CORN Options History — November 2020

In November 2020, CORN traded between $13.31 and $14.35. ATM implied volatility averaged 17.3%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.8% (HV 20d: 16.5%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.10.

Notable Days

  • 2020-11-10: Highest Volume — 3,709 contracts
  • 2020-11-04: Largest IV spike — 88.1% change
  • 2020-11-04: Highest IV Rank — 24.3%
  • 2020-11-04: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.99$13.31$14.35$13.31$14.15
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV17.3%11.6%21.8%17.0%20.5%
Expected Move5.0%3.3%6.2%4.9%5.9%
HV 20d16.5%13.6%18.2%14.2%16.5%
HV 60d15.2%14.4%15.6%15.3%15.5%
IV Rank16.5%6.5%24.3%16.0%21.7%
IV Percentile29.7%7.5%46.4%29.4%44.8%
Term Structure0.4%-2.3%3.9%-1.4%-1.3%
VWIV17.6%11.8%24.1%16.4%20.1%
Skew 25d-4.1%-9.0%4.5%-2.1%4.5%
Skew 10d-4.5%-10.2%5.2%-4.2%5.2%
Call IV 25d20.1%14.6%23.1%21.9%16.7%
Put IV 25d16.0%9.8%23.2%19.9%21.2%
Bid-Ask Spread %28.5610.6577.2530.8412.30
Gamma HHI0.340.250.450.340.27
Net GEX775.6K445.8K1.1M445.8K577.1K
Net DEX-25.1M-30.3M-16.3M-16.3M-22.2M
Net VEX-79.3K-93.6K-65.2K-90.6K-71.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.100.000.520.310.00
Total Volume1,078.83453,7096242,372
Total OI50,633.9537,48355,79853,10837,483

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$13.31$13.0017.0%4.9%14.2%16.0%16.4%-2.1%-1.4%445.8K-16.3M-90.6K0.3130.84N/AN/A47814632,66820,440
2020-11-03$13.46$13.0011.6%3.3%14.5%6.5%11.8%-8.8%3.9%503.9K-17.6M-89.9K0.0023.11N/AN/A745232,66820,440
2020-11-04$13.61$13.0021.8%6.2%14.7%24.3%20.3%-9.0%-2.3%670.1K-22.5M-93.6K0.0033.98N/AN/A969334,92220,392
2020-11-05$13.72$13.0016.8%4.9%14.8%15.7%24.1%-7.9%-1.5%855.3K-24.6M-89.5K0.0143.73N/AN/A1,3791334,93720,441
2020-11-06$13.70$13.0016.1%4.4%14.3%14.4%18.8%-8.2%0.4%848.7K-23.8M-88.6K0.1449.25N/AN/A6308734,54120,445
2020-11-09$13.77$13.0019.5%5.4%13.6%20.3%0.0%1.0%1.7%865.7K-24.5M-85.7K0.0077.25N/AN/A505134,59620,505
2020-11-10$14.18$13.0016.5%5.3%16.8%15.2%14.5%-5.0%-0.5%938.6K-30.3M-76.3K0.0918.32N/AN/A3,41529434,67020,505
2020-11-11$14.11$13.0017.2%4.9%17.0%16.4%13.8%-6.1%1.2%883.1K-28.4M-76.3K0.0915.59N/AN/A1,24010933,83420,729
2020-11-12$13.89$13.0016.7%4.8%17.9%15.5%12.9%-0.4%1.0%880.1K-24.7M-82.8K0.0932.09N/AN/A9578233,74320,793
2020-11-13$13.93$13.0015.1%4.3%17.9%12.7%18.4%-1.1%2.4%981.7K-25.4M-82.4K0.0126.57N/AN/A405434,40620,836
2020-11-16$14.10$13.0017.9%5.1%18.2%17.5%15.8%-5.3%0.4%1.1M-27.6M-78.7K0.0866.13N/AN/A6905334,33020,836
2020-11-17$14.11$13.0017.9%5.1%18.2%17.5%17.4%-5.4%0.3%1.1M-29.0M-74.1K0.1110.65N/AN/A1,06411234,32120,858
2020-11-18$14.19$13.0017.8%5.1%18.1%17.4%17.6%-5.0%0.3%943.0K-29.8M-76.4K0.0717.73N/AN/A1,1837834,70720,958
2020-11-19$14.15$13.0016.0%4.6%18.2%14.2%16.3%-5.2%1.6%940.4K-29.1M-72.6K0.5247.29N/AN/A69635934,25021,018
2020-11-20$14.17$13.0014.5%4.1%18.2%11.6%14.7%-4.9%2.2%786.7K-29.5M-74.0K0.1312.01N/AN/A1,13915334,42521,373
2020-11-23$14.32$13.0017.2%4.9%18.2%16.3%17.9%-4.3%0.3%571.9K-24.8M-74.0K0.2213.84N/AN/A53011929,2858,932
2020-11-24$14.32$13.0019.8%5.7%18.1%20.9%20.2%-0.9%-1.9%534.1K-24.0M-70.6K0.2112.28N/AN/A2865928,7159,028
2020-11-25$14.18$13.0017.2%4.9%15.5%16.4%19.1%-4.3%1.8%574.2K-22.9M-73.7K0.0312.17N/AN/A5311428,7589,043
2020-11-27$14.35$13.0019.6%5.6%15.3%20.0%23.5%-3.2%-1.4%474.2K-24.7M-65.2K0.0016.08N/AN/A672228,7929,056
2020-11-30$14.15$13.0020.5%5.9%16.5%21.7%20.1%4.5%-1.3%577.1K-22.2M-71.3K0.0012.30N/AN/A2,3621028,4279,056