COR Options History — March 2016

In March 2016, COR traded between $64.27 and $70.09. ATM implied volatility averaged 29.4%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 4.4% (HV 20d: 24.9%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2016-03-10: Highest Volume — 281 contracts
  • 2016-03-08: Largest IV spike — 90.1% change
  • 2016-03-08: Highest IV Rank — 21.3%
  • 2016-03-29: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.78$64.27$70.09$64.71$70.09
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV29.4%19.7%44.0%33.8%22.8%
Expected Move8.1%5.6%10.2%9.7%6.5%
HV 20d24.9%13.0%43.2%43.2%13.1%
HV 60d31.9%30.9%32.6%32.6%30.9%
IV Rank10.3%3.0%21.3%13.6%5.4%
IV Percentile42.2%4.8%71.0%57.5%16.7%
Term Structure0.4%-16.7%5.5%-4.1%3.3%
VWIV30.5%23.4%43.5%37.9%24.5%
Skew 25d5.8%-9.5%27.9%9.6%9.4%
Skew 10d13.8%-3.7%40.1%4.6%13.6%
Call IV 25d26.2%19.8%38.4%33.0%20.5%
Put IV 25d32.0%25.1%51.0%42.6%29.8%
Bid-Ask Spread %106.1390.46124.80109.14108.80
Gamma HHI0.570.330.810.600.42
Net GEX114.3K50.8K224.0K89.1K126.5K
Net DEX-2.5M-3.7M-1.8M-2.1M-2.3M
Net VEX-4.4K-5.7K-3.4K-5.2K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.281.411.410.44
Total Volume179.182143281198166
Total OI906.4556111,071900750

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$64.71$60.0033.8%9.7%43.2%13.6%37.9%9.6%-4.1%89.1K-2.1M-5.2K1.41109.14N/AN/A82116603297
2016-03-02$64.29$60.0032.5%9.3%42.9%12.6%33.0%1.6%0.1%85.4K-1.8M-5.7K0.89108.48N/AN/A8777614338
2016-03-03$64.27$60.0032.5%8.5%42.5%12.6%29.5%2.6%1.5%89.7K-1.9M-5.3K0.66103.88N/AN/A8757614345
2016-03-04$64.71$60.0033.2%8.3%42.6%13.2%38.4%-9.5%5.5%137.3K-2.2M-4.5K0.66117.53N/AN/A8657614346
2016-03-07$64.62$60.0023.2%6.6%41.0%5.6%29.9%1.6%4.3%108.7K-2.2M-4.4K0.65106.97N/AN/A8857614346
2016-03-08$64.56$60.0044.0%8.1%27.9%21.3%43.5%27.9%-0.2%102.3K-2.1M-4.5K0.67123.92N/AN/A8960616346
2016-03-09$65.13$60.0031.8%9.1%27.9%12.1%31.8%3.5%-2.4%129.7K-2.3M-4.5K0.4390.46N/AN/A14361617349
2016-03-10$66.07$60.0031.5%9.0%28.0%11.9%30.6%11.0%-0.1%113.4K-2.6M-3.9K0.28103.07N/AN/A22061597350
2016-03-11$67.00$60.0027.6%7.9%20.6%8.9%27.9%3.1%2.5%172.7K-3.3M-4.0K0.4899.60N/AN/A12761681350
2016-03-14$67.15$60.0028.2%8.1%20.4%9.4%29.1%1.8%0.3%137.6K-3.3M-3.9K0.4897.94N/AN/A12761682352
2016-03-15$66.05$60.0028.6%8.2%21.2%9.7%31.7%6.9%0.7%224.0K-2.9M-3.9K0.5998.33N/AN/A11065682352
2016-03-16$66.51$60.0027.4%7.9%21.0%8.8%38.5%14.0%-3.2%144.0K-3.1M-3.7K0.59124.80N/AN/A11065692364
2016-03-17$67.27$60.0026.3%7.5%20.3%8.0%31.4%-8.2%5.3%107.1K-3.5M-3.6K0.45101.56N/AN/A11552692364
2016-03-18$67.73$60.0029.8%8.5%19.0%10.6%29.5%5.9%2.7%50.8K-3.7M-3.5K0.52106.12N/AN/A11158706365
2016-03-21$67.36$60.0027.1%7.8%18.7%8.6%24.7%5.5%-0.9%54.7K-1.9M-3.4K0.37100.95N/AN/A12145407204
2016-03-22$67.92$60.0019.7%5.6%18.8%3.0%23.4%4.6%1.5%98.6K-2.3M-4.0K0.2895.25N/AN/A16045550204
2016-03-23$67.91$60.0028.1%8.1%18.3%9.3%23.9%9.4%5.5%107.1K-2.5M-4.5K0.28107.05N/AN/A16345600204
2016-03-24$68.29$60.0027.9%8.0%17.4%9.2%25.5%4.9%1.8%111.0K-2.6M-5.0K0.2899.37N/AN/A16346633205
2016-03-28$68.43$60.0029.0%8.3%17.3%10.0%29.0%5.3%5.1%113.1K-2.6M-4.7K0.38110.17N/AN/A13050633206
2016-03-29$69.75$60.0035.7%10.2%13.0%15.1%26.9%15.4%-16.7%95.0K-2.1M-4.7K0.43112.67N/AN/A10646520209
2016-03-30$69.38$60.0025.1%7.2%13.4%7.1%29.2%1.3%-3.6%116.3K-2.2M-4.5K0.44108.76N/AN/A11551521208
2016-03-31$70.09$60.0022.8%6.5%13.1%5.4%24.5%9.4%3.3%126.5K-2.3M-4.5K0.44108.80N/AN/A11551535215