COR Options History — December 2015

In December 2015, COR traded between $55.90 and $59.08. ATM implied volatility averaged 24.5%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 4.0% (HV 20d: 20.5%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.16.

Notable Days

  • 2015-12-22: Highest Volume — 161 contracts
  • 2015-12-28: Largest IV spike — 68.9% change
  • 2015-12-28: Highest IV Rank — 17.1%
  • 2015-12-28: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.35$55.90$59.08$59.08$56.92
Max Pain$50.68$50.00$55.00$50.00$55.00
ATM IV24.5%15.7%38.5%16.7%18.6%
Expected Move6.8%4.5%11.0%4.8%5.3%
HV 20d20.5%18.9%23.5%19.1%18.9%
HV 60d23.6%22.0%25.3%25.3%22.0%
IV Rank6.5%0.0%17.1%0.8%2.2%
IV Percentile27.6%0.0%69.0%0.4%2.4%
Term Structure0.0%-10.2%8.3%-1.6%8.3%
VWIV23.6%14.5%35.6%20.9%14.5%
Skew 25d5.9%-9.6%41.5%-9.6%9.5%
Skew 10d2.2%-27.7%63.6%-24.2%-0.2%
Call IV 25d22.0%13.3%38.5%38.5%13.3%
Put IV 25d27.9%19.4%71.8%29.0%22.9%
Bid-Ask Spread %113.2997.66123.16121.55120.83
Gamma HHI0.750.540.940.900.59
Net GEX45.2K14.5K88.6K88.6K20.7K
Net DEX-678.4K-1.0M-404.1K-1.0M-404.1K
Net VEX-2.4K-2.8K-1.9K-2.4K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.495.005.000.49
Total Volume121.8641216124118
Total OI383.182279440386294

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$59.08$50.0016.7%4.8%19.1%0.8%20.9%-9.6%-1.6%88.6K-1.0M-2.4K5.00121.55N/AN/A42033056
2015-12-02$58.20$50.0020.3%5.8%20.0%3.5%21.1%41.1%0.2%69.9K-829.9K-2.6K0.71120.92N/AN/A846032676
2015-12-03$57.60$50.0030.3%8.8%20.3%11.0%25.0%1.9%-2.6%71.6K-834.4K-2.8K0.71103.00N/AN/A856033977
2015-12-04$58.07$50.0024.3%4.7%20.5%6.4%21.2%4.3%2.3%75.8K-891.0K-2.7K0.75106.48N/AN/A856434077
2015-12-07$57.68$50.0024.8%4.9%19.8%6.8%0.0%8.7%0.8%69.6K-783.2K-2.6K5.00106.06N/AN/A21034081
2015-12-08$57.65$50.0026.5%7.0%19.2%8.1%24.3%3.1%3.1%68.0K-763.7K-2.7K1.00109.16N/AN/A737334091
2015-12-09$57.25$50.0031.0%8.9%19.0%11.4%30.4%6.3%-5.6%59.8K-678.7K-2.4K1.03113.37N/AN/A737533991
2015-12-10$57.14$50.0036.4%10.5%19.0%15.6%35.6%4.3%-7.2%57.6K-688.4K-2.7K1.00115.19N/AN/A757534093
2015-12-11$55.90$50.0023.5%6.7%20.2%5.1%22.9%-1.8%3.7%42.5K-552.3K-2.4K0.89100.19N/AN/A756734093
2015-12-14$56.05$50.0023.4%6.7%20.1%5.0%23.1%-1.3%1.0%25.3K-475.0K-2.2K0.9397.66N/AN/A726734095
2015-12-15$56.56$50.0026.6%7.6%20.1%7.5%27.0%3.4%-10.2%51.2K-712.6K-2.4K0.97118.19N/AN/A696734095
2015-12-16$58.22$50.0015.7%4.5%22.7%0.0%20.1%-5.1%-0.4%69.8K-895.2K-2.0K0.90117.14N/AN/A736634097
2015-12-17$57.47$50.0024.4%7.0%22.9%6.6%23.2%2.8%-6.4%63.1K-726.8K-2.1K0.92120.85N/AN/A726634298
2015-12-18$56.56$50.0021.7%6.2%23.5%4.5%24.1%-0.3%2.6%15.7K-535.5K-1.9K0.90110.61N/AN/A736634198
2015-12-21$57.82$50.0028.6%8.2%22.6%9.7%20.7%2.3%3.6%14.5K-565.1K-1.9K0.84107.75N/AN/A675618693
2015-12-22$57.71$50.0018.7%5.4%21.9%2.3%26.6%2.8%4.3%21.5K-681.9K-2.4K0.53113.73N/AN/A1055622897
2015-12-23$57.24$50.0019.2%5.5%20.6%2.7%19.9%0.4%4.5%21.5K-642.7K-2.4K0.62121.54N/AN/A633922897
2015-12-24$57.22$50.0022.8%6.5%20.5%5.3%21.0%9.0%2.5%22.3K-626.3K-2.5K0.62118.19N/AN/A6339229100
2015-12-28$57.33$50.0038.5%11.0%20.3%17.1%30.2%41.5%-2.6%24.6K-655.6K-2.2K0.62123.16N/AN/A6339229100
2015-12-29$57.27$55.0022.7%6.5%19.7%5.3%22.2%2.5%2.6%19.9K-526.7K-2.4K0.55108.36N/AN/A7139202100
2015-12-30$56.86$55.0024.4%7.0%19.5%6.6%21.7%3.3%-2.4%21.4K-407.2K-2.3K0.53118.45N/AN/A7339192100
2015-12-31$56.92$55.0018.6%5.3%18.9%2.2%14.5%9.5%8.3%20.7K-404.1K-2.4K0.49120.83N/AN/A7939194100