CORN Options History — January 2019

In January 2019, CORN traded between $16.04 and $16.39. ATM implied volatility averaged 13.8%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.1% (HV 20d: 10.7%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2019-01-11: Highest Volume — 663 contracts
  • 2019-01-09: Largest IV spike — 41.8% change
  • 2019-01-02: Highest IV Rank — 44.2%
  • 2019-01-02: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.27$16.04$16.39$16.11$16.18
Max Pain$16.86$15.00$17.00$16.00$15.00
ATM IV13.8%8.7%17.9%17.9%14.4%
Expected Move4.2%3.7%5.1%5.1%4.3%
HV 20d10.7%8.6%12.7%8.6%11.7%
HV 60d10.3%9.7%10.8%10.6%9.8%
IV Rank25.6%0.0%44.2%44.2%28.9%
IV Percentile14.1%0.0%50.0%50.0%14.7%
Term Structure1.2%-1.8%3.8%-1.8%0.3%
VWIV14.8%12.6%17.9%17.9%15.8%
Skew 25d-1.5%-6.6%4.0%3.7%-4.2%
Skew 10d-1.1%-8.1%7.5%3.2%-4.9%
Call IV 25d15.6%11.2%19.8%12.8%17.0%
Put IV 25d14.0%12.6%16.6%16.6%12.7%
Bid-Ask Spread %43.4017.88100.9633.8825.12
Gamma HHI0.410.320.500.320.49
Net GEX-35.6K-60.3K-16.1K-19.6K-60.3K
Net DEX395.4K80.5K847.3K510.9K847.3K
Net VEX-8.2K-9.0K-7.4K-7.7K-8.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.124.790.193.15
Total Volume264.7624666356436
Total OI5,451.9524,7365,9604,7405,960

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$16.11$16.0017.9%5.1%8.6%44.2%17.9%3.7%-1.8%-19.6K510.9K-7.7K0.1933.88N/AN/A4792,6042,136
2019-01-03$16.26$17.0013.5%4.5%9.0%20.5%15.6%-4.1%0.2%-16.1K336.1K-7.6K4.7926.34N/AN/A673212,6092,127
2019-01-04$16.38$17.008.7%4.4%9.4%0.0%16.0%-1.3%2.0%-40.0K242.6K-8.3K0.3948.73N/AN/A176692,6542,450
2019-01-07$16.39$17.009.7%4.3%9.3%5.1%17.0%-4.7%3.2%-32.2K215.2K-8.4K0.5926.66N/AN/A66392,7582,472
2019-01-08$16.31$17.009.9%3.9%9.4%6.0%13.8%-3.6%2.1%-41.3K320.1K-8.2K1.9430.69N/AN/A1542982,8032,506
2019-01-09$16.39$17.0014.0%4.0%9.5%27.0%13.9%-3.8%1.9%-19.0K138.1K-8.2K2.7363.37N/AN/A1654512,8532,379
2019-01-10$16.20$17.0014.8%4.2%10.2%30.9%14.8%-3.8%1.7%-36.5K532.9K-8.5K2.6845.73N/AN/A1704562,8802,572
2019-01-11$16.28$17.0014.3%4.1%10.4%28.6%13.9%-3.3%0.9%-36.0K385.4K-8.5K2.1624.90N/AN/A2104532,8982,588
2019-01-14$16.30$17.0014.8%4.3%10.4%31.3%16.5%-2.9%0.8%-38.0K324.4K-8.3K0.1217.88N/AN/A6782,9462,587
2019-01-15$16.04$17.0015.3%4.4%11.8%33.5%15.5%-6.6%0.3%-41.8K788.4K-8.0K0.9430.60N/AN/A95892,9752,590
2019-01-16$16.11$17.0013.7%3.9%11.9%25.3%13.7%-4.6%3.1%-37.8K630.1K-8.1K0.7929.47N/AN/A114903,0462,606
2019-01-17$16.32$17.0015.8%4.5%12.7%36.2%15.3%-1.9%0.4%-19.3K150.7K-9.0K0.6043.30N/AN/A140843,0932,606
2019-01-18$16.32$17.0013.8%4.0%12.4%26.1%13.5%-2.8%2.3%-34.4K80.5K-8.6K0.2957.87N/AN/A198573,1242,599
2019-01-22$16.28$17.0014.8%4.2%11.3%31.0%14.4%2.1%0.9%-38.7K384.9K-8.3K0.7035.49N/AN/A27192,9632,549
2019-01-23$16.28$17.0013.8%4.0%11.2%26.1%14.5%-3.7%3.1%-40.0K321.1K-8.3K0.3223.60N/AN/A59192,9852,559
2019-01-24$16.23$17.0012.9%3.7%11.2%21.4%13.0%1.9%1.0%-45.6K455.0K-8.2K0.3727.35N/AN/A54203,0172,559
2019-01-25$16.32$17.0014.3%4.1%10.8%28.5%12.6%1.6%1.2%-39.8K377.0K-8.1K1.3527.33N/AN/A60813,0062,560
2019-01-28$16.31$17.0015.4%4.4%10.7%34.3%15.4%4.0%-1.3%-38.1K354.8K-7.9K0.13100.33N/AN/A107143,0102,567
2019-01-29$16.23$17.0014.3%4.1%10.8%28.4%14.2%2.5%-0.8%-40.6K544.3K-7.7K0.1391.74N/AN/A108143,1042,544
2019-01-30$16.35$17.0013.4%3.9%11.0%24.2%14.5%3.2%3.8%-32.4K362.3K-7.4K3.01100.96N/AN/A1123373,1032,544
2019-01-31$16.18$15.0014.4%4.3%11.7%28.9%15.8%-4.2%0.3%-60.3K847.3K-8.6K3.1525.12N/AN/A1053313,1062,854