CORN Options History — November 2021

In November 2021, CORN traded between $20.80 and $21.76. ATM implied volatility averaged 23.6%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 6.2% (HV 20d: 17.4%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2021-11-01: Highest Volume — 2,286 contracts
  • 2021-11-09: Largest IV drop — 12.1% change
  • 2021-11-01: Highest IV Rank — 43.4%
  • 2021-11-01: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.35$20.80$21.76$21.68$21.04
Max Pain$20.38$20.00$21.00$20.00$21.00
ATM IV23.6%21.6%27.4%27.4%25.5%
Expected Move6.7%6.2%7.9%7.9%7.3%
HV 20d17.4%14.4%20.0%18.5%15.8%
HV 60d17.8%16.6%18.6%18.1%17.4%
IV Rank27.3%21.1%43.4%43.4%30.6%
IV Percentile19.3%11.5%39.3%39.3%29.4%
Term Structure1.0%-1.7%2.8%-1.4%0.1%
VWIV23.9%19.8%26.8%26.8%25.3%
Skew 25d-1.5%-4.4%1.2%-0.1%1.2%
Skew 10d-3.6%-9.7%6.5%6.5%-7.4%
Call IV 25d25.1%23.6%27.5%27.5%24.8%
Put IV 25d23.6%21.2%27.4%27.4%26.1%
Bid-Ask Spread %32.828.2874.9325.0418.75
Gamma HHI0.160.150.180.150.15
Net GEX662.2K566.2K786.1K670.8K606.2K
Net DEX-21.5M-23.5M-18.8M-23.2M-19.5M
Net VEX-58.2K-62.9K-55.2K-60.5K-61.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.221.440.640.54
Total Volume1,698.1431,0572,2862,2861,263
Total OI26,372.38122,09828,69026,69123,955

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$21.68$20.0027.4%7.9%18.5%43.4%26.8%-0.1%-1.4%670.8K-23.2M-60.5K0.6425.04N/AN/A1,39089620,9575,734
2021-11-02$21.43$20.0025.4%7.3%18.9%37.9%24.2%1.2%-1.7%660.6K-22.2M-59.5K0.758.28N/AN/A1,06779921,0385,758
2021-11-03$21.14$20.0022.9%6.6%19.5%31.2%23.0%-2.0%0.5%642.9K-20.4M-59.8K1.0747.32N/AN/A87493821,1835,821
2021-11-04$21.03$20.0022.0%6.5%19.6%22.3%26.0%-1.4%1.4%622.8K-19.8M-58.5K1.0122.98N/AN/A85986721,2075,974
2021-11-05$20.83$20.0023.4%6.4%20.0%26.5%22.6%-2.0%1.6%587.0K-18.8M-56.6K0.8224.02N/AN/A92175521,2485,985
2021-11-08$20.80$20.0024.5%6.5%19.9%30.0%23.2%-1.4%1.2%582.8K-18.8M-55.2K1.4416.87N/AN/A7271,04421,2775,961
2021-11-09$20.98$20.0021.6%6.4%19.1%21.1%22.5%-4.4%2.3%635.7K-19.4M-55.6K0.8463.46N/AN/A94378921,3286,073
2021-11-10$21.35$20.0023.6%6.8%17.7%27.1%25.3%-2.2%1.0%699.5K-22.2M-56.4K0.5923.05N/AN/A1,28475321,6296,101
2021-11-11$21.31$20.0023.1%6.6%17.8%25.7%23.9%-1.9%1.2%717.2K-22.1M-56.5K0.7421.51N/AN/A1,03976822,0006,124
2021-11-12$21.53$20.0024.5%7.0%17.3%29.9%24.0%-3.3%0.3%767.3K-23.5M-57.9K0.5922.30N/AN/A1,29877022,1056,157
2021-11-15$21.50$20.0023.1%6.6%17.3%25.6%24.6%-1.8%0.1%760.0K-23.5M-57.2K0.6525.36N/AN/A1,10871622,4256,158
2021-11-16$21.31$20.0021.6%6.2%17.7%21.3%19.8%-2.3%1.8%757.9K-22.4M-57.1K0.7419.17N/AN/A97371622,4896,174
2021-11-17$21.48$20.0022.0%6.3%17.0%22.5%22.6%-2.9%1.9%786.1K-23.3M-57.8K0.5968.53N/AN/A1,20270422,5276,163
2021-11-18$21.41$21.0022.4%6.4%16.2%23.5%23.5%-2.7%0.9%718.5K-22.6M-57.6K0.8925.25N/AN/A78770122,3326,187
2021-11-19$21.34$21.0022.0%6.3%16.1%22.3%23.0%-0.8%2.8%566.2K-22.4M-56.7K0.5537.16N/AN/A1,34674522,3436,198
2021-11-22$21.62$21.0023.9%6.9%16.6%28.3%24.1%-1.8%1.0%602.8K-21.4M-58.0K0.4138.08N/AN/A75230518,7283,370
2021-11-23$21.76$21.0022.9%6.6%16.6%22.7%23.5%-1.1%1.4%624.6K-21.9M-59.5K0.4616.90N/AN/A72733318,8203,374
2021-11-24$21.63$21.0024.1%6.9%14.8%26.4%23.7%-1.0%0.4%634.8K-21.8M-58.7K0.4016.20N/AN/A93637519,0583,426
2021-11-26$21.63$21.0025.1%7.2%14.5%29.3%25.5%1.2%1.2%614.7K-21.5M-60.0K0.2274.14N/AN/A1,72337919,1533,549
2021-11-29$21.55$21.0024.1%6.9%14.4%26.2%23.9%-1.1%1.9%647.9K-21.9M-62.9K0.4374.93N/AN/A76232720,1903,541
2021-11-30$21.04$21.0025.5%7.3%15.8%30.6%25.3%1.2%0.1%606.2K-19.5M-61.0K0.5418.75N/AN/A82144220,4093,546