CORN Options History — December 2021

In December 2021, CORN traded between $21.08 and $22.26. ATM implied volatility averaged 21.5%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 7.7% (HV 20d: 13.8%). Max pain ranged from $15.00 to $21.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.26.

Notable Days

  • 2021-12-23: Highest Volume — 3,500 contracts
  • 2021-12-15: Largest IV spike — 47.7% change
  • 2021-12-30: Highest IV Rank — 27.4%
  • 2021-12-08: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.61$21.08$22.26$21.08$21.58
Max Pain$15.82$15.00$21.00$21.00$15.00
ATM IV21.5%14.1%24.0%24.0%21.9%
Expected Move6.5%6.0%7.1%6.9%6.3%
HV 20d13.8%12.1%15.4%15.4%13.5%
HV 60d16.2%15.3%17.0%16.9%16.0%
IV Rank20.5%0.0%27.4%26.0%23.1%
IV Percentile8.7%0.0%19.0%19.0%5.6%
Term Structure1.4%0.4%2.4%0.8%1.4%
VWIV23.1%20.7%25.4%24.1%22.1%
Skew 25d-1.5%-5.1%1.8%-1.6%-2.2%
Skew 10d-3.7%-13.6%9.0%-8.5%-6.0%
Call IV 25d23.5%21.0%26.2%25.6%22.2%
Put IV 25d22.1%20.0%24.8%24.0%20.0%
Bid-Ask Spread %49.549.5788.2488.2410.97
Gamma HHI0.190.150.290.150.23
Net GEX782.3K638.2K1.1M638.2K920.7K
Net DEX-22.0M-26.1M-19.9M-19.9M-22.1M
Net VEX-60.1K-66.0K-55.5K-61.0K-59.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.070.400.390.21
Total Volume1,393.7278363,5001,5421,491
Total OI24,892.77323,52626,89424,01326,894

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$21.08$21.0024.0%6.9%15.4%26.0%24.1%-1.6%0.8%638.2K-19.9M-61.0K0.3988.24N/AN/A1,10743520,4803,533
2021-12-02$21.29$21.0023.2%6.6%15.1%23.4%23.8%1.8%1.3%657.9K-20.9M-62.4K0.2786.45N/AN/A1,17332120,8383,605
2021-12-03$21.49$21.0023.5%6.7%15.2%24.5%22.9%0.9%1.5%695.4K-21.6M-63.4K0.3788.21N/AN/A88332720,7533,598
2021-12-06$21.49$15.0023.5%6.8%14.7%24.5%24.4%-1.4%2.2%706.9K-21.6M-62.1K0.2962.12N/AN/A85925320,8263,609
2021-12-07$21.56$15.0024.0%7.0%14.7%26.0%25.4%-1.5%0.7%723.0K-22.0M-61.9K0.2261.51N/AN/A1,09524220,8353,617
2021-12-08$21.58$15.0021.8%7.1%14.5%19.1%24.7%-2.5%1.7%736.9K-22.2M-61.6K0.3265.57N/AN/A84926820,9053,630
2021-12-09$21.64$15.0019.6%6.6%13.2%12.5%22.9%-1.3%2.3%770.3K-22.3M-61.2K0.2767.39N/AN/A1,01327820,9323,662
2021-12-10$21.60$15.0019.8%6.1%13.2%13.0%22.0%-0.8%2.4%774.5K-21.9M-61.0K0.3467.38N/AN/A76526321,0173,692
2021-12-13$21.36$15.0014.8%6.2%13.3%0.0%21.0%-0.4%0.4%723.9K-20.6M-57.8K0.3265.39N/AN/A89028221,0213,715
2021-12-14$21.52$15.0014.1%6.4%13.6%0.0%22.8%-1.6%1.3%739.6K-21.3M-57.1K0.4015.51N/AN/A59723921,1133,761
2021-12-15$21.40$15.0020.8%6.0%13.3%19.8%21.6%-2.3%0.9%718.9K-20.6M-55.5K0.3268.64N/AN/A79925321,0313,750
2021-12-16$21.56$15.0021.5%6.2%13.3%21.8%23.2%0.2%0.7%748.8K-21.2M-56.5K0.2920.69N/AN/A81423621,1613,751
2021-12-17$21.53$15.0021.8%6.2%13.3%22.7%22.5%-0.4%1.0%651.7K-21.4M-57.4K0.2428.18N/AN/A1,07025321,2793,753
2021-12-20$21.48$15.0021.4%6.1%13.2%21.6%22.7%-1.0%1.6%645.9K-20.6M-56.4K0.2313.90N/AN/A90521120,2273,299
2021-12-21$21.75$15.0021.6%6.2%13.2%22.3%20.7%-0.7%2.4%699.5K-21.9M-58.5K0.2861.19N/AN/A75721320,4163,305
2021-12-22$21.89$15.0022.8%6.5%13.2%25.8%22.5%-2.5%1.1%732.4K-22.9M-59.7K0.2363.26N/AN/A91921420,5373,294
2021-12-23$22.03$15.0022.1%6.3%13.1%23.7%24.9%-5.1%2.2%754.9K-23.9M-59.8K0.0761.89N/AN/A3,27722320,6053,303
2021-12-27$22.26$15.0022.7%6.5%13.5%25.5%23.8%-3.0%1.4%1.1M-26.1M-66.0K0.1060.58N/AN/A2,25021523,1783,320
2021-12-28$21.85$15.0022.7%6.5%15.2%25.4%21.4%-1.0%0.5%1.0M-23.3M-60.9K0.179.57N/AN/A1,26421022,9493,322
2021-12-29$21.95$15.0022.1%6.3%12.1%23.6%23.4%-2.1%2.0%1.1M-24.1M-62.8K0.2011.04N/AN/A1,14322523,1723,323
2021-12-30$21.58$15.0023.4%6.7%13.9%27.4%24.7%-3.8%1.0%940.1K-22.0M-60.0K0.1612.21N/AN/A1,36221923,2963,334
2021-12-31$21.58$15.0021.9%6.3%13.5%23.1%22.1%-2.2%1.4%920.7K-22.1M-59.7K0.2110.97N/AN/A1,22926223,5703,324