COR Options History — June 2016

In June 2016, COR traded between $76.00 and $88.58. ATM implied volatility averaged 22.0%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 5.2% (HV 20d: 16.8%). Max pain ranged from $65.00 to $80.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2016-06-08: Highest Volume — 566 contracts
  • 2016-06-30: Largest IV spike — 60.8% change
  • 2016-06-14: Highest IV Rank — 20.2%
  • 2016-06-14: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.33$76.00$88.58$76.00$88.58
Max Pain$67.50$65.00$80.00$75.00$80.00
ATM IV22.0%16.9%30.2%20.4%27.2%
Expected Move6.2%4.8%8.0%5.9%7.8%
HV 20d16.8%15.0%20.8%16.1%15.8%
HV 60d18.5%17.8%19.0%17.8%17.9%
IV Rank9.8%2.1%20.2%6.2%19.0%
IV Percentile18.3%0.8%57.9%7.5%52.4%
Term Structure2.2%-3.9%12.6%0.5%-3.9%
VWIV21.5%15.1%25.3%25.3%20.2%
Skew 25d3.7%-5.3%9.0%1.4%-5.3%
Skew 10d13.4%-5.6%70.7%6.4%70.7%
Call IV 25d20.1%15.2%25.6%23.7%25.6%
Put IV 25d23.8%20.2%28.6%25.1%20.3%
Bid-Ask Spread %97.9284.35112.61109.83112.61
Gamma HHI0.600.390.840.410.55
Net GEX176.0K67.9K345.5K142.6K237.1K
Net DEX-3.9M-5.1M-2.4M-2.4M-4.1M
Net VEX-10.9K-13.0K-6.8K-7.6K-11.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.401.990.990.68
Total Volume331.182159566169353
Total OI1,221.4559701,4339701,227

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$76.00$75.0020.4%5.9%16.1%6.2%25.3%1.4%0.5%142.6K-2.4M-7.6K0.99109.83N/AN/A8584732238
2016-06-02$77.14$65.0022.1%6.5%16.3%8.4%24.0%3.8%2.5%158.6K-2.8M-8.0K0.7894.22N/AN/A9171737238
2016-06-03$78.48$65.0030.2%6.7%17.2%19.0%24.2%5.5%-0.9%151.4K-3.3M-7.7K0.6998.25N/AN/A9465743237
2016-06-06$80.47$65.0021.1%6.4%18.9%7.2%21.4%4.4%0.7%173.5K-4.2M-6.8K0.4693.41N/AN/A19088749236
2016-06-07$82.56$65.0025.3%7.2%20.8%12.7%21.8%-1.3%-1.7%168.5K-5.1M-7.1K0.4784.35N/AN/A20095824262
2016-06-08$83.08$65.0019.1%5.5%18.7%4.6%21.4%3.9%4.6%155.7K-4.9M-7.0K1.9989.25N/AN/A189377783250
2016-06-09$83.30$65.0019.4%5.6%18.4%6.1%21.4%3.5%2.8%67.9K-4.0M-11.9K0.7288.29N/AN/A169121771534
2016-06-10$83.08$65.0020.3%5.8%18.5%7.6%21.1%3.9%3.5%108.1K-3.8M-12.6K0.8986.34N/AN/A141125806541
2016-06-13$82.64$65.0021.8%6.2%18.7%10.0%24.3%3.3%2.3%107.7K-3.9M-12.1K0.8190.60N/AN/A156126816535
2016-06-14$82.30$65.0027.9%8.0%18.9%20.2%23.8%4.1%-2.9%99.8K-3.5M-12.3K0.5393.54N/AN/A230122823539
2016-06-15$82.65$65.0023.2%6.6%18.5%12.4%24.9%3.2%2.2%131.9K-3.8M-12.8K0.9095.35N/AN/A127114885540
2016-06-16$83.89$65.0021.1%6.0%15.9%8.9%22.1%3.8%2.3%181.2K-4.2M-12.3K0.8892.61N/AN/A136119890543
2016-06-17$84.16$65.0020.8%6.0%15.1%8.5%19.3%5.1%2.1%100.9K-4.2M-11.7K0.80100.87N/AN/A149119888539
2016-06-20$84.57$65.0020.3%5.8%15.0%7.5%20.1%8.3%2.2%108.3K-3.3M-11.6K0.93100.61N/AN/A250233679464
2016-06-21$84.78$65.0020.9%6.0%15.1%8.7%21.2%6.7%1.7%195.7K-4.0M-12.5K1.0797.24N/AN/A247265822425
2016-06-22$84.45$65.0019.8%5.7%15.5%6.8%20.4%2.5%3.3%219.4K-3.9M-13.0K1.93100.51N/AN/A138266865417
2016-06-23$85.20$65.0019.9%5.7%15.1%6.9%20.8%6.6%2.4%245.3K-4.4M-12.6K1.73103.28N/AN/A113195882418
2016-06-24$84.97$65.0023.1%6.6%15.1%12.2%23.2%1.5%1.8%215.8K-4.2M-13.0K0.48104.56N/AN/A285138880426
2016-06-27$86.11$65.0020.9%6.0%15.0%8.6%21.4%9.0%3.7%345.5K-4.5M-12.5K0.44107.75N/AN/A298131907446
2016-06-28$87.63$80.0023.1%6.6%15.2%12.3%16.8%3.2%6.2%307.6K-3.7M-11.2K0.40105.20N/AN/A300121687463
2016-06-29$87.15$80.0016.9%4.8%15.7%2.1%15.1%3.9%12.6%250.0K-3.7M-12.0K0.57105.59N/AN/A236134720465
2016-06-30$88.58$80.0027.2%7.8%15.8%19.0%20.2%-5.3%-3.9%237.1K-4.1M-11.9K0.68112.61N/AN/A210143754473