CORN Options History — December 2017

In December 2017, CORN traded between $16.58 and $17.11. ATM implied volatility averaged 15.2%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 4.8% (HV 20d: 10.4%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.01.

Notable Days

  • 2017-12-13: Highest Volume — 5,798 contracts
  • 2017-12-28: Largest IV spike — 17.5% change
  • 2017-12-05: Highest IV Rank — 26.2%
  • 2017-12-01: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.76$16.58$17.11$17.11$16.77
Max Pain$17.45$17.00$18.00$18.00$17.00
ATM IV15.2%12.7%17.4%16.6%15.1%
Expected Move4.2%3.6%4.7%4.7%4.3%
HV 20d10.4%7.8%12.4%11.6%7.8%
HV 60d10.1%9.7%10.7%10.3%9.7%
IV Rank16.9%6.1%26.2%22.4%16.4%
IV Percentile19.4%2.0%38.9%28.6%21.0%
Term Structure0.7%-1.5%2.6%-1.5%0.3%
VWIV13.9%11.6%16.6%16.6%13.5%
Skew 25d-1.3%-6.9%3.9%2.1%-3.4%
Skew 10d0.8%-8.3%23.4%2.7%-2.4%
Call IV 25d13.5%11.5%16.5%13.4%14.0%
Put IV 25d12.2%8.6%15.8%15.5%10.6%
Bid-Ask Spread %21.707.2865.0657.4212.51
Gamma HHI0.290.240.360.290.29
Net GEX-80.4K-145.9K18.3K18.3K-79.7K
Net DEX2.2M-23.9K4.1M-23.9K2.5M
Net VEX-24.9K-33.7K-15.8K-17.0K-32.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.745.015.013.24
Total Volume2,904.47945,7982,5483,574
Total OI12,735.258,03416,6028,03416,602

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$17.11$18.0016.6%4.7%11.6%22.4%16.6%2.1%-1.5%18.3K-23.9K-17.0K5.0157.42N/AN/A4242,1245,0772,957
2017-12-04$16.88$18.0016.6%4.1%12.4%22.6%13.0%-5.6%1.1%-56.9K862.3K-17.4K2.3232.02N/AN/A3959175,1343,755
2017-12-05$16.89$18.0017.4%4.2%12.4%26.2%14.7%-0.7%0.8%-80.9K972.6K-17.7K0.8616.37N/AN/A4503875,1383,973
2017-12-06$16.83$18.0015.2%4.2%12.4%16.8%14.2%3.9%0.0%-86.6K1.2M-16.6K0.8811.56N/AN/A4373865,1563,973
2017-12-07$16.80$18.0016.1%4.2%12.4%20.5%12.6%-6.9%-0.7%-82.8K1.3M-16.9K0.827.28N/AN/A4713865,1593,985
2017-12-08$16.85$18.0015.3%4.0%11.5%17.3%13.5%-3.2%-0.2%-113.7K1.5M-16.5K0.829.54N/AN/A4733865,1694,177
2017-12-11$16.72$18.0016.9%4.0%11.8%24.0%11.6%-2.2%0.6%-122.1K1.7M-15.8K0.9711.88N/AN/A4033915,1734,177
2017-12-12$16.64$18.0016.4%4.1%11.8%21.8%12.9%-3.6%-0.9%-145.9K2.1M-15.8K1.1533.26N/AN/A3734295,1974,392
2017-12-13$16.67$18.0016.4%4.7%11.1%21.6%15.9%1.8%1.0%-126.9K2.1M-17.3K0.7465.06N/AN/A3,3332,4655,1894,467
2017-12-14$16.67$17.0015.8%4.5%11.0%19.2%14.1%1.7%1.5%-93.9K3.7M-29.5K0.8825.69N/AN/A2,7172,3958,0326,520
2017-12-15$16.59$17.0014.8%4.2%11.0%14.8%14.3%1.1%0.4%-61.4K4.1M-27.1K1.3635.20N/AN/A2,1032,8578,1556,474
2017-12-18$16.58$17.0014.5%4.2%9.0%13.7%14.0%-0.1%1.6%-78.8K3.6M-29.9K1.328.90N/AN/A1,9062,5168,3606,426
2017-12-19$16.61$17.0013.8%3.9%9.0%10.6%14.3%1.1%1.9%-67.3K3.7M-31.0K3.1913.40N/AN/A8142,5948,7016,613
2017-12-20$16.68$17.0013.6%3.9%9.2%9.6%13.5%0.5%2.0%-71.8K3.3M-32.1K3.2712.96N/AN/A7992,6098,8006,759
2017-12-21$16.73$17.0014.2%4.1%9.2%12.5%14.2%-3.3%1.3%-71.5K2.9M-33.7K2.4112.85N/AN/A1,1062,6658,7876,850
2017-12-22$16.79$17.0014.0%4.0%9.1%11.6%14.0%-2.8%0.9%-73.1K2.4M-33.4K2.4918.65N/AN/A1,0792,6859,1647,023
2017-12-26$16.80$17.0014.5%4.2%8.9%13.9%14.5%-2.4%1.4%-72.3K2.2M-33.1K2.3518.25N/AN/A1,1172,6269,2157,039
2017-12-27$16.87$17.0012.7%3.6%8.7%6.1%12.7%-1.5%2.6%-76.6K1.9M-33.2K2.9517.55N/AN/A9392,7689,2657,109
2017-12-28$16.76$17.0015.0%4.3%8.0%15.6%14.0%-2.3%-0.6%-64.7K2.5M-32.6K3.1713.73N/AN/A8612,7289,2737,290
2017-12-29$16.77$17.0015.1%4.3%7.8%16.4%13.5%-3.4%0.3%-79.7K2.5M-32.4K3.2412.51N/AN/A8432,7319,2797,323