COR Options History — October 2015

In October 2015, COR traded between $50.93 and $57.76. ATM implied volatility averaged 28.8%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 3.2% (HV 20d: 25.6%). Max pain ranged from $45.00 to $60.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.09.

Notable Days

  • 2015-10-29: Highest Volume — 772 contracts
  • 2015-10-22: Largest IV spike — 136.0% change
  • 2015-10-01: Highest IV Rank — 36.8%
  • 2015-10-01: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.03$50.93$57.76$50.93$54.93
Max Pain$50.00$45.00$60.00$45.00$50.00
ATM IV28.8%18.9%64.8%64.8%22.5%
Expected Move8.2%6.1%18.6%18.6%6.5%
HV 20d25.6%23.5%29.9%28.9%24.5%
HV 60d27.4%25.7%28.8%25.7%28.6%
IV Rank9.8%2.4%36.8%36.8%5.1%
IV Percentile39.2%6.0%92.5%92.5%23.4%
Term Structure-3.2%-34.7%3.2%-34.7%0.2%
VWIV31.6%21.1%72.1%72.1%40.6%
Skew 25d5.5%-12.9%35.0%33.0%-5.8%
Skew 10d-8.1%-34.8%9.8%-14.2%-9.3%
Call IV 25d27.2%17.8%57.1%57.1%27.0%
Put IV 25d32.7%20.9%90.1%90.1%21.2%
Bid-Ask Spread %109.5592.59128.98125.08108.27
Gamma HHI0.430.310.720.380.72
Net GEX16.5K-44.6K56.6K12.9K56.6K
Net DEX-467.6K-741.0K2.1M-373.5K-741.0K
Net VEX-1.4K-2.3K-961-1.7K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.006.270.426.27
Total Volume192.8641772158647
Total OI237.909167689213344

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$50.93$45.0064.8%18.6%28.9%36.8%72.1%33.0%-34.7%12.9K-373.5K-1.7K0.42125.08N/AN/A1114715063
2015-10-02$52.66$45.0044.2%12.7%29.8%21.4%67.4%35.0%-11.8%15.9K-469.6K-1.6K0.50128.98N/AN/A944715963
2015-10-05$53.77$50.0039.3%7.4%29.9%17.7%26.0%7.7%-0.1%18.4K-550.5K-1.5K0.00111.87N/AN/A1015963
2015-10-06$53.90$50.0025.3%7.6%28.3%7.2%24.0%8.5%-3.6%19.5K-579.1K-1.5K0.53101.17N/AN/A924916063
2015-10-07$54.19$50.0021.6%7.5%24.6%4.4%22.7%8.0%-3.2%21.2K-611.7K-1.5K0.60106.53N/AN/A824916865
2015-10-08$54.06$50.0018.9%7.3%24.2%2.4%24.2%8.9%-1.6%21.7K-590.4K-1.5K0.5792.59N/AN/A864916865
2015-10-09$53.83$50.0029.1%7.0%24.4%10.1%27.1%4.5%0.0%21.7K-598.6K-1.6K0.57110.39N/AN/A864917365
2015-10-12$54.69$50.0022.9%7.4%23.9%5.4%22.9%9.8%-1.8%26.8K-626.9K-1.5K0.62105.11N/AN/A794917365
2015-10-13$54.62$50.0026.1%7.2%23.7%7.8%23.2%8.9%-4.1%25.3K-633.6K-1.4K0.64105.42N/AN/A764916967
2015-10-14$54.06$50.0025.7%7.4%24.1%7.5%32.0%-0.7%-4.2%18.7K-589.9K-1.4K0.63106.30N/AN/A764816567
2015-10-15$55.04$50.0025.0%7.2%24.3%7.0%32.9%12.6%3.2%23.2K-626.8K-1.2K0.67109.85N/AN/A765116567
2015-10-16$56.64$50.0025.2%7.2%25.0%7.1%26.8%3.6%-1.4%13.1K-721.9K-1.3K0.65107.27N/AN/A795116570
2015-10-19$57.48$50.0026.4%7.6%24.9%8.0%25.9%-4.4%1.2%11.7K-579.8K-1.1K0.44109.89N/AN/A622713334
2015-10-20$57.76$50.0021.9%6.3%23.5%4.7%23.9%4.0%1.5%11.8K-607.8K-9610.3997.76N/AN/A722813334
2015-10-21$55.97$50.0021.2%6.1%26.9%4.1%21.1%0.1%2.0%14.8K-551.7K-1.3K0.36112.26N/AN/A772814535
2015-10-22$56.17$50.0050.0%14.3%26.4%25.8%38.9%-10.3%-6.2%12.7K-561.1K-1.4K0.36113.75N/AN/A772815035
2015-10-23$55.65$50.0027.3%7.8%26.7%8.7%31.0%8.1%-4.6%15.0K-571.3K-1.2K0.38113.38N/AN/A772915035
2015-10-26$55.76$50.0025.5%7.3%24.1%7.4%27.1%5.5%-2.4%16.0K-544.1K-1.3K0.38108.44N/AN/A772915036
2015-10-27$56.89$50.0024.0%6.9%24.5%6.2%24.0%3.6%1.0%15.8K-601.3K-1.2K0.32111.79N/AN/A922915036
2015-10-28$56.62$50.0024.3%7.0%24.5%6.4%29.7%-7.3%0.8%15.3K-610.6K-1.1K6.00111.04N/AN/A8852815236
2015-10-29$54.99$60.0023.2%6.7%26.8%5.6%32.8%-12.9%0.1%-44.6K2.1M-2.2K2.69112.94N/AN/A209563153536
2015-10-30$54.93$50.0022.5%6.5%24.5%5.1%40.6%-5.8%0.2%56.6K-741.0K-2.3K6.27108.27N/AN/A8955826975