CORN Options History — December 2018

In December 2018, CORN traded between $15.99 and $16.47. ATM implied volatility averaged 15.1%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 5.8% (HV 20d: 9.3%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2018-12-21: Highest Volume — 406 contracts
  • 2018-12-12: Largest IV spike — 44.3% change
  • 2018-12-10: Highest IV Rank — 43.8%
  • 2018-12-26: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.29$15.99$16.47$16.30$16.05
Max Pain$16.55$16.00$17.00$16.00$16.00
ATM IV15.1%10.3%17.9%10.3%15.4%
Expected Move4.3%3.0%4.9%3.0%4.4%
HV 20d9.3%8.2%10.6%9.3%9.2%
HV 60d12.1%10.5%14.0%14.0%10.5%
IV Rank29.1%3.5%43.8%3.5%30.7%
IV Percentile24.1%0.4%48.0%0.4%23.8%
Term Structure0.3%-1.7%5.4%1.1%0.9%
VWIV16.0%12.9%20.2%20.2%15.4%
Skew 25d-1.3%-9.6%3.6%-9.6%2.2%
Skew 10d7.4%-5.8%88.0%-4.3%2.7%
Call IV 25d15.6%11.3%19.5%19.5%12.3%
Put IV 25d14.3%9.9%15.8%9.9%14.5%
Bid-Ask Spread %38.3724.9578.3224.9537.02
Gamma HHI0.270.210.350.250.33
Net GEX1.7K-22.1K18.8K6.5K-22.1K
Net DEX54.3K-282.1K612.3K44.8K555.8K
Net VEX-9.0K-10.1K-7.5K-10.1K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.003.630.000.00
Total Volume137.75540611742
Total OI4,788.254,4544,8934,7644,732

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$16.30$16.0010.3%3.0%9.3%3.5%20.2%-9.6%1.1%6.5K44.8K-10.1K0.0024.95N/AN/A11702,5042,260
2018-12-04$16.41$16.0013.4%3.8%9.5%19.6%12.9%3.5%3.8%14.3K-35.9K-10.1K0.1960.36N/AN/A122232,5622,260
2018-12-05$16.41$16.0013.8%3.9%9.5%21.9%14.1%3.6%3.6%14.4K-84.8K-9.9K0.3578.32N/AN/A122432,5622,260
2018-12-06$16.36$17.0016.5%4.7%9.5%36.4%19.0%-3.3%-0.9%11.2K-63.2K-9.8K1.0031.81N/AN/A49492,5572,230
2018-12-07$16.42$17.0016.6%3.7%9.5%37.2%15.7%-0.3%5.4%14.0K-173.9K-10.1K0.9853.85N/AN/A100982,5902,250
2018-12-10$16.37$17.0017.9%4.4%9.3%43.8%16.7%-3.0%0.8%14.6K-147.0K-9.7K3.6329.79N/AN/A8292,5872,243
2018-12-11$16.44$17.0010.9%4.4%9.4%6.3%16.1%-2.6%0.6%6.9K-216.6K-9.5K2.2030.68N/AN/A15332,5932,228
2018-12-12$16.44$17.0015.7%4.5%8.6%32.1%17.1%-1.4%-1.4%10.1K-282.1K-9.4K2.0629.80N/AN/A17352,5982,228
2018-12-13$16.40$17.0015.8%4.5%8.6%32.5%16.1%-1.0%-0.6%10.2K-259.9K-9.2K2.1734.83N/AN/A24522,6032,228
2018-12-14$16.42$17.0015.6%4.5%8.6%31.7%16.2%-2.0%-0.0%11.3K-235.6K-9.2K1.6329.78N/AN/A32522,6002,253
2018-12-17$16.38$17.0016.4%4.7%8.2%36.1%16.3%-2.3%-0.5%11.5K-100.2K-9.0K0.0036.15N/AN/A502,5982,249
2018-12-18$16.47$17.0014.7%4.2%8.3%26.7%16.1%-3.0%-1.4%6.0K-254.2K-8.8K0.3530.35N/AN/A34122,5992,249
2018-12-19$16.33$17.0015.2%4.4%8.8%29.6%15.0%-2.4%-0.6%5.9K-129.9K-8.6K0.7353.53N/AN/A33242,6282,233
2018-12-20$16.11$17.0016.1%4.6%10.2%34.2%16.7%-5.1%-0.9%18.8K347.2K-8.4K1.3439.95N/AN/A61822,6362,254
2018-12-21$16.19$16.0015.3%4.4%10.2%30.1%15.7%-3.6%0.1%-17.0K25.0K-8.3K0.0733.31N/AN/A380262,6722,221
2018-12-24$16.14$16.0014.4%4.1%9.9%25.1%14.1%1.2%1.2%-18.5K440.7K-8.2K0.1041.06N/AN/A225222,3552,099
2018-12-26$15.99$16.0017.0%4.9%10.6%39.0%17.0%1.9%-1.7%-21.7K612.3K-7.5K0.0230.67N/AN/A21652,5552,099
2018-12-27$16.07$16.0016.6%4.8%9.7%37.0%15.3%0.4%-1.5%-20.5K543.5K-7.9K0.0330.99N/AN/A26072,5582,104
2018-12-28$16.10$16.0015.0%4.3%9.7%28.6%14.5%0.8%-0.9%-21.7K501.1K-7.8K0.1630.10N/AN/A259422,5932,135
2018-12-31$16.05$16.0015.4%4.4%9.2%30.7%15.4%2.2%0.9%-22.1K555.8K-7.6K0.0037.02N/AN/A4202,5962,136