COR Options History — September 2014

In September 2014, COR traded between $32.52 and $36.33. ATM implied volatility averaged 24.4%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 6.7% (HV 20d: 17.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.16.

Notable Days

  • 2014-09-26: Highest Volume — 17 contracts
  • 2014-09-24: Largest IV drop — 21.0% change
  • 2014-09-22: Highest IV Rank — 55.9%
  • 2014-09-11: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.44$32.52$36.33$35.81$32.87
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV24.4%16.9%27.7%27.1%16.9%
Expected Move8.0%7.8%8.3%7.9%8.1%
HV 20d17.7%14.8%19.3%18.8%16.7%
HV 60d127.0%18.3%471.8%471.8%19.4%
IV Rank39.6%1.9%55.9%53.2%1.9%
IV Percentile23.0%0.4%40.5%34.5%0.4%
Term Structure2.4%-0.8%9.7%0.0%9.7%
VWIV27.1%26.6%27.7%27.7%26.6%
Skew 25d0.9%-5.2%11.0%4.7%-0.2%
Skew 10d2.5%-6.1%17.3%8.3%3.1%
Call IV 25d23.6%18.8%27.4%23.9%20.0%
Put IV 25d24.5%19.8%29.8%28.5%19.8%
Bid-Ask Spread %77.6660.4084.8866.0969.70
Gamma HHI0.690.530.760.730.68
Net GEX18.8K8.2K23.4K19.5K16.1K
Net DEX-253.7K-422.5K-57.3K-373.6K-104.6K
Net VEX-1.0K-1.2K-675-1.2K-801
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.001.000.000.09
Total Volume2.28601700
Total OI308.095298327301327

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$35.81$35.0027.1%7.9%18.8%53.2%0.0%4.7%0.0%19.5K-373.6K-1.2K0.0066.09N/AN/A00190111
2014-09-03$35.86$35.0025.5%8.1%17.5%45.1%0.0%3.3%1.8%19.3K-375.4K-1.2K0.0065.47N/AN/A40190111
2014-09-04$35.95$35.0024.1%7.9%17.5%38.3%0.0%-0.4%2.1%21.5K-398.6K-1.2K1.0083.05N/AN/A22194111
2014-09-05$35.90$35.0024.3%7.9%17.5%38.9%0.0%11.0%4.6%21.7K-388.8K-1.2K0.0062.22N/AN/A00196113
2014-09-08$36.33$35.0024.1%7.8%17.3%37.9%0.0%5.4%1.6%22.1K-422.5K-1.1K0.0078.80N/AN/A00196113
2014-09-09$35.91$35.0023.9%8.1%16.3%37.3%0.0%5.1%0.3%22.4K-400.4K-1.1K0.0083.89N/AN/A00196113
2014-09-10$35.50$35.0023.9%8.0%16.1%37.0%0.0%2.9%1.1%23.4K-356.6K-1.2K0.0082.44N/AN/A00196113
2014-09-11$35.73$35.0027.4%8.3%14.8%54.4%0.0%3.9%0.8%23.1K-370.3K-1.1K0.0083.51N/AN/A00196113
2014-09-12$34.66$35.0026.6%7.9%18.4%50.4%0.0%-0.9%0.2%22.2K-277.7K-1.1K0.0060.40N/AN/A00196113
2014-09-15$34.29$35.0027.0%7.9%18.6%52.7%0.0%-0.6%1.1%21.8K-252.2K-1.1K0.0080.04N/AN/A00196113
2014-09-16$34.13$35.0027.5%7.9%17.5%55.0%0.0%-3.2%-0.2%20.6K-230.1K-1.1K0.0081.68N/AN/A10196113
2014-09-17$34.10$35.0026.8%7.9%17.5%51.4%0.0%-1.3%1.0%21.3K-230.2K-1.1K0.0082.65N/AN/A00197113
2014-09-18$34.19$35.0027.3%7.9%17.6%54.1%0.0%-1.5%-0.5%22.2K-243.5K-1.0K0.0083.26N/AN/A00197113
2014-09-19$34.01$35.0023.6%7.8%17.3%35.7%0.0%-1.0%2.3%22.6K-202.5K-9190.0081.84N/AN/A00197113
2014-09-22$33.81$35.0027.7%7.8%17.3%55.9%0.0%-5.2%-0.8%18.8K-189.4K-9340.0069.16N/AN/A10191113
2014-09-23$32.96$35.0024.5%7.9%19.3%40.3%27.7%-3.1%1.0%15.1K-138.7K-8520.0080.08N/AN/A01192113
2014-09-24$33.04$35.0019.4%8.1%19.0%14.6%0.0%-1.1%6.9%9.1K-130.3K-1.0K0.0084.88N/AN/A80192114
2014-09-25$32.72$35.0020.2%8.0%19.1%18.7%0.0%-0.6%6.7%8.2K-97.7K-9380.0083.31N/AN/A00192114
2014-09-26$32.52$35.0024.2%8.2%19.0%38.6%0.0%2.5%4.3%8.7K-57.3K-6750.0084.87N/AN/A170184114
2014-09-29$32.85$35.0020.6%7.9%18.9%20.6%26.6%-1.6%6.5%14.6K-87.9K-7410.0983.58N/AN/A111201114
2014-09-30$32.87$35.0016.9%8.1%16.7%1.9%0.0%-0.2%9.7%16.1K-104.6K-8010.0069.70N/AN/A00212115