COR Options History — October 2014

In October 2014, COR traded between $32.41 and $37.03. ATM implied volatility averaged 24.5%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 3.7% (HV 20d: 20.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.84.

Notable Days

  • 2014-10-14: Highest Volume — 79 contracts
  • 2014-10-07: Largest IV spike — 46.5% change
  • 2014-10-15: Highest IV Rank — 63.5%
  • 2014-10-07: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.52$32.41$37.03$32.82$37.03
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV24.5%18.6%29.2%19.9%21.5%
Expected Move8.0%7.6%8.8%8.0%7.9%
HV 20d20.8%16.3%23.1%16.6%23.0%
HV 60d20.3%19.4%21.0%19.4%20.2%
IV Rank40.0%10.6%63.5%16.9%25.1%
IV Percentile28.1%2.4%61.1%5.2%11.9%
Term Structure1.1%-1.6%7.9%5.5%7.9%
VWIV26.8%25.0%28.8%27.3%25.0%
Skew 25d5.2%-1.3%16.7%0.2%8.8%
Skew 10d12.4%-3.7%51.6%2.5%7.6%
Call IV 25d24.2%16.0%29.8%24.1%16.0%
Put IV 25d29.3%23.7%40.4%24.3%24.8%
Bid-Ask Spread %79.3764.1187.6285.3575.80
Gamma HHI0.800.570.960.650.72
Net GEX26.7K9.4K73.5K15.6K12.5K
Net DEX-189.6K-354.0K-78.4K-107.7K-275.1K
Net VEX-750-870-641-828-641
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.131.580.130.30
Total Volume32.130791730
Total OI252.304127344327136

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$32.82$35.0019.9%8.0%16.6%16.9%0.0%0.2%5.5%15.6K-107.7K-8280.1385.35N/AN/A152212115
2014-10-02$33.04$35.0020.6%8.0%16.9%20.9%0.0%3.3%6.4%20.7K-129.4K-8620.0080.64N/AN/A00227117
2014-10-03$33.17$35.0020.3%8.0%17.2%19.2%0.0%3.2%5.2%23.2K-137.5K-8700.0085.36N/AN/A00227117
2014-10-06$33.24$35.0018.6%7.6%16.3%10.6%0.0%3.7%-1.3%24.0K-135.3K-7970.0064.11N/AN/A00227117
2014-10-07$32.41$35.0027.2%8.8%17.7%53.7%0.0%3.1%-0.4%9.4K-78.4K-7070.0085.21N/AN/A00227117
2014-10-08$33.46$35.0019.8%7.8%21.9%16.6%27.3%6.2%-0.6%28.0K-139.0K-7981.5874.29N/AN/A2641227117
2014-10-09$33.25$35.0020.7%7.9%21.6%21.3%27.6%2.7%0.6%22.8K-116.9K-7371.5864.52N/AN/A2641227117
2014-10-10$33.79$35.0020.5%8.2%20.2%20.1%28.6%8.7%1.5%36.4K-166.3K-8041.5882.27N/AN/A2641227117
2014-10-13$33.89$35.0025.9%7.9%20.0%47.3%27.6%6.8%-0.8%39.5K-176.0K-7801.5877.84N/AN/A2641227117
2014-10-14$34.77$35.0024.3%8.0%21.9%39.1%28.0%9.3%-1.1%64.5K-326.2K-8651.0878.57N/AN/A3841227117
2014-10-15$34.86$35.0029.2%8.2%21.9%63.5%28.8%9.7%-0.7%73.5K-354.0K-8401.0876.68N/AN/A3841227117
2014-10-16$34.50$35.0028.5%8.0%22.3%60.4%0.0%0.5%-1.1%69.7K-313.6K-7900.0087.62N/AN/A09227117
2014-10-17$34.38$35.0026.2%7.8%22.2%48.7%0.0%0.6%0.0%66.4K-196.7K-6760.2484.99N/AN/A174227114
2014-10-20$35.05$35.0026.8%7.8%23.1%51.4%27.2%7.2%1.2%10.4K-157.4K-6810.7571.82N/AN/A12910423
2014-10-21$34.93$35.0027.1%7.9%20.8%53.3%26.0%8.7%-0.6%11.0K-163.3K-7000.5375.96N/AN/A17910823
2014-10-22$34.48$35.0026.5%8.0%21.6%50.2%26.4%6.2%-0.5%11.3K-158.1K-7240.6981.55N/AN/A161111323
2014-10-23$34.91$35.0027.0%8.0%21.4%52.5%25.7%-0.7%-0.5%11.5K-172.7K-7220.6979.95N/AN/A161111325
2014-10-24$35.31$35.0027.7%8.0%21.3%55.9%26.5%-0.9%-1.1%11.8K-179.9K-7180.6983.44N/AN/A161111325
2014-10-27$35.46$35.0028.3%7.9%21.2%58.9%26.4%-1.3%-1.6%12.4K-189.2K-6980.6980.59N/AN/A161111325
2014-10-28$36.37$35.0026.5%7.9%22.4%50.3%26.1%8.9%-0.0%13.5K-226.3K-6780.6979.31N/AN/A161111225
2014-10-29$36.15$35.0026.4%8.1%22.7%49.5%26.4%16.7%0.9%12.4K-221.2K-6870.6385.00N/AN/A161011225
2014-10-30$36.74$35.0023.4%7.7%23.0%34.9%25.6%6.9%6.6%12.8K-241.6K-6420.5684.71N/AN/A181011221
2014-10-31$37.03$35.0021.5%7.9%23.0%25.1%25.0%8.8%7.9%12.5K-275.1K-6410.3075.80N/AN/A23711521