CORN Options History — January 2020

In January 2020, CORN traded between $14.39 and $14.91. ATM implied volatility averaged 16.6%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.3% (HV 20d: 13.3%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.95.

Notable Days

  • 2020-01-24: Highest Volume — 1,041 contracts
  • 2020-01-14: Largest IV spike — 102.9% change
  • 2020-01-14: Highest IV Rank — 61.4%
  • 2020-01-27: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.68$14.39$14.91$14.91$14.43
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV16.6%9.0%27.0%17.3%10.8%
Expected Move4.7%2.6%5.6%5.0%3.1%
HV 20d13.3%8.1%17.3%10.6%17.0%
HV 60d11.9%9.9%13.2%12.9%13.1%
IV Rank28.1%3.7%61.4%30.3%9.4%
IV Percentile35.5%1.2%75.0%45.2%4.4%
Term Structure0.9%-2.3%6.7%-1.2%3.8%
VWIV15.2%9.4%18.7%16.6%12.1%
Skew 25d-4.7%-10.2%1.3%-0.7%1.3%
Skew 10d-3.4%-11.7%13.2%-0.7%2.8%
Call IV 25d16.9%8.8%20.4%15.9%8.8%
Put IV 25d12.2%9.1%17.0%15.2%10.2%
Bid-Ask Spread %10.216.3424.1116.6924.11
Gamma HHI0.380.340.440.350.42
Net GEX88.9K-30.0K190.7K122.1K31.0K
Net DEX-117.6K-1.4M1.4M-1.4M924.6K
Net VEX-31.8K-35.2K-25.8K-34.9K-25.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.0024.390.171.39
Total Volume276.857411,04135986
Total OI19,275.71418,08520,12719,47518,169

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$14.91$15.0017.3%5.0%10.6%30.3%16.6%-0.7%-1.2%122.1K-1.4M-34.9K0.1716.69N/AN/A3075210,3239,152
2020-01-03$14.72$15.0018.3%5.3%11.5%33.5%9.4%-3.4%-1.9%71.1K-378.4K-34.3K3.0018.79N/AN/A6720110,3029,163
2020-01-06$14.69$15.0018.7%4.7%11.4%34.8%16.2%-2.6%2.9%67.6K-207.0K-33.3K0.5310.13N/AN/A24312910,3479,164
2020-01-07$14.68$15.0019.7%4.9%11.4%37.9%16.5%-3.6%0.6%60.0K-47.3K-35.2K0.107.71N/AN/A1751810,4869,264
2020-01-08$14.70$15.0013.4%5.1%11.4%17.8%17.6%-3.8%0.4%76.7K-81.5K-34.4K0.006.34N/AN/A82010,5549,267
2020-01-09$14.64$15.0018.2%5.1%11.5%33.2%17.9%-4.1%1.0%65.3K24.7K-34.6K1.967.23N/AN/A9919410,5899,267
2020-01-10$14.78$15.0010.8%4.8%10.8%9.5%15.0%-7.8%0.9%149.0K-538.6K-34.4K0.978.68N/AN/A34133110,6489,346
2020-01-13$14.86$15.0013.3%4.9%9.7%17.6%15.2%-8.7%0.6%190.7K-975.1K-34.4K0.076.78N/AN/A1761310,6819,279
2020-01-14$14.85$15.0027.0%4.6%9.5%61.4%15.6%-7.8%2.4%190.4K-1.1M-32.9K0.758.80N/AN/A19114410,6969,282
2020-01-15$14.78$15.0018.7%5.4%8.1%34.7%18.7%-10.2%-0.9%159.0K-606.7K-33.9K0.007.54N/AN/A158010,7189,377
2020-01-16$14.42$15.0014.7%4.2%11.8%22.0%16.5%-3.0%2.5%-30.0K1.4M-31.6K0.0613.01N/AN/A4032510,7509,377
2020-01-17$14.81$15.0017.1%4.9%15.3%29.6%13.0%-9.7%1.2%84.0K-431.5K-32.6K0.146.68N/AN/A1802510,8139,286
2020-01-21$14.76$15.0016.8%4.8%15.3%28.8%16.7%-4.8%1.1%81.8K-217.2K-30.3K0.048.44N/AN/A4672010,2018,551
2020-01-22$14.75$15.0018.1%5.2%15.3%33.0%17.0%-5.0%-1.5%83.2K-313.4K-32.0K0.348.88N/AN/A893010,4908,556
2020-01-23$14.86$15.0016.8%4.8%15.5%28.7%16.8%-1.9%0.0%139.2K-846.6K-31.4K0.008.44N/AN/A142010,5228,556
2020-01-24$14.66$15.0016.5%4.7%16.3%27.7%12.8%-5.1%0.1%91.8K-108.1K-30.3K24.3910.30N/AN/A411,00010,5248,556
2020-01-27$14.51$15.0019.5%5.6%16.6%37.4%12.4%-2.5%-2.3%62.5K598.1K-29.6K0.368.53N/AN/A1465210,5307,555
2020-01-28$14.61$15.0017.8%5.1%16.8%32.0%17.9%-7.3%-0.9%103.9K243.9K-29.4K2.109.18N/AN/A306310,5397,590
2020-01-29$14.57$15.0016.0%4.6%16.8%26.1%15.8%-7.1%2.5%66.1K483.9K-27.7K2.738.80N/AN/A113010,5407,636
2020-01-30$14.39$15.009.0%2.6%17.3%3.7%9.7%-0.8%6.7%1.4K1.1M-25.8K1.949.39N/AN/A183510,5437,601
2020-01-31$14.43$15.0010.8%3.1%17.0%9.4%12.1%1.3%3.8%31.0K924.6K-25.8K1.3924.11N/AN/A365010,5527,617