COR Options History — April 2016

In April 2016, COR traded between $69.36 and $75.21. ATM implied volatility averaged 28.0%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 10.8% (HV 20d: 17.2%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2016-04-04: Highest Volume — 225 contracts
  • 2016-04-05: Largest IV spike — 134.4% change
  • 2016-04-05: Highest IV Rank — 31.9%
  • 2016-04-22: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.46$69.36$75.21$70.01$75.12
Max Pain$68.57$60.00$70.00$60.00$70.00
ATM IV28.0%21.9%58.1%33.3%23.6%
Expected Move7.9%6.3%9.8%9.5%6.8%
HV 20d17.2%13.1%21.7%13.1%21.7%
HV 60d29.7%27.7%30.7%30.7%28.2%
IV Rank9.3%4.7%31.9%13.2%6.0%
IV Percentile35.9%13.5%86.9%59.9%21.4%
Term Structure-2.2%-18.7%5.7%-18.7%5.3%
VWIV26.6%23.4%34.8%34.8%24.6%
Skew 25d2.6%-6.8%10.6%-1.0%2.0%
Skew 10d8.3%-27.2%24.6%12.8%-7.2%
Call IV 25d25.8%20.4%37.9%29.3%23.0%
Put IV 25d28.4%23.8%31.8%28.3%25.0%
Bid-Ask Spread %105.0995.66114.45114.45109.28
Gamma HHI0.430.290.660.410.49
Net GEX117.7K60.3K247.6K121.9K105.8K
Net DEX-2.2M-3.1M-1.4M-2.3M-2.2M
Net VEX-5.3K-6.0K-4.2K-4.5K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.250.740.440.26
Total Volume141.90579225166137
Total OI709.19469862755616

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$70.01$60.0033.3%9.5%13.1%13.2%34.8%-1.0%-18.7%121.9K-2.3M-4.5K0.44114.45N/AN/A11551540215
2016-04-04$70.78$65.0024.8%7.9%13.3%6.9%27.4%1.8%-1.5%124.3K-2.5M-4.2K0.29101.87N/AN/A17451540215
2016-04-05$69.36$65.0058.1%7.7%15.8%31.9%26.6%1.8%-1.8%96.7K-2.3M-6.0K0.4395.66N/AN/A11951614216
2016-04-06$70.86$65.0022.8%8.0%17.0%5.3%25.1%3.5%-1.9%137.6K-2.7M-5.5K0.49100.05N/AN/A10451617216
2016-04-07$70.82$65.0021.9%9.0%17.0%4.7%29.1%8.2%-8.3%151.6K-2.8M-5.7K0.5898.02N/AN/A10662625215
2016-04-08$70.72$70.0023.3%6.3%16.6%5.7%24.1%1.5%2.2%149.3K-2.8M-5.5K0.5099.87N/AN/A12362625226
2016-04-11$70.99$70.0024.3%8.7%16.2%6.5%27.1%3.5%-3.7%163.8K-2.9M-5.4K0.5296.16N/AN/A12364634228
2016-04-12$70.63$70.0027.0%7.9%16.4%8.5%24.4%1.2%-1.1%177.7K-2.8M-5.4K0.55101.98N/AN/A11764634228
2016-04-13$69.90$70.0025.0%7.2%15.6%7.0%24.8%-6.8%5.7%247.6K-2.6M-5.1K0.63113.64N/AN/A10767634228
2016-04-14$70.57$70.0027.1%7.8%15.7%8.6%24.6%3.2%1.3%167.0K-2.7M-4.9K0.6499.50N/AN/A10769630229
2016-04-15$71.08$70.0022.5%6.4%15.5%5.1%24.5%-1.4%3.2%60.3K-3.1M-4.9K0.57110.30N/AN/A12169630232
2016-04-18$72.76$70.0025.4%7.3%17.1%7.3%24.7%5.3%-3.8%67.7K-1.6M-5.0K0.2899.28N/AN/A1052939673
2016-04-19$72.30$70.0025.5%7.3%17.2%7.4%26.0%0.8%0.7%90.7K-1.7M-5.5K0.70103.46N/AN/A503546779
2016-04-20$71.60$70.0025.2%7.2%17.7%7.2%23.4%5.1%0.1%91.5K-1.7M-5.7K0.68110.86N/AN/A503447088
2016-04-21$70.48$70.0030.7%8.8%18.8%11.3%30.3%10.6%-9.9%78.4K-1.4M-5.5K0.74108.67N/AN/A463447096
2016-04-22$71.15$70.0034.2%9.8%19.0%13.9%30.1%3.6%-5.9%74.3K-1.4M-5.6K0.72114.22N/AN/A4633471108
2016-04-25$71.68$70.0032.9%9.4%19.1%12.9%24.5%7.0%-3.1%80.0K-1.5M-5.5K0.69110.04N/AN/A4833477107
2016-04-26$72.13$70.0027.8%8.0%18.1%9.1%26.3%4.1%-0.5%86.4K-1.6M-5.5K0.58105.64N/AN/A5733479107
2016-04-27$72.46$70.0028.3%8.1%17.9%9.5%29.6%-6.2%-2.4%94.0K-1.7M-5.5K0.54105.53N/AN/A6133490107
2016-04-28$75.21$70.0024.6%7.0%21.7%6.7%25.6%7.8%-2.0%106.1K-2.3M-5.6K0.25108.49N/AN/A11128511110
2016-04-29$75.12$70.0023.6%6.8%21.7%6.0%24.6%2.0%5.3%105.8K-2.2M-5.6K0.26109.28N/AN/A10928506110