COR Options History — December 2014

In December 2014, COR traded between $37.70 and $39.56. ATM implied volatility averaged 20.7%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 8.7% (HV 20d: 12.1%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2014-12-05: Highest Volume — 56 contracts
  • 2014-12-26: Largest IV spike — 66.9% change
  • 2014-12-26: Highest IV Rank — 81.7%
  • 2014-12-26: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.49$37.70$39.56$37.96$39.05
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV20.7%15.7%32.7%23.2%23.3%
Expected Move7.2%6.7%7.8%7.3%7.3%
HV 20d12.1%11.1%13.6%12.6%13.6%
HV 60d17.3%16.5%18.8%18.8%17.1%
IV Rank23.2%0.0%81.7%33.4%36.4%
IV Percentile17.9%0.0%95.6%22.6%30.6%
Term Structure1.9%-4.9%7.3%-4.9%2.1%
VWIV23.7%20.8%26.9%20.8%26.9%
Skew 25d3.2%-5.9%58.7%2.1%0.5%
Skew 10d7.0%-11.1%83.5%4.8%-0.9%
Call IV 25d23.4%18.2%34.3%27.3%25.5%
Put IV 25d26.6%18.4%80.5%29.3%26.0%
Bid-Ask Spread %92.6383.76119.2186.0994.62
Gamma HHI0.670.400.880.540.43
Net GEX6.2K-27412.4K12.4K-219
Net DEX-222.8K-336.3K-6.1K-319.0K-6.1K
Net VEX-461-563-317-563-318
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.198.000.190.60
Total Volume39.636056324
Total OI151.6368618214686

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$37.96$35.0023.2%7.3%12.6%33.4%20.8%2.1%-4.9%12.4K-319.0K-5630.1986.09N/AN/A27512719
2014-12-02$38.25$35.0019.0%7.4%11.5%12.5%20.9%1.5%7.3%11.8K-318.2K-4960.1990.40N/AN/A27512319
2014-12-03$38.42$35.0017.5%7.3%11.1%5.4%20.9%2.0%4.9%10.7K-336.3K-4590.2492.59N/AN/A29712319
2014-12-04$38.31$35.0017.7%7.4%11.1%6.2%25.7%4.1%7.3%11.3K-319.8K-4688.0093.18N/AN/A32412321
2014-12-05$38.50$35.0017.2%7.3%11.1%3.4%22.0%3.3%2.2%5.8K-264.9K-5491.0792.21N/AN/A272912645
2014-12-08$38.44$35.0018.4%7.2%11.2%9.8%24.9%3.5%1.3%6.0K-265.6K-5321.0784.55N/AN/A272912645
2014-12-09$38.51$35.0019.0%7.1%11.1%12.7%21.4%-4.3%1.6%6.0K-263.4K-5041.0790.39N/AN/A272912645
2014-12-10$39.09$35.0015.7%7.3%12.1%0.0%24.2%4.6%1.9%3.3K-286.3K-5241.1286.49N/AN/A262912645
2014-12-11$38.89$35.0024.3%7.3%11.7%41.1%25.1%-2.7%0.8%4.1K-296.2K-5061.1291.41N/AN/A262912745
2014-12-12$38.35$35.0020.1%7.4%12.7%21.3%22.2%-5.6%1.2%6.2K-265.8K-4871.1292.65N/AN/A262912745
2014-12-15$37.82$35.0021.8%7.3%12.8%29.1%26.5%1.6%0.3%8.7K-234.0K-4901.1283.76N/AN/A262912745
2014-12-16$37.70$35.0021.9%7.3%12.8%30.0%22.8%3.6%1.3%9.0K-232.1K-4831.0492.88N/AN/A262712745
2014-12-17$38.02$35.0022.1%7.3%13.2%30.5%26.2%3.4%1.0%7.2K-205.7K-4951.0491.34N/AN/A262712755
2014-12-18$38.15$35.0017.5%6.9%12.1%8.6%25.3%-0.9%4.3%5.7K-222.8K-4631.0489.15N/AN/A262712755
2014-12-19$38.17$35.0023.3%7.3%12.0%36.6%0.0%-5.9%0.4%6.4K-212.8K-5080.0094.41N/AN/A0012755
2014-12-22$38.30$0.0018.1%6.7%12.1%11.4%0.0%-1.9%3.2%6.3K-188.1K-3700.6397.41N/AN/A241510343
2014-12-23$38.40$0.0019.3%6.8%12.0%17.2%0.0%2.9%1.1%6.9K-184.6K-4650.6387.81N/AN/A241510343
2014-12-24$38.83$0.0019.6%7.2%12.0%18.7%0.0%4.6%1.5%4.8K-219.6K-4070.6594.52N/AN/A231510343
2014-12-26$39.14$0.0032.7%7.8%11.9%81.7%0.0%-4.8%-0.9%4.0K-235.7K-4190.65119.21N/AN/A231510343
2014-12-29$38.96$0.0022.7%6.7%11.8%33.5%0.0%0.5%0.9%-128-14.9K-3170.6095.26N/AN/A25154543
2014-12-30$39.56$0.0022.1%7.1%12.7%30.8%0.0%58.7%2.8%-274-9.5K-3210.0097.44N/AN/A004343
2014-12-31$39.05$0.0023.3%7.3%13.6%36.4%26.9%0.5%2.1%-219-6.1K-3180.0094.62N/AN/A044343