CORN Options History — November 2023

In November 2023, CORN traded between $21.64 and $22.40. ATM implied volatility averaged 19.0%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.1% (HV 20d: 15.9%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2023-11-17: Highest Volume — 311 contracts
  • 2023-11-22: Largest IV drop — 9.7% change
  • 2023-11-21: Highest IV Rank — 29.9%
  • 2023-11-21: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.05$21.64$22.40$22.14$22.02
Max Pain$22.00$22.00$22.00$22.00$22.00
ATM IV19.0%17.3%20.1%18.2%17.3%
Expected Move5.4%5.0%5.8%5.2%5.0%
HV 20d15.9%12.3%17.9%13.9%17.8%
HV 60d15.9%15.3%16.5%15.9%15.8%
IV Rank26.3%21.0%29.9%23.9%21.0%
IV Percentile44.6%16.7%59.1%31.0%16.7%
Term Structure0.7%-0.3%2.4%0.3%2.4%
VWIV19.1%17.8%20.0%18.4%18.4%
Skew 25d-1.3%-5.5%3.8%-4.4%-5.4%
Skew 10d-1.5%-7.6%5.5%-2.7%-7.6%
Call IV 25d19.5%15.8%21.5%20.7%19.1%
Put IV 25d18.2%13.3%20.9%16.3%13.6%
Bid-Ask Spread %25.3714.5280.8837.7019.10
Gamma HHI0.250.230.300.260.23
Net GEX230.3K161.0K287.0K264.6K200.5K
Net DEX-2.2M-3.2M-1.4M-2.1M-1.9M
Net VEX-14.3K-16.6K-11.5K-15.9K-12.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.000.890.590.06
Total Volume132.238273112788
Total OI8,817.7627,4429,7409,5897,535

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$22.14$22.0018.2%5.2%13.9%23.9%18.4%-4.4%0.3%264.6K-2.1M-15.9K0.5937.70N/AN/A17107,8681,721
2023-11-02$21.96$22.0018.2%5.4%12.3%23.9%19.1%-1.4%0.1%243.5K-1.8M-15.2K0.1716.74N/AN/A103177,8621,666
2023-11-03$22.31$22.0019.7%5.4%13.7%28.8%19.0%0.1%0.2%287.0K-2.6M-16.6K0.0014.57N/AN/A5907,9021,672
2023-11-06$22.30$22.0018.8%5.3%13.6%25.7%18.9%-1.0%1.0%283.4K-2.5M-15.9K0.1522.55N/AN/A80127,8821,672
2023-11-07$21.95$22.0019.7%5.4%14.5%28.8%19.1%-0.8%0.6%243.8K-1.8M-15.6K0.0314.52N/AN/A23267,9251,683
2023-11-08$22.15$22.0019.2%5.5%14.8%27.1%19.7%-1.0%0.7%271.6K-2.5M-15.9K0.5937.76N/AN/A81488,0871,601
2023-11-09$21.87$22.0018.5%5.3%14.6%24.8%19.1%-1.0%1.4%233.4K-1.9M-14.9K0.1224.92N/AN/A93118,1081,543
2023-11-10$21.74$22.0018.7%5.3%14.7%25.3%19.3%-0.1%0.6%210.0K-1.5M-13.6K0.2617.95N/AN/A137368,0711,553
2023-11-13$22.31$22.0019.0%5.4%17.6%26.3%19.5%-0.8%1.5%283.7K-3.0M-15.0K0.1920.23N/AN/A140268,1281,546
2023-11-14$22.40$22.0019.4%5.5%17.7%27.6%19.4%0.3%0.9%285.7K-3.2M-16.4K0.8980.88N/AN/A106948,1421,598
2023-11-15$22.14$22.0019.5%5.6%17.9%28.0%19.2%-0.2%0.9%232.2K-2.6M-14.8K0.2117.18N/AN/A3888,1361,526
2023-11-16$22.30$22.0019.7%5.6%17.0%28.6%20.0%0.2%0.2%216.9K-3.1M-14.2K0.2638.13N/AN/A176468,1351,521
2023-11-17$22.05$22.0019.4%5.6%16.8%27.7%19.7%-1.1%0.9%264.8K-2.6M-13.9K0.1216.58N/AN/A277348,1751,557
2023-11-20$22.11$22.0019.4%5.6%16.8%27.7%19.4%0.5%0.1%210.5K-2.2M-14.1K0.0219.24N/AN/A17446,4481,090
2023-11-21$22.21$22.0020.1%5.8%16.2%29.9%19.0%-3.4%-0.3%214.2K-2.4M-15.1K0.7524.38N/AN/A114866,3521,093
2023-11-22$22.14$22.0018.1%5.2%16.2%23.6%18.9%-4.8%1.1%205.0K-2.1M-13.0K0.3925.22N/AN/A31126,3191,123
2023-11-24$21.99$22.0018.8%5.4%16.3%25.9%18.9%-5.5%0.5%195.3K-1.9M-13.2K0.5114.64N/AN/A41216,3331,127
2023-11-27$21.64$22.0018.8%5.4%17.0%25.7%18.7%0.0%0.7%164.0K-1.4M-11.8K0.2919.82N/AN/A128376,3571,145
2023-11-28$21.65$22.0019.4%5.6%17.0%27.9%19.9%-1.3%-0.2%161.0K-1.4M-11.6K0.5922.39N/AN/A75446,3091,136
2023-11-29$21.73$22.0018.3%5.3%17.1%24.2%17.8%3.8%1.3%165.5K-1.4M-11.5K0.6728.32N/AN/A21146,3541,172
2023-11-30$22.02$22.0017.3%5.0%17.8%21.0%18.4%-5.4%2.4%200.5K-1.9M-12.6K0.0619.10N/AN/A8356,3621,173