CORN Options History — January 2023

In January 2023, CORN traded between $25.93 and $26.95. ATM implied volatility averaged 17.8%, placing in the 1.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.1% (HV 20d: 14.7%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2023-01-12: Highest Volume — 2,528 contracts
  • 2023-01-30: Largest IV spike — 12.5% change
  • 2023-01-12: Highest IV Rank — 4.3%
  • 2023-01-09: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.38$25.93$26.95$26.69$26.56
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV17.8%16.0%19.4%18.8%17.5%
Expected Move5.2%4.6%5.7%5.4%5.0%
HV 20d14.7%11.0%16.5%11.0%15.6%
HV 60d12.8%12.1%13.6%12.1%12.9%
IV Rank1.9%0.0%4.3%3.2%2.7%
IV Percentile5.5%0.0%12.3%8.7%4.0%
Term Structure1.8%-0.0%3.9%1.7%0.3%
VWIV17.9%13.0%20.3%19.2%17.2%
Skew 25d-1.5%-4.9%-0.3%-0.5%-2.2%
Skew 10d-3.3%-10.2%5.5%-5.3%-5.7%
Call IV 25d18.9%17.0%20.5%19.9%18.9%
Put IV 25d17.5%13.6%19.6%19.5%16.7%
Bid-Ask Spread %42.3512.1186.7033.5612.11
Gamma HHI0.200.120.330.240.13
Net GEX-4.8K-487.9K373.0K-208.4K186.9K
Net DEX-8.2M-14.5M-4.8M-9.5M-5.9M
Net VEX-46.1K-54.7K-39.6K-54.7K-40.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.073.593.590.62
Total Volume456.35342,52856034
Total OI21,998.659,46929,21328,8689,681

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$26.69$25.0018.8%5.4%11.0%3.2%19.2%-0.5%1.7%-208.4K-9.5M-54.7K3.5933.56N/AN/A12243819,3749,494
2023-01-04$26.07$25.0017.5%5.0%13.8%1.1%16.3%-4.9%2.4%-487.9K-6.7M-54.3K1.3882.14N/AN/A59882819,3499,415
2023-01-05$25.97$25.0017.6%5.4%13.8%1.3%18.7%-0.5%3.7%-472.6K-6.2M-53.2K2.0547.62N/AN/A9118719,2679,303
2023-01-06$25.95$25.0017.1%5.5%13.6%0.4%20.0%-1.5%3.3%-486.2K-6.3M-52.2K1.7374.91N/AN/A40369919,2589,243
2023-01-09$25.93$25.0018.6%5.7%13.6%3.0%20.3%-0.7%2.4%-448.2K-6.3M-49.8K0.3065.19N/AN/A1925719,3108,800
2023-01-10$25.95$25.0018.8%5.4%13.6%3.3%19.1%-0.9%2.7%-411.0K-6.8M-50.0K1.6354.91N/AN/A12420219,4548,782
2023-01-11$26.00$25.0018.8%5.4%12.9%3.3%19.4%-1.4%2.0%-375.1K-7.1M-49.2K0.6717.13N/AN/A825519,4838,787
2023-01-12$26.48$25.0019.4%5.6%14.4%4.3%19.5%-0.3%2.3%-69.1K-9.7M-47.9K0.6312.61N/AN/A1,54798119,4918,773
2023-01-13$26.61$25.0017.6%5.1%14.4%1.2%13.0%-0.4%2.6%325.4K-12.7M-48.4K0.4217.87N/AN/A1918120,5238,664
2023-01-17$26.95$25.0017.9%5.1%15.0%1.7%18.3%-1.6%3.7%373.0K-14.5M-44.1K0.1562.57N/AN/A4997520,5988,615
2023-01-18$26.70$25.0017.6%5.0%15.5%1.1%18.4%-1.4%3.9%345.3K-13.1M-43.7K0.1665.53N/AN/A2794520,4848,634
2023-01-19$26.51$25.0017.7%5.1%15.6%1.4%17.4%-2.4%0.6%357.7K-12.1M-43.7K0.4029.20N/AN/A1275120,4568,607
2023-01-20$26.55$25.0016.8%4.8%15.5%0.0%16.6%-1.8%0.8%179.1K-12.8M-42.5K0.1186.70N/AN/A3143320,3728,298
2023-01-23$26.14$25.0018.6%5.3%15.8%3.1%18.9%-0.7%0.4%165.7K-4.8M-40.9K0.0713.01N/AN/A226166,8432,626
2023-01-24$26.50$25.0017.6%5.1%16.5%1.4%17.8%-1.7%0.6%172.5K-5.7M-42.7K0.1467.05N/AN/A84126,9202,626
2023-01-25$26.38$25.0016.9%4.8%16.5%0.1%17.8%-2.8%-0.0%180.8K-5.5M-40.7K0.1643.49N/AN/A138226,9582,637
2023-01-26$26.59$25.0017.6%5.0%16.4%1.4%17.5%-0.7%1.4%198.6K-5.8M-41.8K0.1815.60N/AN/A90166,9542,628
2023-01-27$26.52$25.0016.0%4.6%15.5%0.0%13.8%-1.5%1.4%186.0K-5.8M-41.7K1.4820.16N/AN/A40596,9732,632
2023-01-30$26.63$25.0018.0%5.2%15.6%3.4%18.6%-2.1%0.7%191.8K-5.8M-39.6K0.9825.53N/AN/A45446,9772,684
2023-01-31$26.56$25.0017.5%5.0%15.6%2.7%17.2%-2.2%0.3%186.9K-5.9M-40.3K0.6212.11N/AN/A21137,0032,678