COR Options History — June 2015

In June 2015, COR traded between $45.06 and $47.52. ATM implied volatility averaged 57.6%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 44.3% (HV 20d: 13.3%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.90.

Notable Days

2015-06-15: Highest Volume — 78 contracts
2015-06-26: Largest IV spike — 161.4% change
2015-06-09: Highest IV Rank — 57.2%
2015-06-29: Largest Expected Move — 20.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.47	$45.06	$47.52	$47.35	$45.46
Max Pain	$40.68	$40.00	$45.00	$45.00	$40.00
ATM IV	57.6%	20.8%	91.9%	67.9%	72.7%
Expected Move	14.3%	6.0%	20.9%	19.5%	20.9%
HV 20d	13.3%	10.6%	19.0%	19.0%	14.7%
HV 60d	20.1%	18.9%	22.1%	22.1%	19.0%
IV Rank	31.4%	3.8%	57.2%	39.2%	42.8%
IV Percentile	87.3%	17.9%	98.8%	98.0%	96.8%
Term Structure	-21.0%	-47.7%	2.4%	-15.0%	-39.9%
VWIV	46.2%	23.1%	72.8%	62.3%	72.8%
Skew 25d	10.0%	-20.2%	36.0%	7.3%	25.4%
Skew 10d	3.8%	-52.7%	74.7%	16.0%	11.4%
Call IV 25d	48.9%	17.0%	95.9%	88.7%	68.4%
Put IV 25d	58.9%	23.1%	102.0%	96.0%	93.8%
Bid-Ask Spread %	122.79	114.66	131.58	130.66	127.61
Gamma HHI	0.27	0.22	0.34	0.28	0.22
Net GEX	1.9K	812	3.4K	1.8K	812
Net DEX	-72.2K	-101.3K	-38.4K	-80.2K	-50.2K
Net VEX	-586	-702	-425	-644	-505
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.86	0.95	0.86	0.95
Total Volume	69.727	0	78	67	78
Total OI	104.909	101	113	106	103

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2015-06-01	$47.35	$45.00	67.9%	19.5%	19.0%	39.2%	62.3%	7.3%	-15.0%	1.8K	-80.2K	-644	0.86	130.66	N/A	N/A	36	31	58	48
2015-06-02	$47.52	$45.00	61.5%	17.6%	19.0%	34.3%	0.0%	3.8%	-42.1%	2.0K	-65.7K	-654	0.00	131.58	N/A	N/A	0	0	54	48
2015-06-03	$47.30	$45.00	56.9%	16.3%	10.6%	30.9%	56.6%	6.1%	-7.7%	3.2K	-84.5K	-577	0.86	125.23	N/A	N/A	36	31	58	48
2015-06-04	$47.16	$40.00	70.0%	9.6%	10.7%	40.7%	35.5%	1.4%	-10.6%	2.2K	-86.7K	-623	0.86	124.56	N/A	N/A	36	31	58	48
2015-06-05	$46.52	$40.00	81.0%	14.2%	11.5%	49.0%	39.7%	-20.2%	-17.3%	1.6K	-82.3K	-702	0.86	117.85	N/A	N/A	36	31	58	48
2015-06-08	$46.46	$40.00	91.3%	14.2%	11.1%	56.7%	45.1%	-5.5%	-19.6%	1.5K	-77.0K	-682	0.86	120.13	N/A	N/A	36	31	58	48
2015-06-09	$46.02	$40.00	91.9%	10.5%	11.6%	57.2%	38.9%	-3.0%	-15.6%	1.9K	-76.9K	-639	0.86	124.16	N/A	N/A	36	31	58	48
2015-06-10	$46.41	$40.00	30.5%	8.7%	11.9%	11.1%	25.2%	8.7%	-2.1%	1.9K	-57.6K	-555	0.86	115.52	N/A	N/A	36	31	58	48
2015-06-11	$46.50	$40.00	31.9%	9.1%	11.5%	12.1%	34.1%	-7.6%	-19.8%	2.8K	-80.9K	-572	0.86	122.19	N/A	N/A	36	31	58	48
2015-06-12	$47.20	$40.00	36.7%	10.5%	11.9%	15.8%	27.5%	31.4%	-2.3%	3.4K	-81.4K	-552	0.86	117.86	N/A	N/A	36	31	58	48
2015-06-15	$46.73	$40.00	51.9%	14.9%	12.2%	27.2%	50.9%	15.0%	-19.8%	1.4K	-74.0K	-594	0.90	120.57	N/A	N/A	41	37	58	48
2015-06-16	$47.14	$40.00	54.6%	15.6%	12.4%	29.2%	43.1%	23.2%	-28.0%	2.7K	-101.3K	-661	0.90	124.44	N/A	N/A	41	37	66	47
2015-06-17	$46.74	$40.00	52.7%	15.1%	12.4%	27.8%	51.4%	36.0%	-31.6%	2.9K	-96.8K	-651	0.90	120.75	N/A	N/A	41	37	66	47
2015-06-18	$47.30	$40.00	56.4%	16.2%	12.9%	30.6%	52.8%	12.0%	-20.7%	1.4K	-86.7K	-600	0.90	120.89	N/A	N/A	41	37	56	47
2015-06-19	$46.72	$40.00	20.8%	6.0%	13.5%	3.8%	23.1%	0.8%	1.8%	2.8K	-81.8K	-501	0.90	114.66	N/A	N/A	41	37	56	47
2015-06-22	$46.75	$40.00	41.9%	12.0%	13.5%	19.6%	52.6%	-1.8%	-11.8%	1.9K	-89.2K	-557	0.95	126.23	N/A	N/A	39	37	54	47
2015-06-23	$45.90	$40.00	64.1%	18.4%	14.9%	36.3%	61.3%	17.8%	-32.7%	935	-50.5K	-575	0.93	125.56	N/A	N/A	40	37	54	47
2015-06-24	$45.47	$40.00	65.5%	18.8%	14.2%	37.3%	39.1%	8.4%	-40.6%	1.0K	-45.3K	-541	0.93	122.82	N/A	N/A	40	37	55	47
2015-06-25	$45.26	$40.00	25.7%	7.4%	14.2%	7.5%	25.0%	3.1%	2.4%	1.9K	-38.4K	-425	0.93	121.47	N/A	N/A	40	37	55	47
2015-06-26	$45.36	$40.00	67.2%	19.3%	14.3%	38.6%	67.1%	33.8%	-47.7%	901	-52.2K	-553	0.95	125.47	N/A	N/A	40	38	55	47
2015-06-29	$45.06	$40.00	72.9%	20.9%	14.3%	42.9%	66.7%	22.9%	-41.6%	975	-48.4K	-518	0.95	121.10	N/A	N/A	40	38	55	48
2015-06-30	$45.46	$40.00	72.7%	20.9%	14.7%	42.8%	72.8%	25.4%	-39.9%	812	-50.2K	-505	0.95	127.61	N/A	N/A	40	38	55	48