COR Options History — July 2014

In July 2014, COR traded between $32.66 and $34.48. ATM implied volatility averaged 24.9%, placing in the 42.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 283.2% (HV 20d: 308.1%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.04.

Notable Days

  • 2014-07-24: Highest Volume — 33 contracts
  • 2014-07-10: Largest IV spike — 40.9% change
  • 2014-07-21: Highest IV Rank — 70.6%
  • 2014-07-21: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.69$32.66$34.48$33.99$32.66
Max Pain$30.68$30.00$35.00$30.00$30.00
ATM IV24.9%20.1%30.6%23.1%22.5%
Expected Move7.5%5.8%8.8%6.6%6.4%
HV 20d308.1%13.3%816.9%815.9%20.6%
HV 60d471.7%471.5%471.9%471.8%471.7%
IV Rank42.3%18.3%70.6%33.1%30.1%
IV Percentile23.8%4.8%74.2%13.9%12.3%
Term Structure1.5%-3.1%10.6%4.0%3.5%
VWIV26.0%24.9%27.2%24.9%27.2%
Skew 25d3.1%-6.6%32.7%2.3%-0.1%
Skew 10d4.5%-7.2%47.1%0.7%2.2%
Call IV 25d25.9%19.5%30.5%24.5%25.4%
Put IV 25d29.0%20.1%57.1%26.8%25.3%
Bid-Ask Spread %93.6039.33109.52101.88107.99
Gamma HHI0.600.530.650.620.54
Net GEX9.7K5.5K13.0K11.1K8.0K
Net DEX-150.7K-227.4K-98.0K-164.3K-107.2K
Net VEX-1.5K-1.6K-1.3K-1.6K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.040.000.170.170.09
Total Volume3.40903303
Total OI316.864238355350293

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$33.99$30.0023.1%6.6%815.9%33.1%0.0%2.3%4.0%11.1K-164.3K-1.6K0.00101.88N/AN/A00159191
2014-07-02$33.91$30.0021.1%6.1%816.3%23.2%0.0%5.6%10.6%10.2K-157.8K-1.6K0.00109.52N/AN/A00159191
2014-07-03$33.55$30.0020.1%5.8%816.9%18.3%0.0%3.4%9.6%9.4K-131.2K-1.5K0.00108.04N/AN/A00159191
2014-07-07$33.52$35.0020.9%8.4%816.9%22.1%0.0%-3.6%-0.7%9.5K-131.6K-1.5K0.00100.12N/AN/A00159191
2014-07-08$33.70$35.0020.8%8.3%816.6%21.9%0.0%-2.9%-0.6%10.6K-138.4K-1.5K0.00101.40N/AN/A00159191
2014-07-09$33.70$35.0020.6%8.2%816.7%20.5%24.9%-2.7%-0.5%10.6K-136.2K-1.5K0.17100.76N/AN/A61159191
2014-07-10$33.57$30.0029.0%8.3%816.8%62.6%0.0%5.2%-1.6%10.3K-145.1K-1.5K0.0093.19N/AN/A00162191
2014-07-11$33.59$30.0027.9%8.0%816.3%57.2%0.0%6.4%0.5%9.8K-132.0K-1.5K0.0094.49N/AN/A00162191
2014-07-14$33.85$30.0029.0%8.3%13.3%62.7%0.0%7.0%-0.8%11.8K-151.1K-1.5K0.0096.01N/AN/A00162191
2014-07-15$33.43$30.0026.9%7.7%14.3%52.3%27.2%-5.3%0.1%9.4K-128.3K-1.4K0.0099.60N/AN/A20162191
2014-07-16$33.24$30.0028.9%8.3%13.7%62.0%0.0%-3.0%-0.1%8.7K-128.2K-1.4K0.00103.23N/AN/A00164191
2014-07-17$32.73$30.0023.3%6.7%14.8%34.0%0.0%-6.6%1.3%5.9K-98.0K-1.4K0.00104.07N/AN/A00164191
2014-07-18$33.60$30.0025.6%7.3%17.3%45.5%0.0%-1.3%2.4%10.2K-129.3K-1.4K0.00101.14N/AN/A00164191
2014-07-21$33.33$30.0030.6%8.8%17.6%70.6%0.0%-4.1%-3.1%5.5K-106.5K-1.3K0.00102.52N/AN/A30136102
2014-07-22$33.90$30.0026.1%7.5%18.4%48.0%0.0%-1.1%2.2%7.1K-145.7K-1.4K0.0099.00N/AN/A00139102
2014-07-23$34.48$30.0026.5%7.6%19.2%50.1%0.0%30.9%0.6%8.0K-170.9K-1.3K0.0039.33N/AN/A110139102
2014-07-24$34.42$30.0026.3%7.5%19.2%49.2%0.0%0.2%0.2%9.9K-188.0K-1.4K0.00101.83N/AN/A330147102
2014-07-25$34.19$30.0026.8%7.7%19.2%51.4%0.0%0.8%0.1%12.1K-220.0K-1.6K0.0043.18N/AN/A00175102
2014-07-28$34.46$30.0025.6%7.3%19.1%45.6%0.0%32.7%0.8%12.7K-226.4K-1.5K0.0941.75N/AN/A111175102
2014-07-29$34.18$30.0026.3%7.5%19.5%49.1%0.0%1.9%-0.7%13.0K-227.4K-1.6K0.00102.39N/AN/A00186103
2014-07-30$33.18$30.0020.7%5.9%20.0%21.1%0.0%3.3%5.3%10.0K-151.8K-1.6K0.00107.80N/AN/A04186103
2014-07-31$32.66$30.0022.5%6.4%20.6%30.1%0.0%-0.1%3.5%8.0K-107.2K-1.5K0.00107.99N/AN/A03186107