CORN Options History — January 2021

In January 2021, CORN traded between $15.60 and $16.95. ATM implied volatility averaged 31.8%, placing in the 41.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 10.2% (HV 20d: 21.6%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.19.

Notable Days

  • 2021-01-12: Highest Volume — 4,286 contracts
  • 2021-01-13: Largest IV drop — 27.2% change
  • 2021-01-12: Highest IV Rank — 60.4%
  • 2021-01-29: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.35$15.60$16.95$15.60$16.88
Max Pain$13.68$13.00$14.00$13.00$14.00
ATM IV31.8%28.2%42.6%30.7%33.8%
Expected Move8.6%7.8%9.7%7.9%9.7%
HV 20d21.6%8.9%32.4%10.6%32.4%
HV 60d18.2%14.0%21.6%14.3%21.6%
IV Rank41.4%35.1%60.4%39.5%44.9%
IV Percentile86.4%71.0%99.2%86.5%94.4%
Term Structure-0.9%-6.4%3.0%-1.5%3.0%
VWIV29.6%22.9%34.2%27.7%33.5%
Skew 25d-5.2%-8.3%-2.4%-7.1%-4.8%
Skew 10d-10.6%-22.7%-0.9%-13.1%-0.9%
Call IV 25d33.8%29.8%37.2%32.2%37.2%
Put IV 25d28.5%24.6%32.5%25.1%32.5%
Bid-Ask Spread %70.0222.8289.5622.8289.56
Gamma HHI0.230.170.280.270.24
Net GEX451.1K321.4K560.2K526.3K498.2K
Net DEX-25.2M-33.6M-16.1M-27.7M-22.6M
Net VEX-64.8K-75.2K-55.3K-61.5K-75.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.040.700.110.07
Total Volume1,899.2636234,2862,4361,064
Total OI34,958.47428,90940,08536,45833,040

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$15.60$13.0030.7%7.9%10.6%39.5%27.7%-7.1%-1.5%526.3K-27.7M-61.5K0.1122.82N/AN/A2,18824826,5049,954
2021-01-05$15.82$13.0030.8%8.0%9.6%39.7%22.9%-7.2%-0.4%539.4K-28.8M-60.5K0.7025.81N/AN/A91663726,84010,135
2021-01-06$15.90$13.0030.2%7.9%9.6%38.6%27.0%-3.6%-1.5%560.2K-29.9M-59.5K0.2082.21N/AN/A1,12322227,19810,608
2021-01-07$15.89$13.0031.0%7.9%8.9%40.1%24.7%-4.4%-1.8%555.7K-29.6M-62.2K0.6377.98N/AN/A1,03765827,41010,803
2021-01-08$15.91$13.0030.8%7.8%9.1%39.7%27.8%-4.0%-0.7%506.8K-29.3M-65.5K0.1581.40N/AN/A89613827,28011,386
2021-01-11$15.80$13.0035.5%8.0%9.9%47.8%23.4%-6.1%-1.8%555.0K-28.6M-64.3K0.2381.72N/AN/A2,28952627,28911,486
2021-01-12$16.78$14.0042.6%9.0%21.6%60.4%30.4%-3.6%-1.9%372.9K-33.6M-57.2K0.3373.68N/AN/A3,2321,05426,59911,873
2021-01-13$16.65$14.0031.0%8.9%22.2%40.1%30.1%-5.1%-0.7%349.7K-30.4M-59.6K0.1076.55N/AN/A2,05321325,56712,852
2021-01-14$16.95$14.0029.9%8.6%22.3%38.2%31.1%-5.4%-2.4%327.1K-32.7M-55.3K0.0943.09N/AN/A1,96717626,43313,038
2021-01-15$16.89$14.0031.0%8.9%22.6%40.0%28.8%-3.3%-2.4%400.6K-31.4M-64.5K0.1580.19N/AN/A1,42121826,88413,201
2021-01-19$16.70$14.0032.0%9.2%23.7%41.8%33.9%-8.3%-0.5%327.9K-20.8M-67.3K0.0878.76N/AN/A2,54319720,0279,692
2021-01-20$16.48$14.0028.2%8.1%24.8%35.1%30.2%-3.9%0.8%321.4K-18.2M-63.9K0.0552.07N/AN/A1,98110819,0229,887
2021-01-21$16.55$14.0029.9%8.6%24.9%38.1%29.4%-6.0%-1.1%370.9K-19.0M-61.9K0.1277.15N/AN/A1,33715619,6699,918
2021-01-22$15.85$14.0030.4%8.7%30.5%38.9%30.9%-7.0%0.6%389.9K-16.1M-68.7K0.0776.95N/AN/A1,85913220,7089,931
2021-01-25$16.13$14.0030.2%8.6%30.8%38.5%32.3%-5.2%-6.4%448.0K-17.8M-70.5K0.0980.48N/AN/A1,83617021,6119,997
2021-01-26$16.62$14.0030.9%8.9%32.1%39.8%31.4%-2.4%2.3%501.5K-20.6M-69.9K0.2278.24N/AN/A90819821,89410,041
2021-01-27$16.62$14.0032.7%9.4%32.1%42.9%34.2%-5.5%0.1%500.5K-20.5M-70.4K0.0481.28N/AN/A1,6897322,05010,204
2021-01-28$16.55$14.0032.8%9.4%32.0%43.1%32.7%-6.7%-0.4%519.8K-21.4M-73.8K0.1170.54N/AN/A5596422,91710,263
2021-01-29$16.88$14.0033.8%9.7%32.4%44.9%33.5%-4.8%3.0%498.2K-22.6M-75.2K0.0789.56N/AN/A9956922,77510,265