CORN Options History — January 2017

In January 2017, CORN traded between $18.93 and $19.65. ATM implied volatility averaged 16.4%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.7% (HV 20d: 13.7%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.32.

Notable Days

  • 2017-01-31: Highest Volume — 1,873 contracts
  • 2017-01-10: Largest IV drop — 25.9% change
  • 2017-01-04: Highest IV Rank — 26.8%
  • 2017-01-04: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.27$18.93$19.65$18.93$19.14
Max Pain$18.20$18.00$20.00$20.00$18.00
ATM IV16.4%13.3%20.0%17.5%17.2%
Expected Move4.7%3.8%5.7%5.0%4.9%
HV 20d13.7%11.3%17.4%17.4%12.3%
HV 60d16.6%16.1%18.0%17.8%16.2%
IV Rank16.1%6.9%26.8%19.4%18.5%
IV Percentile16.2%2.4%41.7%19.8%20.6%
Term Structure2.2%-3.1%6.9%1.4%-0.9%
VWIV16.3%12.9%21.9%18.5%15.3%
Skew 25d-1.8%-6.0%2.0%-0.7%1.3%
Skew 10d0.2%-9.6%23.3%-0.6%-0.1%
Call IV 25d16.9%13.2%18.8%15.2%13.2%
Put IV 25d15.1%12.8%19.0%14.5%14.5%
Bid-Ask Spread %29.5117.2546.5217.2523.08
Gamma HHI0.520.430.620.440.61
Net GEX198.0K143.6K260.2K183.1K157.0K
Net DEX-173.4K-2.1M1.4M1.4M-1.5M
Net VEX-9.7K-10.4K-9.0K-10.0K-10.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.100.560.430.56
Total Volume1,540.851,2431,8731,6291,873
Total OI9,883.94,45712,85312,5434,956

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$18.93$20.0017.5%5.0%17.4%19.4%18.5%-0.7%1.4%183.1K1.4M-10.0K0.4317.25N/AN/A1,1434869,3823,161
2017-01-04$19.16$20.0020.0%5.7%14.4%26.8%21.9%1.6%-3.1%206.5K835.3K-10.3K0.4531.00N/AN/A1,0894869,4163,160
2017-01-05$19.24$18.0016.8%5.0%14.5%17.5%16.5%1.9%2.5%235.2K671.4K-10.1K0.4524.37N/AN/A1,1255049,3973,162
2017-01-06$19.15$18.0017.9%5.2%14.6%20.7%16.7%-3.0%1.6%215.5K799.0K-10.4K0.4228.80N/AN/A1,1664879,3983,174
2017-01-09$19.17$18.0018.9%5.1%14.0%23.6%17.0%-5.1%1.9%213.1K881.1K-9.9K0.4026.13N/AN/A1,1094479,3843,184
2017-01-10$19.08$18.0014.0%4.9%13.5%9.0%15.8%-5.6%4.1%215.3K965.8K-9.4K0.4142.76N/AN/A1,0934479,4103,197
2017-01-11$19.06$18.0017.0%4.9%13.4%18.0%15.3%-5.6%2.2%209.4K1.3M-9.1K0.3725.93N/AN/A1,2494669,4263,196
2017-01-12$19.12$18.0015.9%4.6%13.4%14.8%15.5%-4.8%3.0%239.9K1.0M-9.1K0.3646.52N/AN/A1,2594539,5463,181
2017-01-13$19.12$18.0015.8%4.5%13.4%14.3%14.6%-3.3%2.3%239.7K992.1K-9.1K0.4230.20N/AN/A1,1244699,5563,181
2017-01-17$19.47$18.0013.8%3.9%14.0%8.4%14.6%-3.1%6.3%260.2K51.9K-9.1K0.3534.71N/AN/A1,2284349,5383,218
2017-01-18$19.42$18.0016.0%4.6%14.0%15.0%17.4%-2.5%3.2%191.3K-76.8K-9.2K0.3741.10N/AN/A1,1554319,6293,224
2017-01-19$19.48$18.0017.3%5.0%13.6%18.9%17.5%0.2%1.1%181.9K-60.7K-9.2K0.3523.23N/AN/A1,2084229,5953,210
2017-01-20$19.65$18.0017.7%5.1%13.3%20.0%14.4%0.6%3.3%168.9K-95.9K-9.0K0.1627.97N/AN/A1,3802259,5203,204
2017-01-23$19.63$18.0017.4%5.0%13.0%19.1%15.9%1.7%-0.2%180.6K-2.1M-9.5K0.1023.85N/AN/A1,1761213,709748
2017-01-24$19.37$18.0016.2%4.6%14.0%15.5%15.5%0.4%0.3%181.5K-1.9M-9.8K0.1221.97N/AN/A1,1911373,800769
2017-01-25$19.47$18.0013.3%3.8%14.0%6.9%12.9%2.0%6.9%181.5K-1.9M-10.2K0.1220.21N/AN/A1,1741453,868814
2017-01-26$19.35$18.0015.4%4.4%13.0%13.3%18.9%-3.1%2.4%181.9K-1.8M-10.3K0.1425.93N/AN/A1,1031533,920814
2017-01-27$19.29$18.0014.7%4.2%11.3%11.1%16.2%-3.5%2.3%174.2K-1.7M-10.2K0.1539.27N/AN/A1,0801633,928879
2017-01-30$19.07$18.0014.7%4.2%12.3%11.2%16.3%-6.0%2.6%143.6K-1.3M-9.7K0.1835.90N/AN/A1,1992173,948876
2017-01-31$19.14$18.0017.2%4.9%12.3%18.5%15.3%1.3%-0.9%157.0K-1.5M-10.2K0.5623.08N/AN/A1,2016724,064892