CORN Options History — December 2022

In December 2022, CORN traded between $25.54 and $27.02. ATM implied volatility averaged 18.4%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 7.3% (HV 20d: 11.1%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 4.25.

Notable Days

  • 2022-12-16: Highest Volume — 1,633 contracts
  • 2022-12-12: Largest IV spike — 28.3% change
  • 2022-12-12: Highest IV Rank — 12.7%
  • 2022-12-05: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.13$25.54$27.02$26.20$26.90
Max Pain$25.24$25.00$27.00$27.00$25.00
ATM IV18.4%16.9%21.7%18.5%18.3%
Expected Move5.2%4.9%5.5%5.3%5.3%
HV 20d11.1%9.9%12.6%11.0%11.8%
HV 60d12.4%11.3%13.9%13.6%12.0%
IV Rank4.8%0.2%12.7%7.4%2.5%
IV Percentile3.6%0.4%14.7%1.2%5.2%
Term Structure1.6%0.5%2.3%0.5%1.7%
VWIV18.1%16.5%20.1%20.1%17.9%
Skew 25d-0.7%-1.9%0.4%-0.2%-1.2%
Skew 10d2.2%-7.2%36.0%6.5%-0.7%
Call IV 25d18.8%17.2%20.1%20.1%19.1%
Put IV 25d18.1%16.2%19.9%19.9%17.9%
Bid-Ask Spread %61.5317.9382.8262.9876.81
Gamma HHI0.290.200.480.210.21
Net GEX-248.3K-1.2M49.1K49.1K-66.7K
Net DEX-6.9M-10.8M-4.3M-7.5M-10.8M
Net VEX-62.8K-72.2K-55.2K-72.0K-55.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.250.1432.330.800.67
Total Volume543.2861081,633373537
Total OI29,088.42928,02229,90629,52629,125

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$26.20$27.0018.5%5.3%11.0%7.4%20.1%-0.2%0.5%49.1K-7.5M-72.0K0.8062.98N/AN/A20716620,5598,967
2022-12-02$25.84$27.0018.3%5.2%11.6%7.0%18.9%-0.3%1.3%-130.3K-5.7M-72.2K1.5582.82N/AN/A20732120,5028,854
2022-12-05$25.65$25.0018.7%5.5%11.6%7.8%18.2%-1.4%1.9%-187.9K-4.7M-69.4K1.1674.37N/AN/A23627320,6178,739
2022-12-06$25.54$25.0020.9%5.4%11.6%11.3%18.8%-0.3%1.9%-173.0K-4.3M-67.8K1.3673.25N/AN/A679120,7668,552
2022-12-07$25.73$25.0019.8%5.3%11.8%9.6%18.8%-0.8%1.5%-101.6K-5.5M-67.3K0.4217.93N/AN/A1134720,7878,467
2022-12-08$25.69$25.0018.9%5.4%11.5%8.1%18.4%-1.0%1.5%-169.9K-5.4M-65.4K1.1676.35N/AN/A505820,8018,492
2022-12-09$25.74$25.0016.9%5.2%10.7%4.7%17.8%0.4%2.0%-195.5K-5.3M-66.1K0.8277.89N/AN/A826720,8188,488
2022-12-12$26.05$25.0021.7%5.4%11.4%12.7%19.0%-0.4%0.7%-99.0K-6.9M-64.3K0.7932.52N/AN/A20516120,8208,500
2022-12-13$25.96$25.0021.1%5.2%11.2%11.8%18.2%-1.9%1.6%-187.5K-7.0M-62.6K13.2575.82N/AN/A4458320,7948,511
2022-12-14$25.98$25.0017.6%5.1%9.9%5.9%18.3%-1.2%1.9%-348.2K-6.2M-63.7K0.1476.53N/AN/A1742520,8049,068
2022-12-15$26.05$25.0018.2%5.2%10.0%2.3%18.1%-0.3%1.2%-411.3K-6.1M-61.1K9.6833.78N/AN/A6865820,7209,084
2022-12-16$26.02$25.0017.8%5.1%10.0%1.6%17.7%-0.5%1.7%-1.2M-6.0M-61.9K32.3347.73N/AN/A491,58420,7209,186
2022-12-19$25.86$25.0017.0%4.9%10.2%0.2%17.2%-0.2%2.2%-456.6K-5.2M-62.0K2.6971.27N/AN/A17547119,0269,193
2022-12-20$25.97$25.0017.3%4.9%10.1%0.6%16.9%-1.1%1.5%-362.7K-5.6M-61.7K1.8168.78N/AN/A16730218,9599,063
2022-12-21$26.34$25.0017.5%5.0%11.3%0.9%17.8%-0.2%2.3%-242.6K-8.0M-59.4K0.8372.49N/AN/A27923219,0648,999
2022-12-22$26.26$25.0017.1%4.9%11.1%0.4%16.5%-1.1%1.7%-269.3K-7.6M-57.8K1.8776.23N/AN/A5410119,0479,027
2022-12-23$26.38$25.0017.6%5.0%11.0%1.1%17.4%-0.5%1.9%-249.9K-8.1M-58.1K9.4772.48N/AN/A1181,11719,0489,061
2022-12-27$26.62$25.0018.0%5.2%11.4%1.8%18.3%-0.5%2.0%-256.7K-8.5M-58.2K1.3648.35N/AN/A12116519,0749,800
2022-12-28$27.02$25.0018.3%5.3%12.6%2.4%18.5%-1.2%2.1%-42.5K-10.6M-55.2K1.0624.09N/AN/A60263719,1269,911
2022-12-29$26.95$26.0017.4%5.0%12.4%0.8%17.7%-0.2%1.1%-84.1K-10.4M-56.6K5.9749.68N/AN/A11468119,48810,230
2022-12-30$26.90$25.0018.3%5.3%11.8%2.5%17.9%-1.2%1.7%-66.7K-10.8M-55.9K0.6776.81N/AN/A32121619,4779,648