CORN Options History — November 2024

In November 2024, CORN traded between $17.73 and $18.45. ATM implied volatility averaged 19.4%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 7.4% (HV 20d: 12.0%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.30.

Notable Days

  • 2024-11-26: Highest Volume — 729 contracts
  • 2024-11-26: Largest IV spike — 136.9% change
  • 2024-11-26: Highest IV Rank — 100.0%
  • 2024-11-06: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.09$17.73$18.45$17.95$17.85
Max Pain$17.65$17.00$18.00$18.00$18.00
ATM IV19.4%12.8%36.8%18.6%17.3%
Expected Move5.6%3.4%12.9%5.3%5.0%
HV 20d12.0%10.4%13.8%13.1%11.8%
HV 60d13.6%12.9%14.3%14.3%12.9%
IV Rank39.5%13.3%100.0%37.1%28.2%
IV Percentile39.5%4.0%100.0%35.3%21.8%
Term Structure0.8%-18.7%11.4%-3.0%3.0%
VWIV18.4%15.7%26.5%17.1%15.7%
Skew 25d7.2%-7.6%38.8%3.5%25.1%
Skew 10d12.8%-1.7%43.7%5.6%26.8%
Call IV 25d18.0%14.7%22.4%14.7%22.0%
Put IV 25d25.2%14.8%55.5%18.2%47.1%
Bid-Ask Spread %132.6183.97146.6783.97146.67
Gamma HHI0.290.250.360.260.25
Net GEX240.9K198.3K305.0K221.0K240.0K
Net DEX-1.8M-2.7M-1.1M-1.7M-1.6M
Net VEX-11.7K-13.8K-9.8K-13.3K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.003.330.210.44
Total Volume144.55137294126
Total OI8,775.66,90910,11210,1047,851

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-11-01$17.95$18.0018.6%5.3%13.1%37.1%17.1%3.5%-3.0%221.0K-1.7M-13.3K0.2183.97N/AN/A3478,8811,223
2024-11-04$17.94$17.0019.9%4.3%13.0%42.6%0.0%1.6%-0.6%225.0K-1.7M-13.1K3.33116.09N/AN/A3108,8821,229
2024-11-05$18.02$17.0020.8%3.4%12.9%46.5%0.0%6.1%8.3%234.9K-1.8M-13.3K0.06119.75N/AN/A9568,8831,229
2024-11-06$18.26$17.0020.8%12.9%13.8%46.3%17.3%38.8%-18.7%269.6K-2.2M-13.4K0.00146.43N/AN/A2908,8491,249
2024-11-07$18.35$17.0018.9%4.2%13.7%38.4%16.3%9.3%3.0%278.6K-2.3M-13.3K0.07143.81N/AN/A3028,8311,249
2024-11-08$18.45$17.0016.0%4.3%13.7%26.4%17.4%1.2%-1.9%283.1K-2.7M-13.8K0.11140.32N/AN/A132148,8581,247
2024-11-11$18.34$17.0022.7%5.1%11.9%54.0%18.6%5.0%1.9%281.9K-2.2M-12.5K0.01134.59N/AN/A16628,7841,259
2024-11-12$18.27$17.0014.8%5.1%10.4%21.3%18.7%2.8%9.2%228.7K-2.2M-12.6K0.13138.56N/AN/A124168,7361,236
2024-11-13$18.16$18.0019.0%5.4%10.6%38.7%19.3%5.9%2.3%250.6K-1.8M-11.2K0.14136.57N/AN/A3558,6781,240
2024-11-14$17.90$18.0012.8%3.7%12.0%13.3%18.3%3.7%1.6%265.3K-1.1M-10.2K0.25135.51N/AN/A142358,6621,241
2024-11-15$18.09$18.0022.4%6.4%12.1%52.9%22.6%-7.6%-5.5%305.0K-1.7M-10.6K0.23130.03N/AN/A132308,7841,237
2024-11-18$18.20$18.0017.4%5.0%12.1%32.2%17.2%3.5%0.3%221.8K-1.6M-10.6K0.01126.52N/AN/A22036,266643
2024-11-19$18.16$18.0015.1%4.3%11.1%22.6%17.8%1.1%2.3%209.2K-1.6M-11.0K0.01115.20N/AN/A13916,332646
2024-11-20$18.27$18.0016.2%4.6%11.2%27.2%15.8%0.3%-0.7%223.1K-1.7M-11.5K0.67128.55N/AN/A15106,304646
2024-11-21$18.09$18.0015.6%4.5%11.7%24.9%15.7%-2.1%1.4%198.3K-1.4M-10.0K0.00137.12N/AN/A27406,312656
2024-11-22$18.04$18.0013.6%3.9%11.3%16.6%17.3%11.1%-0.0%226.7K-1.5M-10.3K0.00142.61N/AN/A8606,573656
2024-11-25$17.94$18.0014.6%4.2%11.0%20.7%19.9%9.9%-0.0%219.5K-1.4M-9.8K0.29141.13N/AN/A2476,582656
2024-11-26$17.74$18.0034.6%9.9%11.6%100.0%26.5%-0.5%2.6%213.4K-1.5M-11.4K0.01142.71N/AN/A72366,585661
2024-11-27$17.73$18.0036.8%10.6%11.6%100.0%19.3%25.6%11.4%222.0K-1.5M-11.2K0.00146.01N/AN/A30717,009667
2024-11-29$17.85$18.0017.3%5.0%11.8%28.2%15.7%25.1%3.0%240.0K-1.6M-10.8K0.44146.67N/AN/A1887,184667