COR Options History — July 2015

In July 2015, COR traded between $46.72 and $50.24. ATM implied volatility averaged 39.7%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 23.9% (HV 20d: 15.9%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.16.

Notable Days

2015-07-28: Highest Volume — 90 contracts
2015-07-28: Largest IV spike — 71.9% change
2015-07-14: Highest IV Rank — 41.1%
2015-07-01: Largest Expected Move — 17.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.47	$46.72	$50.24	$46.72	$50.24
Max Pain	$42.89	$40.00	$50.00	$40.00	$40.00
ATM IV	39.7%	19.4%	70.5%	62.5%	19.4%
Expected Move	10.0%	5.6%	17.9%	17.9%	5.6%
HV 20d	15.9%	12.5%	18.2%	18.0%	12.5%
HV 60d	17.6%	14.1%	19.4%	19.4%	14.1%
IV Rank	18.0%	2.8%	41.1%	35.1%	2.8%
IV Percentile	66.7%	8.7%	96.4%	92.9%	8.7%
Term Structure	-9.5%	-30.9%	24.9%	-21.1%	0.5%
VWIV	33.9%	19.4%	66.9%	57.6%	19.4%
Skew 25d	21.0%	-29.3%	82.5%	13.6%	-29.3%
Skew 10d	13.1%	-44.4%	100.3%	-23.5%	-44.4%
Call IV 25d	43.3%	15.6%	94.0%	56.3%	48.8%
Put IV 25d	64.3%	19.4%	132.0%	69.9%	19.4%
Bid-Ask Spread %	121.16	113.40	130.76	113.40	116.58
Gamma HHI	0.38	0.23	0.53	0.30	0.51
Net GEX	3.2K	-532	9.2K	2.1K	4.4K
Net DEX	-117.3K	-170.5K	-64.1K	-64.1K	-170.5K
Net VEX	-469	-630	-371	-464	-544
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.88	1.50	1.12	1.50
Total Volume	76.545	55	90	72	70
Total OI	105.909	69	128	103	111

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
2015-07-01	$46.72	$40.00	62.5%	17.9%	18.0%	35.1%	57.6%	13.6%	-21.1%	2.1K	-64.1K	-464	1.12	113.40	N/A	N/A	34	38	55	48
2015-07-02	$47.10	$40.00	52.5%	15.1%	18.2%	27.6%	66.9%	9.6%	24.9%	1.5K	-94.4K	-578	1.12	130.76	N/A	N/A	34	38	59	48
2015-07-06	$47.45	$0.00	28.4%	10.9%	17.7%	9.5%	0.0%	3.1%	-12.3%	4.2K	-92.5K	-429	1.43	122.15	N/A	N/A	30	43	59	48
2015-07-07	$47.88	$0.00	44.3%	11.1%	17.9%	21.4%	0.0%	30.6%	-24.6%	3.0K	-104.5K	-458	1.43	122.82	N/A	N/A	30	43	60	55
2015-07-08	$47.81	$0.00	62.9%	12.4%	17.4%	35.4%	50.9%	5.3%	-20.9%	2.8K	-119.6K	-460	1.39	127.89	N/A	N/A	31	43	60	55
2015-07-09	$47.54	$50.00	45.9%	9.5%	17.5%	22.6%	37.6%	7.3%	-5.4%	4.0K	-106.6K	-494	1.39	124.70	N/A	N/A	31	43	61	55
2015-07-10	$47.92	$50.00	46.5%	9.4%	17.6%	23.1%	37.3%	6.5%	-15.2%	3.8K	-97.6K	-460	1.39	125.50	N/A	N/A	31	43	61	55
2015-07-13	$47.94	$50.00	60.7%	11.1%	16.9%	33.8%	39.0%	33.9%	-13.2%	4.3K	-114.5K	-470	1.39	118.75	N/A	N/A	31	43	61	55
2015-07-14	$48.06	$45.00	70.5%	7.9%	16.4%	41.1%	35.3%	-6.6%	-3.3%	9.2K	-159.6K	-371	1.02	121.11	N/A	N/A	42	43	71	55
2015-07-15	$47.93	$45.00	25.8%	7.4%	16.2%	7.5%	20.4%	-0.2%	2.4%	6.3K	-149.1K	-442	1.02	118.00	N/A	N/A	42	43	72	55
2015-07-16	$48.30	$45.00	37.3%	10.7%	16.0%	16.2%	35.6%	8.1%	-30.9%	6.2K	-170.1K	-429	1.00	121.90	N/A	N/A	43	43	72	55
2015-07-17	$48.27	$45.00	27.7%	7.9%	15.6%	9.0%	24.5%	24.3%	-5.2%	2.1K	-156.0K	-443	1.00	120.79	N/A	N/A	43	43	73	55
2015-07-20	$48.37	$45.00	42.6%	12.2%	14.7%	20.2%	25.4%	54.5%	-28.2%	1.4K	-65.8K	-373	0.90	123.53	N/A	N/A	29	26	37	32
2015-07-21	$48.27	$40.00	51.8%	14.8%	14.8%	27.0%	36.6%	12.6%	-6.7%	1.5K	-77.8K	-510	0.90	124.90	N/A	N/A	29	26	41	32
2015-07-22	$48.11	$40.00	32.3%	9.3%	13.0%	12.5%	26.1%	27.1%	-20.9%	2.3K	-64.8K	-388	1.45	117.19	N/A	N/A	29	42	41	32
2015-07-23	$49.60	$40.00	32.3%	9.2%	15.6%	12.4%	27.9%	75.3%	-7.4%	-532	-97.9K	-408	1.14	118.89	N/A	N/A	37	42	41	48
2015-07-24	$49.84	$40.00	33.4%	9.6%	15.3%	13.3%	31.4%	69.8%	-13.2%	1.4K	-129.6K	-453	1.11	121.56	N/A	N/A	38	42	49	48
2015-07-27	$49.75	$40.00	20.7%	5.9%	15.4%	3.7%	25.8%	0.5%	-0.4%	2.2K	-121.3K	-475	1.11	117.95	N/A	N/A	38	42	50	48
2015-07-28	$49.55	$40.00	35.5%	10.2%	15.2%	14.9%	31.6%	82.5%	-9.7%	1.4K	-124.6K	-439	0.88	118.43	N/A	N/A	48	42	50	48
2015-07-29	$49.78	$40.00	20.5%	5.9%	15.1%	3.6%	22.0%	1.9%	1.7%	3.6K	-151.6K	-597	0.91	122.47	N/A	N/A	46	42	60	48
2015-07-30	$49.84	$40.00	20.9%	6.0%	12.5%	3.9%	26.3%	31.2%	0.2%	3.6K	-148.5K	-630	0.91	116.24	N/A	N/A	46	42	63	48
2015-07-31	$50.24	$40.00	19.4%	5.6%	12.5%	2.8%	19.4%	-29.3%	0.5%	4.4K	-170.5K	-544	1.50	116.58	N/A	N/A	28	42	63	48