CORN Options History — December 2023

In December 2023, CORN traded between $21.54 and $22.29. ATM implied volatility averaged 18.8%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 5.1% (HV 20d: 13.6%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2023-12-20: Highest Volume — 252 contracts
  • 2023-12-04: Largest IV spike — 12.7% change
  • 2023-12-11: Highest IV Rank — 35.3%
  • 2023-12-04: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.89$21.54$22.29$22.02$21.58
Max Pain$21.05$21.00$22.00$22.00$21.00
ATM IV18.8%16.7%21.7%17.3%17.0%
Expected Move5.3%4.8%5.6%4.9%4.9%
HV 20d13.6%11.3%17.5%17.5%11.3%
HV 60d15.3%14.3%15.8%15.8%14.3%
IV Rank25.6%19.0%35.3%20.8%19.8%
IV Percentile39.0%7.9%68.7%16.7%10.7%
Term Structure0.5%-0.6%2.8%2.8%1.0%
VWIV18.2%13.4%20.8%17.6%17.2%
Skew 25d-0.9%-4.2%2.4%-4.2%-2.8%
Skew 10d-3.4%-8.8%4.3%-6.2%-8.1%
Call IV 25d19.0%16.6%21.1%19.5%18.6%
Put IV 25d18.1%15.3%19.7%15.3%15.8%
Bid-Ask Spread %29.0113.9870.4519.4232.10
Gamma HHI0.270.220.370.230.37
Net GEX191.8K152.5K226.0K203.9K180.5K
Net DEX-1.7M-2.3M-1.2M-2.0M-1.3M
Net VEX-11.1K-13.2K-9.4K-12.5K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.032.362.260.26
Total Volume91.351825210153
Total OI7,693.057,3707,8477,6027,769

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$22.02$22.0017.3%4.9%17.5%20.8%17.6%-4.2%2.8%203.9K-2.0M-12.5K2.2619.42N/AN/A31706,4251,177
2023-12-04$22.09$21.0019.5%5.6%16.6%27.9%20.8%-2.5%0.1%203.7K-2.1M-13.2K0.4958.48N/AN/A68336,4341,217
2023-12-05$22.29$21.0019.1%5.5%16.9%26.8%18.6%0.9%0.5%226.0K-2.3M-12.9K0.6454.57N/AN/A59386,4811,229
2023-12-06$22.02$21.0019.8%5.3%16.5%28.9%19.5%-0.7%-0.3%200.5K-1.9M-12.4K0.2017.92N/AN/A181376,5011,250
2023-12-07$22.17$21.0020.0%5.5%16.3%29.7%19.3%-0.3%0.1%217.1K-2.2M-12.2K0.8614.81N/AN/A22196,5011,237
2023-12-08$22.13$21.0019.8%5.4%15.7%28.9%18.3%-0.1%0.7%212.6K-2.0M-11.8K0.2670.45N/AN/A3596,5141,250
2023-12-11$22.01$21.0021.7%5.5%15.6%35.3%19.4%-0.7%-0.1%189.4K-1.8M-11.8K1.1231.41N/AN/A17196,5221,247
2023-12-12$22.08$21.0021.1%5.2%12.5%33.2%17.6%-1.4%0.7%205.8K-2.0M-11.7K2.3621.60N/AN/A28666,5341,254
2023-12-13$21.88$21.0018.7%5.4%12.8%25.3%13.4%-1.4%0.4%175.6K-1.6M-11.0K0.0363.63N/AN/A7826,5531,231
2023-12-14$21.91$21.0019.4%5.6%12.2%27.6%19.2%-0.7%-0.6%179.1K-1.7M-10.8K0.7416.46N/AN/A34256,5831,230
2023-12-15$22.02$21.0018.3%5.2%12.0%24.0%19.0%-1.9%0.8%210.0K-1.8M-11.4K0.3830.67N/AN/A1356,5991,248
2023-12-18$21.84$21.0017.6%5.0%11.7%21.8%17.2%0.4%0.4%177.8K-1.6M-10.0K0.2616.77N/AN/A100266,2561,114
2023-12-19$21.62$21.0019.0%5.4%12.1%26.4%18.5%-2.5%-0.1%159.5K-1.4M-10.1K0.4821.30N/AN/A128616,3051,106
2023-12-20$21.54$21.0018.4%5.3%12.0%24.4%18.1%-1.0%1.0%152.5K-1.2M-9.8K0.0918.21N/AN/A232206,3471,135
2023-12-21$21.62$21.0018.0%5.2%12.1%23.3%18.5%0.7%0.6%172.1K-1.5M-10.7K0.2113.98N/AN/A57126,5411,130
2023-12-22$21.63$21.0017.8%5.1%11.9%22.7%18.1%0.7%1.1%172.1K-1.5M-10.5K0.0314.90N/AN/A8026,5761,132
2023-12-26$21.96$21.0018.2%5.2%11.8%23.9%18.0%2.4%-0.0%210.7K-1.9M-10.7K0.0515.98N/AN/A6236,6121,130
2023-12-27$21.76$21.0017.8%5.1%12.3%22.6%17.7%-1.3%0.5%193.8K-1.5M-9.9K0.2515.93N/AN/A40106,6211,130
2023-12-28$21.69$21.0016.7%4.8%12.3%19.0%18.1%-1.7%1.3%192.8K-1.5M-10.2K0.3031.57N/AN/A40126,6271,113
2023-12-29$21.58$21.0017.0%4.9%11.3%19.8%17.2%-2.8%1.0%180.5K-1.3M-9.4K0.2632.10N/AN/A42116,6491,120