COR Options History — August 2014

In August 2014, COR traded between $32.99 and $35.89. ATM implied volatility averaged 24.9%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 2.8% (HV 20d: 22.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2014-08-11: Highest Volume — 11 contracts
  • 2014-08-11: Largest IV spike — 28.1% change
  • 2014-08-11: Highest IV Rank — 58.4%
  • 2014-08-18: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.62$32.99$35.89$33.15$35.07
Max Pain$32.50$30.00$35.00$30.00$35.00
ATM IV24.9%20.8%28.1%20.8%28.1%
Expected Move7.5%6.0%8.2%6.0%7.6%
HV 20d22.0%17.8%25.1%21.2%17.8%
HV 60d471.7%471.5%471.8%471.7%471.8%
IV Rank41.9%21.5%58.4%21.5%57.9%
IV Percentile22.7%5.6%41.7%5.6%41.7%
Term Structure0.8%-3.9%3.0%3.0%-3.9%
VWIV27.8%27.8%27.8%27.8%27.8%
Skew 25d6.4%-2.1%33.0%3.9%3.9%
Skew 10d11.2%-2.3%54.5%3.0%4.1%
Call IV 25d23.6%20.9%26.4%23.4%24.4%
Put IV 25d30.0%22.5%58.2%27.3%28.3%
Bid-Ask Spread %84.3958.99107.82107.8271.60
Gamma HHI0.650.550.720.550.66
Net GEX15.8K9.2K23.2K9.3K16.0K
Net DEX-263.8K-369.2K-132.1K-132.1K-290.2K
Net VEX-1.4K-1.6K-1.3K-1.6K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.42901100
Total OI300.476296312296301

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$33.15$30.0020.8%6.0%21.2%21.5%0.0%3.9%3.0%9.3K-132.1K-1.6K0.00107.82N/AN/A00186110
2014-08-04$33.49$0.0021.3%7.4%21.5%24.4%0.0%4.0%0.1%10.4K-152.7K-1.5K0.0098.04N/AN/A00186110
2014-08-05$32.99$0.0024.6%7.6%22.1%40.5%0.0%2.8%0.0%9.2K-135.6K-1.5K0.0099.20N/AN/A00186110
2014-08-06$33.11$0.0023.7%7.4%22.1%36.3%0.0%4.4%0.6%9.6K-139.6K-1.5K0.0099.29N/AN/A00186110
2014-08-07$33.39$0.0023.3%7.1%22.3%34.3%0.0%5.6%2.1%10.1K-147.0K-1.5K0.0095.38N/AN/A00186110
2014-08-08$33.90$0.0022.0%7.0%23.0%27.6%0.0%-0.8%1.1%13.2K-185.3K-1.5K0.0099.49N/AN/A80186110
2014-08-11$34.71$0.0028.1%7.6%24.3%58.4%0.0%2.1%0.3%17.1K-265.9K-1.5K0.0097.81N/AN/A110186110
2014-08-12$34.24$0.0026.4%7.6%24.4%49.8%0.0%-2.1%0.3%16.4K-233.7K-1.6K0.0099.32N/AN/A90197110
2014-08-13$34.91$0.0026.6%7.4%25.1%50.7%0.0%2.1%0.8%19.7K-304.8K-1.5K0.0098.20N/AN/A00202110
2014-08-14$35.11$0.0025.5%7.3%24.2%45.1%0.0%2.1%1.0%23.2K-324.9K-1.5K0.0097.95N/AN/A00202110
2014-08-15$35.34$0.0026.2%7.5%22.7%48.6%0.0%3.5%0.8%22.8K-353.8K-1.5K0.0098.21N/AN/A00202110
2014-08-18$35.89$0.0026.2%8.2%22.8%48.6%0.0%5.0%0.2%16.9K-369.2K-1.4K0.0077.83N/AN/A00189110
2014-08-19$35.74$0.0025.0%7.9%22.4%42.5%0.0%3.8%2.1%16.5K-356.1K-1.4K0.0062.60N/AN/A00189110
2014-08-20$35.64$0.0025.5%8.0%21.8%45.2%0.0%25.7%1.1%16.7K-337.6K-1.4K0.0065.15N/AN/A00189110
2014-08-21$35.25$0.0024.8%7.9%22.2%41.7%0.0%3.1%0.9%17.0K-319.4K-1.4K0.0081.12N/AN/A00189110
2014-08-22$35.10$0.0025.0%7.6%22.1%42.6%0.0%2.3%1.4%16.6K-302.4K-1.4K0.0058.99N/AN/A00189110
2014-08-25$34.99$0.0024.5%7.7%22.0%40.0%0.0%2.0%1.7%16.9K-293.4K-1.4K0.0062.75N/AN/A10189110
2014-08-26$35.24$0.0024.4%7.7%21.9%39.6%0.0%26.3%1.3%18.2K-315.3K-1.3K0.0059.85N/AN/A00190110
2014-08-27$35.10$0.0024.7%7.9%18.7%41.0%0.0%33.0%1.5%17.6K-303.2K-1.3K0.0081.66N/AN/A00190110
2014-08-28$34.71$0.0025.2%7.9%18.1%43.7%27.8%1.2%0.1%17.9K-276.9K-1.3K0.0059.97N/AN/A01190110
2014-08-29$35.07$35.0028.1%7.6%17.8%57.9%0.0%3.9%-3.9%16.0K-290.2K-1.3K0.0071.60N/AN/A00190111