COR Options History — May 2016

In May 2016, COR traded between $73.90 and $78.29. ATM implied volatility averaged 24.9%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.0% (HV 20d: 20.9%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2016-05-12: Highest Volume — 298 contracts
  • 2016-05-31: Largest IV spike — 40.1% change
  • 2016-05-19: Highest IV Rank — 17.1%
  • 2016-05-03: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.12$73.90$78.29$76.28$75.97
Max Pain$73.57$70.00$75.00$70.00$75.00
ATM IV24.9%18.0%30.9%24.0%26.7%
Expected Move7.0%5.2%8.7%6.9%7.7%
HV 20d20.9%17.2%22.4%22.0%17.2%
HV 60d20.1%17.7%28.3%28.3%17.9%
IV Rank9.9%3.0%17.1%6.3%14.5%
IV Percentile28.7%1.2%56.0%21.4%41.7%
Term Structure0.0%-3.7%8.1%-0.1%-2.4%
VWIV23.5%20.6%27.3%24.1%23.1%
Skew 25d2.7%-1.9%7.3%4.1%-1.1%
Skew 10d4.1%-10.2%13.5%-10.2%-3.7%
Call IV 25d22.8%20.2%26.1%23.8%23.8%
Put IV 25d25.6%22.7%29.1%27.9%22.7%
Bid-Ask Spread %104.1091.86111.94105.00110.22
Gamma HHI0.430.320.610.480.37
Net GEX141.5K84.8K195.9K109.0K131.4K
Net DEX-2.6M-3.3M-1.8M-2.5M-2.3M
Net VEX-6.9K-8.2K-5.4K-5.5K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.200.920.200.92
Total Volume209.429137298257175
Total OI895.2386411,144641967

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$76.28$70.0024.0%6.9%22.0%6.3%24.1%4.1%-0.1%109.0K-2.5M-5.5K0.20105.00N/AN/A21542531110
2016-05-03$77.55$70.0030.3%8.7%20.5%10.9%23.8%-1.9%-2.6%136.2K-2.9M-5.4K0.40106.57N/AN/A9839553120
2016-05-04$76.51$70.0024.6%7.0%20.6%6.7%27.0%1.3%0.2%135.0K-2.8M-5.7K0.41106.53N/AN/A10141572124
2016-05-05$77.06$70.0025.8%7.0%20.6%7.6%22.2%3.5%0.0%132.0K-2.8M-5.7K0.4297.64N/AN/A9942575131
2016-05-06$77.89$70.0023.4%6.3%20.6%5.8%22.5%4.3%0.4%138.7K-3.0M-5.6K0.2997.52N/AN/A14542578133
2016-05-09$78.29$70.0023.6%6.6%20.6%6.0%23.7%3.4%0.0%148.3K-3.3M-5.5K0.3197.18N/AN/A18558614133
2016-05-10$76.61$75.0030.9%6.8%22.4%11.5%23.3%1.7%0.5%163.6K-2.8M-6.0K0.5697.85N/AN/A16291649154
2016-05-11$76.26$75.0024.6%7.0%22.0%6.7%22.0%3.8%-0.6%155.8K-2.6M-6.7K0.3598.81N/AN/A16960694212
2016-05-12$76.84$75.0023.3%6.7%22.0%10.0%22.3%4.7%1.4%163.2K-2.8M-6.7K0.26102.53N/AN/A23761700213
2016-05-13$76.66$75.0027.3%7.8%22.1%15.2%21.8%4.8%-3.7%184.2K-3.1M-7.5K0.39104.26N/AN/A15460775215
2016-05-16$76.72$75.0025.9%7.4%20.8%13.4%23.8%0.5%-2.3%195.9K-3.2M-7.3K0.58105.12N/AN/A10058804215
2016-05-17$76.22$75.0025.1%7.2%20.8%12.4%24.2%3.0%-0.5%189.0K-3.1M-7.4K0.5891.86N/AN/A10058816212
2016-05-18$74.50$75.0024.7%7.1%22.3%11.9%23.7%4.1%2.6%159.2K-2.5M-8.2K0.81108.08N/AN/A126102858265
2016-05-19$73.90$75.0028.7%8.2%21.7%17.1%27.3%3.0%-2.5%144.4K-2.0M-8.0K0.69107.61N/AN/A13493869275
2016-05-20$74.59$75.0026.8%7.7%21.7%14.6%25.2%0.1%-1.6%84.8K-1.8M-7.7K0.46111.94N/AN/A17581868267
2016-05-23$74.84$75.0023.8%6.8%21.6%10.6%24.2%0.2%1.0%95.3K-2.0M-7.5K0.3997.71N/AN/A17669630210
2016-05-24$75.46$75.0018.0%5.2%21.7%3.0%20.6%3.3%8.1%134.3K-2.1M-7.7K0.56110.60N/AN/A15184701218
2016-05-25$75.23$75.0021.0%6.0%21.7%7.0%22.7%4.3%3.5%124.0K-2.1M-8.2K0.45107.06N/AN/A17779705234
2016-05-26$74.98$75.0025.7%7.4%17.3%13.1%25.7%2.5%-3.2%114.8K-2.1M-8.1K0.90110.22N/AN/A8879702239
2016-05-27$76.09$75.0019.1%5.5%18.1%4.5%20.6%7.3%3.0%132.7K-2.3M-7.7K0.85111.79N/AN/A10488720239
2016-05-31$75.97$75.0026.7%7.7%17.2%14.5%23.1%-1.1%-2.4%131.4K-2.3M-7.9K0.92110.22N/AN/A9184729238