CORN Options History — November 2018

In November 2018, CORN traded between $15.81 and $16.47. ATM implied volatility averaged 17.7%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 6.5% (HV 20d: 11.2%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2018-11-30: Highest Volume — 1,174 contracts
  • 2018-11-09: Largest IV spike — 59.2% change
  • 2018-11-09: Highest IV Rank — 100.0%
  • 2018-11-01: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.17$15.81$16.47$16.23$16.15
Max Pain$16.10$16.00$17.00$17.00$16.00
ATM IV17.7%14.0%28.3%19.4%18.6%
Expected Move4.5%4.0%5.6%5.6%5.3%
HV 20d11.2%7.8%13.6%13.0%9.5%
HV 60d14.7%13.5%16.2%16.1%13.8%
IV Rank43.7%23.2%100.0%53.8%47.9%
IV Percentile47.1%11.5%100.0%72.2%59.1%
Term Structure0.3%-2.9%8.1%-2.3%-2.9%
VWIV16.3%14.2%19.3%17.4%18.5%
Skew 25d-2.8%-5.8%3.9%3.9%3.3%
Skew 10d-4.2%-9.5%2.0%2.0%0.7%
Call IV 25d16.7%13.1%19.8%14.6%13.1%
Put IV 25d13.9%11.2%19.7%18.4%16.4%
Bid-Ask Spread %46.6416.3793.9293.9226.63
Gamma HHI0.430.210.890.470.24
Net GEX-55.6K-456.7K37.9K-76.8K37.3K
Net DEX595.7K71.0K1.3M1.1M71.0K
Net VEX-9.9K-12.3K-8.1K-12.0K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.212.500.232.50
Total Volume750.5244881,1746561,174
Total OI6,225.6674,0417,9877,6784,328

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$16.23$17.0019.4%5.6%13.0%53.8%17.4%3.9%-2.3%-76.8K1.1M-12.0K0.2393.92N/AN/A5321244,1983,480
2018-11-02$16.40$17.0014.7%4.2%13.6%27.7%19.3%-0.2%8.1%-50.9K750.2K-12.3K0.3520.88N/AN/A5471914,2063,484
2018-11-05$16.47$16.0019.8%4.7%13.6%56.0%18.2%-3.7%-0.2%-23.1K410.6K-11.9K0.2137.98N/AN/A5001074,2203,453
2018-11-06$16.46$16.0019.8%4.7%13.3%56.2%17.8%-3.4%0.0%-40.0K567.9K-11.8K0.2148.28N/AN/A5031074,2293,454
2018-11-07$16.40$16.0019.7%4.7%13.3%55.8%16.5%-1.5%-0.7%-55.1K750.0K-11.3K0.2147.30N/AN/A5541184,2293,454
2018-11-08$16.46$16.0017.8%4.0%12.3%45.0%16.1%-2.2%3.6%-39.9K592.0K-10.8K0.2581.81N/AN/A4691184,2233,454
2018-11-09$16.36$16.0028.3%4.3%12.1%100.0%14.8%-5.0%0.7%-59.9K909.7K-11.0K0.3154.22N/AN/A3731154,2633,453
2018-11-12$16.33$16.0021.7%4.2%11.5%64.5%16.8%-4.2%1.2%-92.4K914.9K-9.9K0.2985.06N/AN/A3991154,2593,417
2018-11-13$16.17$16.0022.7%4.2%11.9%69.8%14.8%-5.6%-0.1%-166.2K1.3M-9.6K0.3053.66N/AN/A4781434,2463,411
2018-11-14$16.19$16.0014.5%4.2%11.9%26.1%15.0%-5.2%0.2%-173.1K805.4K-9.4K0.9838.83N/AN/A4494414,3593,360
2018-11-15$16.20$16.0014.4%4.1%11.6%25.5%15.0%-3.8%0.4%-188.3K777.8K-9.4K0.9832.27N/AN/A4634534,3493,634
2018-11-16$16.08$16.0015.2%4.4%11.5%29.4%15.4%-4.6%0.1%-456.7K1.2M-9.3K0.9236.73N/AN/A4884474,3523,635
2018-11-19$16.05$16.0017.1%4.9%11.1%39.9%17.2%-5.4%0.1%18.6K195.3K-9.2K1.3169.91N/AN/A3003932,2591,782
2018-11-20$15.99$16.0014.0%4.0%11.1%23.2%14.2%-5.8%2.1%24.4K250.4K-9.2K1.9234.63N/AN/A3095922,3211,804
2018-11-21$16.00$16.0014.9%4.3%11.1%27.8%15.6%-5.8%0.2%24.7K270.3K-8.8K2.3437.88N/AN/A2535922,3381,804
2018-11-23$15.94$16.0014.1%4.0%9.9%23.4%14.3%-1.9%-1.1%26.0K391.8K-8.2K2.1539.79N/AN/A2755922,3441,804
2018-11-26$15.83$16.0016.0%4.6%7.8%34.1%16.0%-2.2%-2.0%24.2K462.2K-8.1K1.0928.76N/AN/A3994342,3661,804
2018-11-27$15.81$16.0016.1%4.6%7.8%34.5%15.7%-4.2%0.3%27.6K454.3K-8.3K1.1516.37N/AN/A3774332,4741,842
2018-11-28$16.01$16.0017.9%5.1%9.1%44.0%18.8%-0.5%-1.4%33.2K175.2K-8.9K1.6041.65N/AN/A2704332,4741,844
2018-11-29$16.00$16.0015.8%4.5%9.0%32.6%15.8%-0.2%-0.4%37.9K202.7K-8.6K1.6352.96N/AN/A2674342,4841,845
2018-11-30$16.15$16.0018.6%5.3%9.5%47.9%18.5%3.3%-2.9%37.3K71.0K-9.2K2.5026.63N/AN/A3358392,4821,846