COR Options History — September 2015

In September 2015, COR traded between $48.00 and $52.22. ATM implied volatility averaged 36.7%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 3.4% (HV 20d: 33.3%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.66.

Notable Days

  • 2015-09-18: Highest Volume — 195 contracts
  • 2015-09-02: Largest IV spike — 88.3% change
  • 2015-09-02: Highest IV Rank — 42.8%
  • 2015-09-02: Largest Expected Move — 20.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.37$48.00$52.22$48.00$51.44
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV36.7%22.4%72.8%38.6%42.3%
Expected Move9.5%6.4%20.9%11.1%12.1%
HV 20d33.3%28.7%37.0%31.2%28.7%
HV 60d24.4%22.1%25.6%22.1%25.6%
IV Rank15.7%5.0%42.8%17.2%20.0%
IV Percentile60.4%25.8%96.8%74.2%73.8%
Term Structure-3.7%-45.4%5.1%-7.4%1.8%
VWIV33.0%25.8%50.0%34.4%46.1%
Skew 25d5.4%-41.0%53.3%-1.8%53.3%
Skew 10d5.9%-23.8%45.6%9.4%45.6%
Call IV 25d30.3%18.0%88.7%36.9%43.5%
Put IV 25d35.7%24.4%96.8%35.1%96.8%
Bid-Ask Spread %109.3496.27123.44123.44121.17
Gamma HHI0.450.310.630.310.43
Net GEX4.1K-9.9K11.6K1.6K11.6K
Net DEX-210.3K-357.3K-16.7K-114.8K-357.3K
Net VEX-1.3K-1.7K-903-977-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.003.232.880.44
Total Volume142.0480195155154
Total OI217.905138260138209

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$48.00$45.0038.6%11.1%31.2%17.2%34.4%-1.8%-7.4%1.6K-114.8K-9772.88123.44N/AN/A401157860
2015-09-02$48.59$45.0072.8%20.9%31.6%42.8%49.3%-41.0%-45.4%-5.4K-16.7K-1.3K2.80120.26N/AN/A4111579141
2015-09-03$49.85$45.0054.1%10.5%32.4%28.8%37.0%-6.5%-5.5%-9.9K-81.9K-1.1K2.80106.19N/AN/A4111581141
2015-09-04$49.23$45.0064.9%10.1%32.7%36.9%34.1%-4.3%-3.9%-4.7K-58.9K-1.2K3.10109.19N/AN/A4012481141
2015-09-08$50.74$45.0061.9%10.0%34.1%34.7%0.0%4.6%-6.3%-3.5K-137.0K-1.0K0.00103.61N/AN/A0081147
2015-09-09$49.02$45.0027.0%7.7%36.1%8.5%28.8%3.4%0.0%-2.4K-131.3K-9623.2396.27N/AN/A4012981147
2015-09-10$48.59$45.0022.4%6.4%36.1%5.0%26.1%12.3%5.1%-7.1K-101.0K-9482.91111.30N/AN/A4412881152
2015-09-11$49.04$45.0025.4%7.3%35.9%7.3%27.0%7.7%2.4%-752-108.6K-9502.91101.22N/AN/A4412885154
2015-09-14$50.14$45.0028.9%8.3%36.5%9.9%29.3%10.1%-1.5%4.2K-157.0K-9032.42100.98N/AN/A5312885154
2015-09-15$50.83$45.0027.0%7.7%36.6%8.4%0.0%7.1%2.3%5.3K-210.0K-9960.00109.53N/AN/A18096154
2015-09-16$51.37$45.0027.3%7.8%36.7%8.7%28.1%4.9%0.3%7.1K-256.9K-1.1K2.14102.76N/AN/A57122106154
2015-09-17$52.12$45.0026.7%7.7%37.0%8.3%32.2%12.0%0.4%7.9K-280.1K-1.1K2.14112.26N/AN/A57122104154
2015-09-18$51.33$45.0026.5%7.6%36.8%8.1%25.8%-1.4%1.7%7.5K-256.1K-1.1K1.67113.33N/AN/A73122104154
2015-09-21$52.22$45.0026.8%7.7%36.6%8.3%26.3%10.5%1.2%10.2K-314.7K-1.4K0.55106.81N/AN/A673711953
2015-09-22$51.34$45.0027.5%7.9%30.4%8.9%26.7%-0.1%-0.6%9.7K-279.0K-1.4K0.7298.44N/AN/A654711853
2015-09-23$51.22$45.0027.6%7.9%30.4%8.9%26.7%5.7%0.0%11.1K-323.9K-1.7K0.55101.51N/AN/A854714263
2015-09-24$50.74$45.0026.0%7.5%30.6%7.7%26.5%6.1%1.6%10.9K-293.6K-1.6K0.55113.82N/AN/A854714263
2015-09-25$51.34$45.0027.3%7.8%29.2%8.7%29.9%3.9%2.6%11.2K-332.3K-1.6K0.44113.22N/AN/A1064714263
2015-09-28$49.96$45.0039.2%11.2%29.8%17.6%41.6%10.4%-9.7%10.4K-288.8K-1.7K0.45118.81N/AN/A1044714463
2015-09-29$50.66$45.0050.3%14.4%29.0%26.0%50.0%15.6%-17.5%10.3K-316.6K-1.6K0.46112.10N/AN/A1024714463
2015-09-30$51.44$45.0042.3%12.1%28.7%20.0%46.1%53.3%1.8%11.6K-357.3K-1.6K0.44121.17N/AN/A1074714663