CORN Options History — December 2019

In December 2019, CORN traded between $14.23 and $14.88. ATM implied volatility averaged 14.9%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.9% (HV 20d: 11.0%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2019-12-13: Highest Volume — 796 contracts
  • 2019-12-04: Largest IV drop — 33.8% change
  • 2019-12-26: Highest IV Rank — 33.6%
  • 2019-12-26: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.63$14.23$14.88$14.53$14.79
Max Pain$14.67$14.00$15.00$15.00$15.00
ATM IV14.9%9.5%18.3%18.2%16.5%
Expected Move4.3%2.7%5.3%5.2%4.7%
HV 20d11.0%9.6%12.4%11.0%10.3%
HV 60d13.7%12.8%14.8%14.8%12.8%
IV Rank22.6%5.4%33.6%33.0%27.6%
IV Percentile26.7%2.0%49.2%48.8%38.9%
Term Structure0.5%-1.8%4.4%-1.7%0.4%
VWIV15.4%10.6%18.3%17.3%16.5%
Skew 25d-2.4%-8.0%2.8%-8.0%-1.8%
Skew 10d0.1%-5.5%35.8%35.8%-2.0%
Call IV 25d14.7%9.3%18.0%18.0%15.5%
Put IV 25d12.2%9.5%15.3%10.0%13.8%
Bid-Ask Spread %24.6812.6756.7920.1515.33
Gamma HHI0.340.300.380.320.34
Net GEX12.7K-111.1K113.9K-25.0K98.5K
Net DEX178.1K-1.3M2.3M865.8K-1.0M
Net VEX-35.8K-38.4K-33.7K-35.6K-35.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.006.030.320.04
Total Volume315.286107796143246
Total OI18,682.14317,30819,55817,30819,352

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$14.53$15.0018.2%5.2%11.0%33.0%0.0%-8.0%-1.7%-25.0K865.8K-35.6K0.3220.15N/AN/A108359,0568,252
2019-12-03$14.53$15.0014.4%4.1%10.9%20.9%17.3%-7.2%-1.8%-18.9K762.0K-35.3K0.9022.63N/AN/A1111009,1288,257
2019-12-04$14.46$15.009.5%2.7%10.9%5.4%0.0%0.2%4.4%-39.5K1.2M-35.8K0.2330.04N/AN/A87209,2018,357
2019-12-05$14.39$14.0012.6%3.7%10.8%15.2%0.0%-1.6%1.5%-46.4K1.4M-34.7K6.0329.65N/AN/A342059,2468,371
2019-12-06$14.39$14.0011.3%3.7%10.2%11.2%0.0%-2.5%0.9%-71.0K1.7M-34.0K0.6456.79N/AN/A3202049,2608,571
2019-12-09$14.36$14.0011.7%3.8%9.9%12.4%0.0%-2.4%0.8%-73.0K1.7M-34.3K0.1255.48N/AN/A130169,5268,775
2019-12-10$14.40$14.0011.5%3.8%9.6%11.8%13.0%-2.1%0.7%-66.1K1.5M-34.6K1.6025.98N/AN/A1001609,6388,791
2019-12-11$14.23$14.0013.1%3.8%9.8%17.0%13.2%2.8%1.1%-111.1K2.3M-33.7K0.6943.96N/AN/A2341619,7108,901
2019-12-12$14.45$14.0013.3%3.8%11.4%17.3%14.3%-1.8%0.5%-41.2K1.1M-35.5K0.0236.41N/AN/A38179,8648,998
2019-12-13$14.56$14.0015.7%4.5%11.8%25.2%15.5%0.2%1.5%-10.9K548.2K-36.1K0.8321.65N/AN/A4343629,8469,003
2019-12-16$14.78$15.0016.4%4.7%12.4%27.3%14.8%-3.0%0.3%68.0K-433.9K-35.5K0.0917.20N/AN/A494449,8809,216
2019-12-17$14.84$15.0016.1%4.6%12.1%26.3%15.0%-3.6%-0.4%113.9K-1.1M-36.2K0.1620.01N/AN/A2894510,1119,215
2019-12-18$14.76$15.0016.0%4.6%12.0%26.0%15.8%-3.4%-0.0%73.4K-535.5K-36.6K0.6618.01N/AN/A47331410,0289,229
2019-12-19$14.74$15.0016.2%4.6%11.5%26.7%16.1%-3.4%0.2%57.4K-438.8K-38.4K0.1516.42N/AN/A961410,2479,311
2019-12-20$14.80$15.0015.3%4.4%11.6%23.8%10.6%-2.2%0.4%48.3K-665.7K-37.1K0.1315.16N/AN/A2002510,1749,315
2019-12-23$14.82$15.0016.2%4.6%11.6%26.8%16.2%-2.4%0.9%46.0K-1.1M-37.3K0.0814.23N/AN/A249219,7109,176
2019-12-24$14.81$15.0016.5%4.7%11.5%27.6%16.2%-2.5%0.9%55.5K-911.9K-36.3K0.1117.88N/AN/A97119,8749,185
2019-12-26$14.84$15.0018.3%5.3%11.2%33.6%18.3%-2.4%-0.8%43.8K-851.2K-37.3K0.0014.24N/AN/A27019,8819,177
2019-12-27$14.88$15.0016.2%4.6%10.5%26.8%16.1%-1.5%1.3%80.0K-1.3M-37.3K0.0712.67N/AN/A2932010,0089,178
2019-12-30$14.83$15.0017.8%5.1%10.3%31.9%17.8%-2.9%-0.7%84.4K-984.3K-35.2K0.7814.43N/AN/A1189210,1249,183
2019-12-31$14.79$15.0016.5%4.7%10.3%27.6%16.5%-1.8%0.4%98.5K-1.0M-35.7K0.0415.33N/AN/A2361010,2109,142