97012,94212,30612,503

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$18.45$14.0014.8%4.2%18.7%11.3%17.1%-9.6%-0.9%101.3K1.3M-10.8K0.3956.45N/AN/A1,5656099,3402,966
2016-12-02$18.64$14.0018.2%5.2%19.0%21.5%17.3%-5.8%-0.8%102.3K1.2M-11.3K0.4625.86N/AN/A1,6307459,4212,966
2016-12-05$19.20$21.0020.7%4.8%22.0%29.1%18.7%-0.8%2.2%148.2K95.6K-12.6K0.6536.57N/AN/A1,1967769,5483,072
2016-12-06$19.23$21.0020.6%5.3%22.0%28.7%17.4%-1.4%1.6%156.4K-457.7K-14.1K0.7128.30N/AN/A1,1828359,5673,092
2016-12-07$19.18$21.0017.8%5.2%21.0%20.2%17.0%-2.1%0.5%141.3K-17.3K-13.4K0.7019.54N/AN/A1,1908359,6423,147
2016-12-08$18.97$21.0017.8%4.8%18.1%20.2%17.1%-4.6%3.2%121.0K589.7K-12.0K0.7124.35N/AN/A1,1608189,6153,137
2016-12-09$19.19$21.0020.4%5.3%18.5%28.1%22.4%1.6%0.1%146.1K73.4K-13.3K0.7026.01N/AN/A1,1518019,6363,182
2016-12-12$19.28$21.0021.9%5.5%18.4%32.6%18.5%-0.1%-1.0%148.0K-4.6K-12.5K0.6521.82N/AN/A1,2368019,6333,190
2016-12-13$19.32$21.0025.2%5.1%18.1%42.5%17.2%3.2%0.7%158.8K-192.2K-12.4K0.4824.29N/AN/A1,1885659,6443,185
2016-12-14$19.32$21.0017.8%5.1%17.8%20.3%21.2%0.2%-2.1%174.7K71.8K-11.8K0.4834.92N/AN/A1,1905739,6433,238
2016-12-15$19.06$21.0018.2%5.2%18.5%21.4%19.4%-4.5%1.6%138.9K317.5K-12.3K0.4725.17N/AN/A1,1975639,6993,240
2016-12-16$19.13$21.0019.3%5.5%18.5%24.8%21.7%-1.9%-1.5%109.4K189.6K-12.3K0.3919.22N/AN/A1,4295579,7013,241
2016-12-19$18.96$21.0014.4%4.1%18.4%10.1%14.7%-4.7%3.7%135.8K1.6M-9.9K0.4731.26N/AN/A1,1875608,8323,138
2016-12-20$18.80$21.0014.2%4.1%18.2%9.5%13.5%-4.8%3.4%130.5K1.9M-9.7K0.4530.66N/AN/A1,2395618,8663,142
2016-12-21$18.68$21.0015.8%4.5%18.3%14.5%17.9%-5.8%2.1%121.6K1.8M-10.7K0.4534.31N/AN/A1,2615729,0113,138
2016-12-22$18.62$20.0017.3%5.0%18.2%18.8%17.9%1.1%0.5%115.3K2.1M-10.3K0.4626.29N/AN/A1,1105159,0813,128
2016-12-23$18.60$20.0016.8%4.8%18.2%17.2%16.9%0.2%1.1%117.3K2.1M-10.3K0.4726.16N/AN/A1,1745539,1263,142
2016-12-27$18.94$20.0018.6%5.3%19.6%22.7%19.4%6.6%0.1%154.7K1.4M-10.9K0.4330.49N/AN/A1,2445389,2163,148
2016-12-28$18.63$20.0018.4%5.3%18.2%22.3%22.7%-2.8%1.7%152.1K1.6M-10.7K0.4033.42N/AN/A1,2404959,3323,153
2016-12-29$18.69$20.0018.5%5.3%18.2%22.5%17.6%-3.5%0.6%146.9K1.7M-10.7K0.4123.55N/AN/A1,1924929,3343,156
2016-12-30$18.72$20.0018.1%5.2%17.4%21.2%17.3%-3.7%1.2%148.0K1.8M-10.3K0.4619.30N/AN/A1,0614889,3413,162