CORN Options History — December 2020

In December 2020, CORN traded between $13.98 and $15.57. ATM implied volatility averaged 20.0%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 6.8% (HV 20d: 13.2%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.25.

Notable Days

  • 2020-12-30: Highest Volume — 3,785 contracts
  • 2020-12-07: Largest IV spike — 48.7% change
  • 2020-12-31: Highest IV Rank — 36.6%
  • 2020-12-31: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.41$13.98$15.57$13.98$15.57
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV20.0%15.6%29.0%19.7%29.0%
Expected Move5.6%4.5%8.3%5.6%8.3%
HV 20d13.2%9.6%17.2%17.2%10.5%
HV 60d15.0%13.7%15.7%15.7%14.3%
IV Rank20.7%12.9%36.6%20.1%36.6%
IV Percentile38.6%13.5%80.6%38.9%80.6%
Term Structure0.5%-2.9%3.2%-2.9%-2.3%
VWIV19.5%14.2%26.6%20.7%26.6%
Skew 25d-2.2%-8.3%5.2%-0.1%-0.3%
Skew 10d-0.9%-8.8%8.8%1.0%3.1%
Call IV 25d20.3%14.9%27.4%18.6%27.2%
Put IV 25d18.1%14.5%26.8%18.4%26.8%
Bid-Ask Spread %30.439.4797.2812.2310.58
Gamma HHI0.330.260.420.270.30
Net GEX535.8K483.4K568.5K524.3K522.8K
Net DEX-21.1M-28.0M-18.3M-18.6M-28.0M
Net VEX-62.0K-68.9K-51.0K-68.5K-57.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.003.390.000.09
Total Volume994.727983,7858152,757
Total OI35,854.59133,79637,24535,73735,850

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$13.98$13.0019.7%5.6%17.2%20.1%20.7%-0.1%-2.9%524.3K-18.6M-68.5K0.0012.23N/AN/A815026,6759,062
2020-12-02$14.07$13.0018.8%5.4%17.0%18.6%18.7%4.4%-0.1%500.2K-18.9M-68.9K0.0310.26N/AN/A9173226,4849,062
2020-12-03$14.14$13.0023.7%5.3%16.7%27.2%19.0%-5.9%0.3%531.7K-19.8M-65.8K0.1197.28N/AN/A2422626,8829,161
2020-12-04$14.01$13.0017.1%5.5%17.0%15.6%19.7%-7.9%-0.2%535.3K-18.3M-68.8K0.0094.59N/AN/A438126,8549,177
2020-12-07$14.07$13.0025.4%5.6%17.0%30.1%17.0%-4.3%-0.2%517.0K-19.0M-68.1K0.1289.15N/AN/A8019726,8859,178
2020-12-08$13.99$13.0018.9%5.6%17.1%18.8%19.6%-8.3%-0.3%546.4K-18.3M-67.9K0.0310.01N/AN/A4731227,2389,241
2020-12-09$14.08$13.0018.8%5.4%13.6%18.7%20.4%-5.4%-0.3%553.7K-19.1M-66.5K0.1815.72N/AN/A2053627,2879,240
2020-12-10$14.06$13.0017.0%4.9%13.5%15.4%20.1%-5.3%3.0%531.3K-19.4M-64.4K0.0235.66N/AN/A426727,2109,271
2020-12-11$14.11$13.0017.1%4.9%12.3%15.6%20.6%-7.6%1.9%553.9K-19.2M-62.1K0.1818.47N/AN/A831526,9129,272
2020-12-14$14.11$13.0017.6%5.1%12.3%16.6%17.6%-3.2%0.9%525.5K-19.3M-62.7K0.0625.06N/AN/A4292726,9199,276
2020-12-15$14.13$13.0017.3%5.0%11.5%16.0%15.9%-4.0%2.0%527.2K-19.4M-62.7K0.0511.15N/AN/A1,0844927,0479,260
2020-12-16$14.16$13.0017.3%5.0%11.5%16.1%17.2%-3.4%0.8%561.6K-20.3M-64.8K0.3122.48N/AN/A1193727,9529,293
2020-12-17$14.28$13.0015.6%4.5%11.7%12.9%14.2%-2.0%2.6%538.5K-22.1M-62.6K0.0819.84N/AN/A5324527,9369,287
2020-12-18$14.43$13.0019.0%5.5%12.2%19.0%18.1%-1.9%0.6%561.8K-22.0M-63.1K0.1328.90N/AN/A1,28116327,5679,310
2020-12-21$14.52$13.0026.0%7.5%12.3%31.3%18.2%-0.6%2.2%538.4K-22.0M-59.2K0.0641.43N/AN/A1,0295926,8238,928
2020-12-22$14.53$13.0019.7%5.7%11.8%20.3%19.1%-0.1%-0.4%568.5K-21.8M-61.6K0.0213.18N/AN/A6011326,6538,983
2020-12-23$14.67$13.0019.7%5.7%12.2%20.3%20.3%2.3%-0.6%564.2K-22.9M-58.5K0.1322.39N/AN/A1,72122126,4958,979
2020-12-24$14.76$13.0019.8%5.7%11.6%20.3%21.6%3.9%2.5%483.4K-22.0M-55.9K3.3912.06N/AN/A8729525,3409,088
2020-12-28$14.88$13.0018.9%5.4%11.3%18.8%20.5%5.2%3.2%559.1K-23.6M-52.3K0.099.47N/AN/A8707425,3429,307
2020-12-29$15.14$13.0020.6%5.9%10.9%21.8%19.7%2.1%1.2%537.7K-24.6M-51.4K0.2610.35N/AN/A1,57140924,9289,351
2020-12-30$15.31$13.0023.1%6.6%9.6%26.2%23.3%-6.2%-2.1%504.6K-25.0M-51.0K0.1359.15N/AN/A3,36142424,4349,362
2020-12-31$15.57$13.0029.0%8.3%10.5%36.6%26.6%-0.3%-2.3%522.8K-28.0M-57.0K0.0910.58N/AN/A2,53522226,0859,765