COR Options History — November 2015

In November 2015, COR traded between $55.35 and $60.10. ATM implied volatility averaged 23.1%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 2.3% (HV 20d: 25.5%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.87.

Notable Days

2015-11-02: Highest Volume — 647 contracts
2015-11-09: Largest IV spike — 39.2% change
2015-11-20: Highest IV Rank — 8.9%
2015-11-20: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.58	$55.35	$60.10	$57.08	$58.57
Max Pain	$52.25	$50.00	$55.00	$50.00	$50.00
ATM IV	23.1%	17.8%	27.6%	27.3%	20.3%
Expected Move	6.6%	5.1%	7.9%	7.8%	5.8%
HV 20d	25.5%	22.2%	27.9%	26.9%	23.0%
HV 60d	27.9%	25.5%	29.5%	29.5%	25.5%
IV Rank	5.6%	1.6%	8.9%	8.7%	3.5%
IV Percentile	25.8%	2.0%	50.8%	50.4%	9.9%
Term Structure	2.1%	-4.1%	9.3%	6.4%	0.7%
VWIV	24.2%	14.9%	52.0%	52.0%	19.7%
Skew 25d	5.1%	-5.4%	39.2%	16.0%	-4.6%
Skew 10d	15.7%	-22.7%	73.0%	-11.8%	-22.7%
Call IV 25d	22.3%	14.8%	35.5%	22.3%	35.5%
Put IV 25d	27.4%	16.5%	58.7%	38.4%	31.0%
Bid-Ask Spread %	112.42	95.38	121.33	111.04	114.95
Gamma HHI	0.73	0.46	0.94	0.64	0.88
Net GEX	68.3K	40.8K	97.1K	40.8K	85.9K
Net DEX	-1.1M	-1.8M	-830.7K	-1.0M	-1.0M
Net VEX	-2.2K	-2.9K	-1.8K	-2.0K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.87	0.00	8.00	6.27	0.00
Total Volume	194.65	0	647	647	1
Total OI	389.45	344	533	344	385

Daily Data (20 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
2015-11-02	$57.08	$50.00	27.3%	7.8%	26.9%	8.7%	52.0%	16.0%	6.4%	40.8K	-1.0M	-2.0K	6.27	111.04	N/A	N/A	89	558	269	75
2015-11-03	$57.16	$50.00	20.1%	5.8%	26.9%	3.3%	17.3%	2.5%	9.3%	53.2K	-1.0M	-2.0K	6.27	95.38	N/A	N/A	89	558	269	75
2015-11-04	$56.89	$50.00	19.8%	5.7%	27.1%	3.1%	40.5%	0.8%	7.2%	58.0K	-1.0M	-2.0K	7.15	112.08	N/A	N/A	78	558	269	75
2015-11-05	$56.89	$55.00	20.7%	6.5%	27.0%	3.7%	22.6%	-2.0%	-0.1%	63.9K	-1.1M	-2.0K	0.74	103.94	N/A	N/A	80	59	276	75
2015-11-06	$56.05	$55.00	18.9%	5.4%	27.6%	2.4%	0.0%	4.1%	8.9%	73.7K	-946.1K	-2.1K	0.00	115.08	N/A	N/A	0	0	281	76
2015-11-09	$55.35	$55.00	26.2%	7.0%	27.6%	7.9%	0.0%	2.3%	-0.5%	66.7K	-830.7K	-2.1K	0.00	108.85	N/A	N/A	6	0	281	76
2015-11-10	$56.07	$55.00	25.3%	6.9%	27.9%	7.2%	24.1%	5.8%	4.2%	65.3K	-962.2K	-2.1K	0.86	109.15	N/A	N/A	71	61	287	76
2015-11-11	$56.24	$55.00	19.1%	5.5%	27.6%	2.5%	20.0%	12.1%	5.1%	74.1K	-996.8K	-2.0K	0.86	116.14	N/A	N/A	71	61	287	73
2015-11-12	$56.83	$55.00	26.4%	7.6%	27.1%	8.0%	25.2%	5.7%	-4.1%	58.1K	-1.1M	-2.0K	0.86	119.25	N/A	N/A	71	61	287	73
2015-11-13	$57.24	$55.00	22.5%	6.4%	25.3%	5.1%	24.4%	3.7%	4.5%	48.8K	-1.1M	-1.9K	0.89	117.75	N/A	N/A	80	71	287	73
2015-11-16	$57.73	$55.00	27.5%	7.9%	24.9%	8.9%	0.0%	3.4%	-3.4%	43.3K	-1.2M	-1.9K	8.00	117.43	N/A	N/A	1	8	298	83
2015-11-17	$57.94	$55.00	27.3%	7.8%	24.9%	8.7%	23.7%	-5.4%	0.7%	40.8K	-1.2M	-1.8K	0.31	111.49	N/A	N/A	234	72	297	83
2015-11-18	$57.33	$50.00	24.9%	7.1%	22.4%	6.9%	24.0%	-1.5%	-3.9%	89.2K	-1.6M	-2.9K	0.38	110.28	N/A	N/A	190	72	459	73
2015-11-19	$57.66	$50.00	25.0%	7.2%	22.4%	7.0%	19.6%	4.7%	-3.7%	90.9K	-1.5M	-2.8K	0.38	121.33	N/A	N/A	190	72	460	73
2015-11-20	$59.30	$50.00	27.6%	7.9%	23.9%	8.9%	22.5%	4.3%	1.8%	65.5K	-1.8M	-2.6K	0.95	119.92	N/A	N/A	76	72	460	73
2015-11-23	$60.10	$50.00	27.5%	7.9%	24.2%	8.9%	14.9%	14.7%	6.0%	97.1K	-1.2M	-2.6K	0.00	119.02	N/A	N/A	13	0	313	56
2015-11-24	$58.73	$50.00	18.3%	5.2%	25.2%	1.9%	18.7%	-1.8%	1.0%	79.3K	-998.4K	-2.5K	0.00	101.55	N/A	N/A	7	0	317	56
2015-11-25	$58.97	$50.00	17.8%	5.1%	25.1%	1.6%	18.6%	-1.5%	3.1%	84.6K	-966.2K	-2.7K	0.76	117.89	N/A	N/A	76	58	323	56
2015-11-27	$59.40	$50.00	19.9%	5.7%	22.2%	3.1%	19.7%	39.2%	-1.8%	86.7K	-1.1M	-2.5K	0.82	105.88	N/A	N/A	71	58	328	56
2015-11-30	$58.57	$50.00	20.3%	5.8%	23.0%	3.5%	0.0%	-4.6%	0.7%	85.9K	-1.0M	-2.5K	0.00	114.95	N/A	N/A	1	0	329	56