COR Options History — February 2016

In February 2016, COR traded between $56.80 and $66.62. ATM implied volatility averaged 38.4%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 2.7% (HV 20d: 41.2%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2016-02-16: Highest Volume — 1,454 contracts
  • 2016-02-08: Largest IV spike — 88.7% change
  • 2016-02-09: Highest IV Rank — 45.6%
  • 2016-02-12: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.29$56.80$66.62$65.28$64.48
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV38.4%30.3%76.4%30.3%32.2%
Expected Move10.1%7.8%14.5%8.7%9.2%
HV 20d41.2%29.1%46.8%31.3%45.4%
HV 60d30.0%24.3%32.8%24.3%32.8%
IV Rank17.1%11.0%45.6%11.0%12.4%
IV Percentile62.6%52.4%97.2%53.2%54.4%
Term Structure-4.0%-18.0%0.7%-3.4%-3.0%
VWIV36.9%28.0%53.1%31.2%33.5%
Skew 25d4.9%-21.9%28.2%3.9%7.6%
Skew 10d11.0%-22.7%27.3%7.6%20.3%
Call IV 25d33.8%27.5%57.6%29.2%31.4%
Put IV 25d38.7%28.6%66.0%33.1%38.9%
Bid-Ask Spread %101.6782.06118.37105.04105.20
Gamma HHI0.550.370.830.510.66
Net GEX31.1K-630.6K118.9K95.2K107.7K
Net DEX-1.5M-3.1M1.7M-2.1M-2.2M
Net VEX-6.0K-8.2K-4.9K-4.9K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.275.290.330.46
Total Volume299.851511,454178243
Total OI1,022.46462,165646966

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$65.28$60.0030.3%8.7%31.3%11.0%31.2%3.9%-3.4%95.2K-2.1M-4.9K0.33105.04N/AN/A13444515131
2016-02-02$64.24$60.0030.8%8.8%29.6%11.3%32.3%1.5%-1.1%87.5K-1.9M-5.4K0.27103.27N/AN/A16644525144
2016-02-03$63.33$60.0040.5%11.6%30.1%18.6%48.4%-21.9%-10.7%92.2K-1.9M-5.7K0.37118.37N/AN/A11844550144
2016-02-04$63.28$60.0031.6%7.8%29.1%11.9%28.0%1.2%-1.5%105.6K-1.8M-5.5K0.3682.06N/AN/A11842572144
2016-02-05$61.41$60.0034.3%9.2%30.9%14.0%32.8%1.2%-1.5%90.7K-1.4M-5.4K0.5595.26N/AN/A11865572145
2016-02-08$56.80$60.0064.8%12.1%42.2%36.8%43.7%28.2%-5.7%47.2K-636.8K-5.1K0.60106.49N/AN/A11267567176
2016-02-09$56.90$60.0076.4%11.3%42.1%45.6%37.1%6.4%0.7%52.0K-638.2K-5.3K0.41105.81N/AN/A16567623178
2016-02-10$57.64$60.0034.4%9.9%42.3%14.0%32.8%8.8%-13.1%59.2K-732.5K-5.2K0.40101.68N/AN/A16766624178
2016-02-11$61.10$60.0049.2%14.1%46.5%25.2%41.1%-1.3%-6.4%68.0K-1.5M-6.2K0.5592.83N/AN/A13675628179
2016-02-12$60.87$60.0050.7%14.5%46.3%26.3%53.1%16.1%-18.0%74.4K-1.5M-6.0K0.63112.03N/AN/A13685656188
2016-02-16$60.30$60.0035.7%10.2%46.5%15.0%35.9%6.0%-0.9%77.8K-1.3M-5.5K5.2999.00N/AN/A2311,223656189
2016-02-17$60.14$60.0031.2%9.0%46.3%11.7%31.0%6.2%0.3%-630.6K1.7M-8.2K1.01101.08N/AN/A1982007421,262
2016-02-18$61.44$60.0034.7%9.9%46.8%14.3%34.5%6.7%-3.2%-365.8K-347.8K-7.7K1.04104.30N/AN/A1922007471,379
2016-02-19$62.92$60.0032.1%9.2%46.8%12.3%45.8%1.6%-1.1%92.1K-1.9M-6.9K1.0498.33N/AN/A1891977471,418
2016-02-22$63.93$60.0032.0%9.2%44.8%12.2%34.5%4.7%-2.0%107.1K-2.1M-6.7K0.72105.72N/AN/A176126697279
2016-02-23$64.04$60.0031.8%9.1%44.7%12.1%43.9%4.7%-3.2%109.9K-2.2M-6.6K0.48103.45N/AN/A18086697279
2016-02-24$64.99$60.0032.3%9.3%44.1%12.5%33.7%7.4%-0.4%115.4K-2.5M-6.1K0.49105.81N/AN/A17686696288
2016-02-25$66.15$60.0031.8%9.1%43.7%12.1%33.6%5.8%-1.3%118.1K-2.9M-5.8K1.0488.97N/AN/A7477695288
2016-02-26$66.62$60.0031.9%9.2%43.7%12.2%31.6%3.5%-5.1%118.9K-3.1M-5.3K0.7898.74N/AN/A9876694290
2016-02-29$64.48$60.0032.2%9.2%45.4%12.4%33.5%7.6%-3.0%107.7K-2.2M-5.6K0.46105.20N/AN/A16776669297