CORN Options History — November 2019

In November 2019, CORN traded between $14.32 and $15.11. ATM implied volatility averaged 13.9%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.0% (HV 20d: 10.9%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.54.

Notable Days

  • 2019-11-18: Highest Volume — 1,224 contracts
  • 2019-11-20: Largest IV drop — 44.7% change
  • 2019-11-07: Highest IV Rank — 31.8%
  • 2019-11-13: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.64$14.32$15.11$15.11$14.45
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV13.9%7.8%18.4%15.5%9.5%
Expected Move4.0%2.2%5.0%4.5%2.7%
HV 20d10.9%7.7%16.5%16.3%10.7%
HV 60d15.5%14.7%19.5%19.5%14.9%
IV Rank17.6%0.0%31.8%22.5%5.3%
IV Percentile21.6%0.0%47.6%27.0%1.6%
Term Structure1.1%-0.9%5.0%1.4%0.4%
VWIV15.1%9.3%18.6%14.5%12.6%
Skew 25d-2.5%-9.4%45.0%45.0%-9.4%
Skew 10d1.6%-8.3%84.5%84.5%-5.2%
Call IV 25d15.1%9.5%18.9%14.1%17.6%
Put IV 25d12.6%7.7%59.2%59.2%8.2%
Bid-Ask Spread %28.1611.1075.1411.1032.61
Gamma HHI0.440.320.630.440.32
Net GEX140.0K-74.4K363.0K363.0K-40.1K
Net DEX105.6K-2.1M1.9M-2.1M1.2M
Net VEX-31.7K-35.8K-27.8K-31.5K-35.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.105.920.510.49
Total Volume440.351321,224160276
Total OI25,604.9513,54234,00033,40717,156

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$15.11$15.0015.5%4.5%16.3%22.5%14.5%45.0%1.4%363.0K-2.1M-31.5K0.5111.10N/AN/A1065427,6565,751
2019-11-04$15.01$15.0017.9%4.7%16.5%30.5%17.9%-6.7%1.8%337.8K-1.8M-30.9K0.1026.24N/AN/A1681627,7105,662
2019-11-05$14.93$15.0016.1%4.6%15.6%24.4%16.0%-7.4%0.8%316.7K-1.2M-29.7K0.7623.27N/AN/A17213027,7935,622
2019-11-06$14.83$15.0015.4%4.9%15.8%22.1%17.2%-7.5%0.6%290.7K-583.5K-29.7K0.4438.06N/AN/A1426227,8985,697
2019-11-07$14.67$15.0018.4%4.8%13.6%31.8%16.5%-4.0%0.4%233.3K-182.7K-28.6K0.3754.58N/AN/A39114627,9055,613
2019-11-08$14.76$15.0014.9%4.8%7.7%20.3%15.7%-2.6%0.2%263.6K-537.9K-28.8K0.2443.27N/AN/A1864427,9485,472
2019-11-11$14.64$15.0016.2%4.8%8.0%24.6%16.7%-4.4%0.3%199.2K30.5K-28.2K0.3021.54N/AN/A1755328,0245,430
2019-11-12$14.76$15.0016.1%4.9%8.8%24.3%16.8%-3.2%-0.0%290.0K-301.0K-28.5K1.1521.68N/AN/A17920528,1705,413
2019-11-13$14.68$15.0017.3%5.0%8.8%28.4%16.4%-3.8%-0.7%222.1K55.0K-28.3K1.7524.91N/AN/A6110728,1545,552
2019-11-14$14.70$15.0015.6%4.5%8.6%22.7%15.6%-5.4%1.1%231.9K-329.1K-28.4K1.7219.18N/AN/A11620028,1795,529
2019-11-15$14.55$15.0016.7%4.8%9.0%26.2%12.8%-5.6%0.3%84.4K468.0K-27.8K0.7939.57N/AN/A51140328,2715,729
2019-11-18$14.45$15.0013.2%3.8%9.1%14.9%15.0%-1.3%2.9%78.8K335.8K-32.1K3.1917.21N/AN/A2929328,4585,084
2019-11-19$14.58$15.0016.1%4.6%9.9%24.2%16.0%-5.2%-0.9%55.6K305.5K-33.8K2.2375.14N/AN/A2796238,6115,994
2019-11-20$14.46$15.008.9%2.5%10.1%0.7%9.3%-5.7%5.0%23.1K859.6K-34.1K5.9221.05N/AN/A1026048,6906,595
2019-11-21$14.49$15.009.7%2.8%10.2%3.4%10.8%-5.5%4.5%-2.0K1.0M-34.9K5.2218.61N/AN/A583038,6677,199
2019-11-22$14.48$15.0010.7%3.1%10.2%6.6%14.3%-5.5%-0.2%-14.4K998.5K-35.3K2.9722.82N/AN/A1574678,6757,498
2019-11-25$14.54$15.0011.9%3.4%10.0%10.5%14.4%-6.1%0.8%-10.8K796.1K-35.8K2.2117.90N/AN/A1443188,7337,756
2019-11-26$14.45$15.007.8%2.2%10.0%0.0%18.6%-1.8%3.0%-48.8K1.3M-35.4K0.3715.55N/AN/A3591348,6548,058
2019-11-27$14.32$15.0010.4%3.0%9.8%8.1%12.6%-3.4%1.1%-74.4K1.9M-35.5K0.1218.94N/AN/A118148,9068,187
2019-11-29$14.45$15.009.5%2.7%10.7%5.3%0.0%-9.4%0.4%-40.1K1.2M-35.7K0.4932.61N/AN/A185918,9758,181