COR Options History — July 2016

In July 2016, COR traded between $82.43 and $91.49. ATM implied volatility averaged 26.1%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 5.0% (HV 20d: 21.1%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.87.

Notable Days

  • 2016-07-05: Highest Volume — 3,561 contracts
  • 2016-07-13: Largest IV drop — 43.7% change
  • 2016-07-12: Highest IV Rank — 46.6%
  • 2016-07-28: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.16$82.43$91.49$87.58$82.43
Max Pain$89.00$80.00$90.00$80.00$90.00
ATM IV26.1%20.6%44.0%20.6%24.7%
Expected Move7.2%5.9%9.2%5.9%7.1%
HV 20d21.1%14.5%23.6%16.6%22.5%
HV 60d19.7%18.2%20.7%18.2%19.4%
IV Rank17.2%8.1%46.6%8.1%14.9%
IV Percentile42.2%11.5%90.1%11.5%37.3%
Term Structure-0.6%-6.1%7.5%7.5%-1.3%
VWIV25.5%20.4%28.0%20.4%24.6%
Skew 25d2.9%-1.7%9.7%9.7%0.1%
Skew 10d4.5%-12.8%33.5%-1.3%-1.5%
Call IV 25d23.9%13.5%28.2%13.5%25.3%
Put IV 25d26.8%23.1%29.2%23.1%25.4%
Bid-Ask Spread %93.4987.00115.01115.0193.43
Gamma HHI0.370.260.510.510.26
Net GEX-365.8K-648.9K231.5K231.5K-614.0K
Net DEX6.2M-4.8M13.1M-4.3M13.1M
Net VEX-72.3K-95.3K-10.7K-11.3K-95.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.870.4613.100.668.31
Total Volume691.11893,5613411,182
Total OI4,619.81,2435,9051,2435,810

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$87.58$80.0020.6%5.9%16.6%8.1%20.4%9.7%7.5%231.5K-4.3M-11.3K0.66115.01N/AN/A205136760483
2016-07-05$89.65$85.0021.9%6.8%16.3%10.3%25.0%3.5%0.2%174.0K-4.8M-10.7K10.2392.14N/AN/A3173,244770484
2016-07-06$90.17$85.0023.2%7.1%14.5%12.4%25.0%-1.7%0.4%-233.3K915.5K-69.3K1.3094.58N/AN/A3334338573,603
2016-07-07$89.87$90.0022.5%7.2%14.7%11.3%25.1%1.7%-0.7%-328.5K2.5M-72.7K1.2791.48N/AN/A3274158583,928
2016-07-08$91.49$90.0023.7%7.0%15.5%13.2%24.1%4.4%-0.7%-384.1K693.9K-68.7K0.6489.30N/AN/A2591668833,945
2016-07-11$88.05$90.0031.8%6.9%21.7%26.5%26.4%3.2%-0.6%-257.1K4.2M-75.2K0.4990.41N/AN/A3721839053,955
2016-07-12$87.36$90.0044.0%7.3%21.8%46.6%25.1%3.1%-0.7%-206.6K3.9M-77.1K0.9191.14N/AN/A2462251,0533,987
2016-07-13$85.82$90.0024.8%7.1%22.9%15.0%28.0%2.4%0.1%-223.5K6.1M-79.3K1.2990.37N/AN/A1221571,0654,084
2016-07-14$85.01$90.0024.8%7.1%23.3%15.0%24.2%5.3%-0.9%-105.9K7.3M-76.3K0.6995.54N/AN/A2291591,0744,091
2016-07-15$84.08$90.0024.9%7.1%23.1%15.2%25.4%2.6%-1.2%-574.3K9.9M-77.8K1.5694.07N/AN/A1151791,0064,114
2016-07-18$84.85$90.0025.9%7.4%23.3%16.8%26.5%3.1%2.6%-567.4K9.6M-75.9K0.4693.46N/AN/A179835733,943
2016-07-19$84.69$90.0025.6%7.3%23.2%16.4%25.2%4.7%1.0%-523.4K9.0M-76.5K0.5794.72N/AN/A122696483,947
2016-07-20$85.30$90.0024.7%7.1%23.4%14.9%25.8%4.4%0.1%-510.7K8.8M-77.3K0.6293.01N/AN/A1661036993,956
2016-07-21$84.57$90.0025.7%7.4%23.5%16.5%26.3%1.1%-2.3%-489.1K9.0M-80.1K1.1094.79N/AN/A931028003,991
2016-07-22$85.37$90.0025.1%7.2%23.6%15.6%27.9%2.9%-1.5%-486.6K7.8M-76.3K0.8193.30N/AN/A108888013,989
2016-07-25$85.20$90.0024.3%7.0%23.5%14.2%25.4%1.9%-1.2%-470.1K8.7M-79.4K1.2089.60N/AN/A861038213,989
2016-07-26$84.61$90.0024.7%7.1%23.1%14.9%26.8%3.5%-2.1%-477.1K8.8M-76.4K13.1087.00N/AN/A781,0228313,999
2016-07-27$84.57$90.0027.1%7.8%22.1%18.8%26.8%3.2%-3.6%-620.1K10.8M-95.0K6.1687.48N/AN/A1661,0228474,942
2016-07-28$82.46$90.0032.1%9.2%23.6%27.1%25.7%-0.8%-6.1%-648.9K13.0M-95.3K5.9898.99N/AN/A1761,0529324,973
2016-07-29$82.43$90.0024.7%7.1%22.5%14.9%24.6%0.1%-1.3%-614.0K13.1M-95.1K8.3193.43N/AN/A1271,0558654,945