COR Options History — January 2016

In January 2016, COR traded between $55.30 and $62.79. ATM implied volatility averaged 33.5%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 8.4% (HV 20d: 25.1%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.65.

Notable Days

2016-01-26: Highest Volume — 332 contracts
2016-01-12: Largest IV spike — 95.8% change
2016-01-12: Highest IV Rank — 34.3%
2016-01-14: Largest Expected Move — 14.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.44	$55.30	$62.79	$55.30	$62.79
Max Pain	$55.79	$55.00	$60.00	$55.00	$60.00
ATM IV	33.5%	23.5%	61.4%	27.1%	30.5%
Expected Move	8.8%	6.0%	14.9%	7.4%	8.7%
HV 20d	25.1%	21.1%	29.1%	21.1%	28.9%
HV 60d	23.5%	22.3%	24.5%	22.8%	23.0%
IV Rank	13.4%	5.9%	34.3%	8.6%	11.1%
IV Percentile	52.4%	19.8%	89.3%	44.0%	54.0%
Term Structure	-2.3%	-24.1%	10.4%	-1.0%	-1.2%
VWIV	30.1%	22.7%	50.1%	26.2%	30.4%
Skew 25d	3.3%	-10.2%	16.7%	1.4%	-2.4%
Skew 10d	7.2%	-33.2%	74.7%	4.4%	74.7%
Call IV 25d	28.0%	16.7%	51.1%	24.4%	35.7%
Put IV 25d	31.3%	24.8%	42.3%	25.8%	33.2%
Bid-Ask Spread %	108.82	94.46	116.70	98.64	113.47
Gamma HHI	0.51	0.44	0.59	0.53	0.48
Net GEX	30.0K	9.0K	90.1K	15.6K	90.1K
Net DEX	-623.5K	-1.6M	-218.0K	-296.1K	-1.6M
Net VEX	-3.1K	-5.6K	-2.2K	-2.2K	-5.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.16	1.06	0.76	0.18
Total Volume	173.211	67	332	141	327
Total OI	381.842	275	635	295	635

Daily Data (19 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
2016-01-04	$55.30	$55.00	27.1%	7.4%	21.1%	8.6%	26.2%	1.4%	-1.0%	15.6K	-296.1K	-2.2K	0.76	98.64	N/A	N/A	80	61	195	100
2016-01-05	$56.51	$55.00	23.5%	6.0%	22.5%	5.9%	24.9%	4.2%	10.4%	11.0K	-335.4K	-2.4K	0.80	112.47	N/A	N/A	80	64	200	122
2016-01-06	$58.05	$55.00	33.8%	9.3%	24.5%	13.6%	26.3%	-4.9%	-4.4%	22.3K	-471.7K	-2.5K	0.77	107.38	N/A	N/A	71	55	205	124
2016-01-07	$57.19	$55.00	23.5%	7.6%	25.1%	5.9%	26.4%	2.5%	-2.0%	18.2K	-381.1K	-2.4K	0.77	94.46	N/A	N/A	71	55	204	125
2016-01-08	$56.58	$55.00	38.6%	7.7%	25.2%	17.2%	28.1%	12.0%	2.0%	16.8K	-369.9K	-2.5K	0.77	109.78	N/A	N/A	71	55	204	125
2016-01-11	$56.91	$55.00	31.3%	6.9%	25.3%	11.8%	22.7%	1.9%	-1.1%	15.8K	-396.3K	-2.4K	0.77	111.90	N/A	N/A	71	55	204	125
2016-01-12	$57.22	$55.00	61.4%	7.6%	24.1%	34.3%	27.4%	-4.5%	1.9%	18.3K	-392.9K	-2.4K	0.80	104.13	N/A	N/A	69	55	204	125
2016-01-13	$56.25	$55.00	51.3%	14.7%	24.9%	26.7%	45.1%	14.5%	-24.1%	14.7K	-415.6K	-2.4K	1.06	116.70	N/A	N/A	77	82	202	125
2016-01-14	$57.17	$55.00	52.1%	14.9%	25.4%	27.3%	50.1%	11.5%	-12.1%	14.0K	-352.6K	-2.7K	1.06	114.39	N/A	N/A	77	82	203	155
2016-01-15	$57.20	$55.00	33.7%	9.7%	23.0%	13.5%	38.1%	-8.8%	1.7%	10.3K	-405.4K	-2.3K	1.01	114.30	N/A	N/A	81	82	203	155
2016-01-19	$56.61	$55.00	26.3%	7.5%	22.9%	8.0%	26.8%	14.9%	2.6%	9.0K	-227.6K	-2.4K	0.89	114.03	N/A	N/A	55	49	161	114
2016-01-20	$56.67	$55.00	31.1%	8.9%	22.2%	11.6%	30.3%	3.7%	-6.0%	9.1K	-218.0K	-2.6K	0.91	107.19	N/A	N/A	35	32	168	115
2016-01-21	$57.94	$55.00	26.5%	7.6%	22.2%	8.1%	22.7%	4.7%	2.8%	11.9K	-325.7K	-2.5K	0.74	116.19	N/A	N/A	43	32	168	118
2016-01-22	$60.48	$55.00	25.9%	7.4%	26.9%	7.7%	27.6%	16.7%	0.6%	34.7K	-744.5K	-3.3K	0.29	112.49	N/A	N/A	115	33	244	118
2016-01-25	$61.17	$55.00	24.7%	7.1%	26.7%	6.8%	26.0%	2.0%	-0.6%	42.1K	-905.3K	-3.4K	0.19	102.85	N/A	N/A	179	34	268	119
2016-01-26	$62.74	$55.00	30.9%	8.9%	27.8%	11.4%	30.3%	-10.2%	-3.6%	50.2K	-1.2M	-4.1K	0.16	109.93	N/A	N/A	285	47	341	120
2016-01-27	$61.52	$60.00	33.5%	9.6%	29.1%	13.4%	32.9%	0.9%	-6.0%	79.1K	-1.4M	-5.4K	0.18	106.80	N/A	N/A	262	47	497	132
2016-01-28	$61.98	$60.00	30.2%	8.7%	29.1%	10.9%	29.5%	2.5%	-2.6%	86.3K	-1.4M	-5.6K	0.19	100.41	N/A	N/A	271	51	500	132
2016-01-29	$62.79	$60.00	30.5%	8.7%	28.9%	11.1%	30.4%	-2.4%	-1.2%	90.1K	-1.6M	-5.5K	0.18	113.47	N/A	N/A	276	51	503	132