CORN Options History — January 2018

In January 2018, CORN traded between $16.59 and $17.16. ATM implied volatility averaged 14.0%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 6.7% (HV 20d: 7.3%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2018-01-08: Highest Volume — 1,994 contracts
  • 2018-01-09: Largest IV drop — 25.8% change
  • 2018-01-08: Highest IV Rank — 21.3%
  • 2018-01-29: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.83$16.59$17.16$16.85$17.16
Max Pain$17.90$17.00$18.00$17.00$18.00
ATM IV14.0%10.9%16.0%14.8%12.5%
Expected Move4.1%3.5%4.5%4.3%3.6%
HV 20d7.3%5.9%8.7%7.6%8.4%
HV 60d9.5%9.1%9.8%9.7%9.3%
IV Rank12.8%0.0%21.3%15.1%6.5%
IV Percentile14.4%0.0%31.0%19.0%3.2%
Term Structure1.7%-1.0%4.5%1.4%1.4%
VWIV13.9%11.6%17.7%14.5%12.5%
Skew 25d-1.2%-4.2%2.5%-1.8%1.3%
Skew 10d-0.2%-2.8%3.7%-2.0%1.7%
Call IV 25d12.9%11.2%14.8%13.9%11.2%
Put IV 25d11.6%8.1%15.6%12.1%12.5%
Bid-Ask Spread %32.6315.0147.3515.0147.35
Gamma HHI0.360.250.490.250.46
Net GEX21.7K-117.0K221.3K-83.0K221.3K
Net DEX2.4M-136.3K4.0M2.1M-136.3K
Net VEX-27.3K-31.9K-23.7K-31.9K-26.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.321.360.960.32
Total Volume1,563.4291,2241,9941,7271,298
Total OI16,748.66715,40017,44316,65316,406

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$16.85$17.0014.8%4.3%7.6%15.1%14.5%-1.8%1.4%-83.0K2.1M-31.9K0.9615.01N/AN/A8798489,2807,373
2018-01-03$16.84$17.0014.1%4.0%5.9%12.1%14.3%-1.8%1.8%-107.8K2.3M-31.3K0.6837.81N/AN/A9476429,3707,583
2018-01-04$16.77$18.0010.9%4.2%6.0%0.0%12.1%-4.1%1.9%-108.8K2.9M-30.2K0.5726.99N/AN/A9155269,4187,804
2018-01-05$16.76$18.0013.4%4.2%5.9%10.4%12.1%-4.2%1.4%-117.0K3.0M-29.9K0.5525.12N/AN/A9495259,4857,804
2018-01-08$16.59$18.0016.0%3.7%6.9%21.3%15.9%0.5%2.4%-85.9K4.0M-28.7K1.2442.96N/AN/A8891,1059,6007,805
2018-01-09$16.67$18.0011.9%4.2%7.1%4.0%12.1%-2.1%3.3%-22.0K3.6M-28.2K1.0838.20N/AN/A9371,0159,6207,626
2018-01-10$16.69$18.0014.7%4.2%6.5%15.8%12.0%-3.6%4.5%-24.4K3.3M-28.4K1.0634.19N/AN/A9541,0159,6267,664
2018-01-11$16.69$18.0015.4%4.4%6.3%18.7%11.6%-3.4%3.3%-55.4K3.4M-28.1K1.2234.25N/AN/A8311,0159,6227,664
2018-01-12$16.62$18.0014.7%4.2%6.4%15.9%12.7%-3.9%1.0%-35.8K3.9M-26.5K1.3640.59N/AN/A7631,0369,6477,664
2018-01-16$16.65$18.0014.8%4.2%6.5%16.3%12.6%1.3%2.8%-31.2K4.0M-25.4K1.3335.64N/AN/A8441,1199,6387,681
2018-01-17$16.83$18.0014.0%4.0%7.3%13.0%12.6%-1.4%3.4%-17.4K3.2M-25.7K0.5339.04N/AN/A8014239,6247,819
2018-01-18$16.77$18.0014.2%4.1%7.4%14.0%16.2%-1.7%2.4%13.5K3.2M-26.3K0.5532.18N/AN/A7944339,6377,785
2018-01-19$16.84$18.0012.6%3.6%7.5%6.9%13.0%-0.6%3.5%118.0K3.6M-23.8K0.4238.06N/AN/A9463959,6417,766
2018-01-22$16.79$18.0012.1%3.5%7.5%4.8%15.1%-0.5%1.0%98.4K1.6M-25.8K0.3837.69N/AN/A9193479,2276,173
2018-01-23$16.76$18.0015.0%4.3%7.5%17.2%17.7%-2.9%-0.9%100.3K2.3M-23.7K0.6630.80N/AN/A8315469,2176,185
2018-01-24$16.97$18.0014.6%4.2%8.6%15.5%14.8%-0.3%0.1%99.7K1.3M-25.5K0.6529.17N/AN/A9245999,3036,388
2018-01-25$16.93$18.0013.4%3.9%8.7%10.6%14.2%-0.3%1.5%134.0K1.2M-26.3K0.6825.80N/AN/A8986149,4886,444
2018-01-26$16.98$18.0014.6%4.2%8.6%15.4%15.9%0.0%0.8%113.1K1.2M-26.9K0.5819.23N/AN/A8835169,5666,548
2018-01-29$17.05$18.0015.7%4.5%8.3%19.9%15.7%1.0%-1.0%117.7K558.0K-26.9K0.4831.31N/AN/A1,0695089,6746,549
2018-01-30$17.15$18.0014.7%4.2%8.5%15.9%14.9%2.5%-0.1%127.8K-53.8K-26.9K0.3223.88N/AN/A1,0133219,7596,549
2018-01-31$17.16$18.0012.5%3.6%8.4%6.5%12.5%1.3%1.4%221.3K-136.3K-26.2K0.3247.35N/AN/A9803189,8546,552