CORN Options History — January 2024

In January 2024, CORN traded between $20.23 and $21.43. ATM implied volatility averaged 18.6%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 6.8% (HV 20d: 11.8%). Max pain ranged from $21.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2024-01-09: Highest Volume — 322 contracts
  • 2024-01-08: Largest IV spike — 25.2% change
  • 2024-01-29: Highest IV Rank — 32.3%
  • 2024-01-29: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.74$20.23$21.43$21.35$20.53
Max Pain$21.00$21.00$21.00$21.00$21.00
ATM IV18.6%16.4%20.8%17.0%18.0%
Expected Move5.3%4.9%6.0%4.9%5.2%
HV 20d11.8%10.8%12.9%11.8%12.5%
HV 60d13.8%13.4%14.3%13.9%14.0%
IV Rank25.1%18.1%32.3%19.9%23.2%
IV Percentile36.2%7.1%63.5%11.9%25.8%
Term Structure1.3%-1.9%3.6%1.7%1.1%
VWIV18.7%17.2%20.8%17.2%17.9%
Skew 25d-0.3%-2.9%3.5%-0.8%1.3%
Skew 10d-2.5%-9.3%3.1%-0.3%2.3%
Call IV 25d18.4%16.0%20.0%17.7%16.6%
Put IV 25d18.1%16.1%21.2%16.9%18.0%
Bid-Ask Spread %54.1515.8090.8767.7782.30
Gamma HHI0.220.130.400.390.14
Net GEX81.2K19.4K160.3K156.1K78.3K
Net DEX-710.8K-1.1M-290.8K-1.1M-999.7K
Net VEX-7.3K-9.6K-6.4K-9.6K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.001.290.340.06
Total Volume138.2863832287109
Total OI6,137.6192,7258,3867,8003,142

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$21.35$21.0017.0%4.9%11.8%19.9%17.2%-0.8%1.7%156.1K-1.1M-9.6K0.3467.77N/AN/A65226,6711,129
2024-01-03$21.40$21.0018.3%5.2%11.8%24.2%19.1%-1.8%-0.0%156.0K-1.0M-8.5K0.8271.77N/AN/A49406,6801,122
2024-01-04$21.43$21.0018.7%5.2%11.2%25.4%19.8%-1.1%3.6%160.3K-1.1M-8.6K0.0437.20N/AN/A11046,7141,121
2024-01-05$21.22$21.0016.4%5.0%10.9%18.1%17.9%0.6%2.7%137.4K-875.4K-8.3K0.2575.97N/AN/A114286,7841,122
2024-01-08$20.94$21.0020.6%5.3%11.1%31.6%19.6%-0.9%2.9%89.7K-513.8K-7.4K1.2942.70N/AN/A1051356,7841,139
2024-01-09$21.10$21.0019.8%5.4%11.7%29.1%18.8%1.1%1.9%120.8K-765.9K-7.6K0.1077.14N/AN/A292306,8671,239
2024-01-10$21.05$21.0017.9%5.1%11.7%22.9%18.8%-0.2%2.9%113.5K-887.8K-7.9K0.0038.29N/AN/A3906,9961,248
2024-01-11$20.97$21.0017.8%5.1%11.5%22.6%17.6%-1.0%2.9%106.6K-900.1K-8.1K1.1946.34N/AN/A26317,0101,244
2024-01-12$20.64$21.0018.3%5.2%12.2%24.1%18.1%0.3%2.9%50.0K-411.4K-6.5K0.2689.24N/AN/A253657,0231,237
2024-01-16$20.42$21.0020.2%5.8%12.4%30.3%20.5%-2.5%0.6%25.2K-290.8K-6.8K0.8815.80N/AN/A101897,1021,275
2024-01-17$20.33$21.0018.5%5.3%12.0%24.9%18.4%-2.9%2.8%19.4K-294.6K-6.4K0.1230.27N/AN/A153187,1321,254
2024-01-18$20.37$21.0019.2%5.5%12.1%27.1%18.1%-1.7%0.8%27.2K-471.2K-6.4K0.3976.33N/AN/A75297,1391,178
2024-01-19$20.40$21.0019.9%5.7%11.9%29.4%20.2%-2.1%-0.2%46.4K-588.6K-7.0K0.3477.21N/AN/A95327,1641,179
2024-01-22$20.43$21.0018.6%5.3%12.0%25.2%18.3%1.1%0.8%48.9K-538.9K-6.5K0.1161.93N/AN/A7482,295430
2024-01-23$20.47$21.0017.7%5.1%11.9%22.1%17.8%1.3%0.5%52.5K-586.4K-6.7K0.0949.78N/AN/A9282,342436
2024-01-24$20.66$21.0017.6%5.0%12.6%21.8%17.9%-0.6%0.7%61.3K-706.1K-6.8K0.0590.87N/AN/A8142,401438
2024-01-25$20.60$21.0018.2%5.2%10.8%23.9%19.0%-0.2%0.2%64.3K-744.4K-6.6K0.0025.83N/AN/A12102,454436
2024-01-26$20.40$21.0017.3%4.9%10.9%20.8%17.6%-1.1%0.7%64.8K-725.5K-7.1K0.6516.28N/AN/A23152,521436
2024-01-29$20.23$21.0020.8%6.0%11.0%32.3%20.8%0.6%-1.9%59.5K-590.1K-6.5K0.4122.72N/AN/A71292,527445
2024-01-30$20.55$21.0019.4%5.5%12.9%27.6%19.6%3.5%-0.3%67.0K-808.5K-6.5K0.0241.38N/AN/A26362,570464
2024-01-31$20.53$21.0018.0%5.2%12.5%23.2%17.9%1.3%1.1%78.3K-999.7K-7.7K0.0682.30N/AN/A10362,677465