CORN Options History — January 2022

In January 2022, CORN traded between $21.51 and $22.74. ATM implied volatility averaged 24.2%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 8.4% (HV 20d: 15.7%). Max pain ranged from $15.00 to $21.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.26.

Notable Days

  • 2022-01-28: Highest Volume — 2,975 contracts
  • 2022-01-12: Largest IV drop — 19.2% change
  • 2022-01-11: Highest IV Rank — 41.6%
  • 2022-01-31: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.07$21.51$22.74$21.51$22.60
Max Pain$19.55$15.00$21.00$15.00$21.00
ATM IV24.2%21.5%28.2%23.8%26.8%
Expected Move6.8%6.2%7.7%6.8%7.7%
HV 20d15.7%13.2%17.2%13.2%14.4%
HV 60d15.4%14.1%16.7%16.0%14.1%
IV Rank29.7%21.8%41.6%28.8%37.3%
IV Percentile21.9%2.8%47.2%17.9%43.3%
Term Structure0.8%-2.1%3.2%1.1%-1.9%
VWIV23.8%21.7%27.0%23.3%27.0%
Skew 25d-1.2%-3.2%1.7%-2.0%-1.4%
Skew 10d-1.6%-9.5%7.8%-7.1%7.8%
Call IV 25d24.5%21.8%27.3%23.9%27.2%
Put IV 25d23.3%21.4%26.4%21.9%25.8%
Bid-Ask Spread %29.0011.5875.0012.4422.14
Gamma HHI0.250.200.310.220.26
Net GEX832.8K576.1K1.1M871.9K698.5K
Net DEX-19.1M-24.3M-11.0M-21.3M-12.8M
Net VEX-56.4K-61.5K-50.5K-56.9K-60.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.110.770.150.42
Total Volume1,702.551,0932,9751,7222,520
Total OI22,351.812,81126,81126,81114,582

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$21.51$15.0023.8%6.8%13.2%28.8%23.3%-2.0%1.1%871.9K-21.3M-56.9K0.1512.44N/AN/A1,50122123,4673,344
2022-01-04$22.02$15.0025.0%7.2%15.6%32.3%27.0%-0.8%-0.4%1.1M-24.3M-61.5K0.1311.58N/AN/A1,68721123,2123,342
2022-01-05$21.88$15.0024.2%6.9%15.8%29.9%23.2%1.7%-0.3%956.0K-22.4M-58.1K0.2132.47N/AN/A1,13423722,6803,353
2022-01-06$21.90$20.0025.2%6.9%15.8%32.8%23.9%-1.3%2.1%957.6K-22.7M-58.4K0.1920.75N/AN/A1,05720422,4863,385
2022-01-07$21.99$20.0024.7%7.2%15.8%31.3%23.7%-1.2%-0.1%991.7K-23.1M-58.5K0.2319.65N/AN/A90821222,4523,398
2022-01-10$21.81$20.0027.4%7.0%16.1%39.2%23.5%-1.6%2.2%931.3K-21.8M-56.0K0.2117.80N/AN/A93019722,3683,389
2022-01-11$21.86$20.0028.2%7.1%15.5%41.6%22.3%-3.2%1.5%939.6K-22.0M-55.5K0.1714.55N/AN/A1,15019722,3093,391
2022-01-12$21.84$20.0022.8%6.5%15.3%25.6%23.1%-2.1%2.3%958.9K-21.7M-54.8K0.1675.00N/AN/A1,50424822,5783,392
2022-01-13$21.53$20.0021.5%6.2%16.1%21.8%21.7%-0.4%2.9%775.3K-19.7M-51.4K0.2121.66N/AN/A1,26827122,5403,383
2022-01-14$21.79$20.0021.9%6.3%16.5%23.2%21.7%0.0%2.4%925.0K-21.1M-52.3K0.3213.44N/AN/A1,10335522,5463,400
2022-01-18$21.82$20.0022.4%6.4%16.4%24.4%23.0%-0.9%3.2%823.5K-20.9M-50.5K0.2219.60N/AN/A1,22527022,5933,500
2022-01-19$22.15$20.0023.1%6.6%17.2%26.5%23.3%-1.8%2.3%1.0M-23.0M-52.5K0.2313.27N/AN/A1,09825222,6683,496
2022-01-20$22.07$20.0023.6%6.8%16.7%27.9%24.8%-2.9%-0.1%830.0K-22.2M-53.2K0.1416.04N/AN/A1,68523722,6613,508
2022-01-21$22.24$20.0023.1%6.6%16.8%26.7%23.2%-0.7%-0.2%869.6K-23.5M-55.3K0.2714.12N/AN/A2,03854823,2323,511
2022-01-24$22.32$21.0023.6%6.8%16.7%28.2%23.8%-0.2%-0.2%576.1K-11.0M-57.2K0.4543.82N/AN/A75533811,895916
2022-01-25$22.39$21.0022.7%6.5%16.4%25.3%24.3%-2.7%1.7%587.0K-11.4M-57.5K0.1167.27N/AN/A2,01521311,986909
2022-01-26$22.53$21.0023.9%6.8%14.9%28.9%23.9%-1.7%0.5%618.3K-12.2M-59.1K0.1736.59N/AN/A1,35322412,381953
2022-01-27$22.42$21.0023.5%6.7%15.0%27.8%22.6%-1.5%-0.2%632.0K-11.7M-59.1K0.7739.14N/AN/A96774312,684983
2022-01-28$22.74$21.0025.6%7.3%14.1%34.0%26.4%-0.2%-2.1%619.3K-12.7M-60.6K0.3468.60N/AN/A2,22175412,6511,512
2022-01-31$22.60$21.0026.8%7.7%14.4%37.3%27.0%-1.4%-1.9%698.5K-12.8M-60.2K0.4222.14N/AN/A1,77075013,0591,523