COR Options History — August 2015

In August 2015, COR traded between $46.50 and $51.33. ATM implied volatility averaged 35.9%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 16.0% (HV 20d: 19.9%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.58.

Notable Days

2015-08-26: Highest Volume — 94 contracts
2015-08-24: Largest IV spike — 151.1% change
2015-08-25: Highest IV Rank — 41.1%
2015-08-25: Largest Expected Move — 20.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.15	$46.50	$51.33	$50.17	$48.68
Max Pain	$44.52	$40.00	$45.00	$45.00	$45.00
ATM IV	35.9%	20.4%	70.5%	22.2%	59.4%
Expected Move	9.8%	5.9%	20.2%	6.4%	17.0%
HV 20d	19.9%	12.5%	31.6%	12.5%	31.6%
HV 60d	16.8%	14.0%	21.9%	14.0%	21.9%
IV Rank	15.1%	3.5%	41.1%	4.8%	32.7%
IV Percentile	56.4%	13.1%	96.0%	24.2%	89.3%
Term Structure	-6.7%	-43.9%	6.7%	-2.8%	-23.8%
VWIV	37.1%	20.7%	65.8%	24.4%	40.3%
Skew 25d	0.8%	-49.0%	47.2%	-30.8%	-49.0%
Skew 10d	2.5%	-47.6%	62.5%	-47.6%	-6.5%
Call IV 25d	37.6%	15.4%	81.7%	52.9%	81.7%
Put IV 25d	38.4%	20.4%	81.7%	22.2%	32.6%
Bid-Ask Spread %	116.27	96.32	126.33	115.17	125.89
Gamma HHI	0.43	0.26	0.62	0.49	0.36
Net GEX	3.7K	212	8.6K	4.6K	2.8K
Net DEX	-141.4K	-242.4K	-5.7K	-171.9K	-137.6K
Net VEX	-679	-1.0K	-453	-553	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.58	1.22	2.70	1.50	1.35
Total Volume	67.571	0	94	0	94
Total OI	122.238	112	139	112	138

Daily Data (21 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
2015-08-03	$50.17	$45.00	22.2%	6.4%	12.5%	4.8%	0.0%	-30.8%	-2.8%	4.6K	-171.9K	-553	0.00	115.17	N/A	N/A	0	0	64	48
2015-08-04	$49.18	$40.00	22.9%	6.6%	14.6%	5.4%	24.4%	12.7%	-0.3%	4.3K	-154.9K	-641	1.50	116.99	N/A	N/A	28	42	67	48
2015-08-05	$49.13	$40.00	20.7%	5.9%	14.6%	3.7%	20.7%	-20.2%	0.3%	4.3K	-147.8K	-597	1.50	113.70	N/A	N/A	28	42	67	48
2015-08-06	$48.38	$45.00	37.8%	6.3%	15.6%	16.6%	28.3%	-9.8%	-0.1%	2.4K	-135.1K	-590	1.50	107.86	N/A	N/A	28	42	67	48
2015-08-07	$48.53	$45.00	38.5%	6.4%	15.4%	17.1%	26.0%	-9.5%	1.1%	2.2K	-130.6K	-598	1.50	110.09	N/A	N/A	28	42	67	48
2015-08-10	$48.10	$45.00	22.8%	7.7%	15.8%	5.3%	23.3%	-0.0%	-3.2%	2.6K	-115.5K	-566	1.50	109.00	N/A	N/A	28	42	67	48
2015-08-11	$48.88	$45.00	41.2%	8.8%	16.8%	19.1%	0.0%	-11.8%	-2.8%	2.1K	-122.7K	-564	0.00	115.52	N/A	N/A	0	0	64	48
2015-08-12	$49.35	$45.00	28.9%	8.3%	17.0%	9.9%	29.4%	-16.9%	-8.4%	3.5K	-156.6K	-453	1.54	115.26	N/A	N/A	28	43	67	48
2015-08-13	$50.05	$45.00	21.9%	6.3%	17.4%	4.6%	24.8%	6.8%	0.5%	5.5K	-174.8K	-536	1.61	96.32	N/A	N/A	28	45	67	49
2015-08-14	$50.68	$45.00	28.1%	8.0%	17.8%	9.3%	55.0%	12.1%	6.7%	3.3K	-184.6K	-612	1.67	116.26	N/A	N/A	27	45	67	52
2015-08-17	$51.33	$45.00	37.3%	10.7%	18.2%	16.2%	35.1%	31.2%	0.6%	5.4K	-214.3K	-560	1.36	118.38	N/A	N/A	33	45	69	52
2015-08-18	$51.00	$45.00	20.4%	5.9%	18.4%	3.5%	22.4%	5.0%	1.5%	8.5K	-242.4K	-621	1.36	118.72	N/A	N/A	33	45	79	52
2015-08-19	$50.95	$45.00	21.6%	6.2%	18.3%	4.4%	0.0%	4.1%	0.6%	8.6K	-222.1K	-620	0.00	114.24	N/A	N/A	0	0	76	52
2015-08-20	$50.03	$45.00	36.8%	10.6%	16.7%	15.8%	33.3%	0.5%	-9.0%	5.9K	-200.5K	-624	1.22	122.23	N/A	N/A	37	45	79	52
2015-08-21	$49.21	$45.00	21.9%	6.3%	17.6%	4.6%	46.7%	-2.4%	-0.9%	3.9K	-165.6K	-652	1.46	119.85	N/A	N/A	37	54	79	52
2015-08-24	$46.53	$45.00	54.9%	15.7%	26.4%	29.4%	65.8%	47.2%	5.1%	461	-20.5K	-860	2.70	126.33	N/A	N/A	20	54	60	61
2015-08-25	$46.50	$45.00	70.5%	20.2%	26.4%	41.1%	62.9%	5.2%	-43.9%	547	-27.0K	-818	2.70	126.14	N/A	N/A	20	54	59	61
2015-08-26	$47.13	$45.00	54.2%	15.5%	26.9%	28.9%	49.1%	13.5%	-25.6%	212	-5.7K	-784	1.35	120.81	N/A	N/A	40	54	59	61
2015-08-27	$48.59	$45.00	30.3%	8.7%	29.4%	10.9%	33.5%	6.0%	-1.8%	2.2K	-111.4K	-1.0K	1.35	110.45	N/A	N/A	40	54	79	60
2015-08-28	$49.78	$45.00	61.1%	17.5%	30.6%	34.0%	47.3%	22.5%	-34.0%	3.7K	-128.6K	-969	1.35	122.50	N/A	N/A	40	54	78	60
2015-08-31	$48.68	$45.00	59.4%	17.0%	31.6%	32.7%	40.3%	-49.0%	-23.8%	2.8K	-137.6K	-1.0K	1.35	125.89	N/A	N/A	40	54	78	60