COR Options History — August 2016

In August 2016, COR traded between $77.57 and $83.30. ATM implied volatility averaged 23.4%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 2.3% (HV 20d: 21.0%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 14.15.

Notable Days

  • 2016-08-03: Highest Volume — 3,474 contracts
  • 2016-08-10: Largest IV drop — 15.3% change
  • 2016-08-05: Highest IV Rank — 20.1%
  • 2016-08-05: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.88$77.57$83.30$83.30$77.97
Max Pain$81.96$80.00$90.00$90.00$80.00
ATM IV23.4%20.7%27.9%23.3%21.4%
Expected Move6.6%5.9%8.0%6.7%6.1%
HV 20d21.0%17.7%23.3%22.9%17.8%
HV 60d20.6%19.5%21.3%19.5%19.6%
IV Rank12.7%8.3%20.1%12.6%9.4%
IV Percentile27.9%10.7%63.5%26.6%14.7%
Term Structure0.3%-3.1%2.6%-1.3%0.6%
VWIV24.7%21.8%31.7%24.8%24.3%
Skew 25d2.5%-0.6%7.0%2.4%2.4%
Skew 10d5.6%-5.8%21.0%5.0%18.3%
Call IV 25d23.3%20.5%28.4%24.3%23.4%
Put IV 25d25.8%23.0%29.9%26.6%25.8%
Bid-Ask Spread %101.1397.37105.64101.56104.64
Gamma HHI0.370.250.510.270.51
Net GEX-259.4K-638.2K-148.1K-606.3K-279.0K
Net DEX5.6M3.2M15.1M13.1M5.2M
Net VEX-40.6K-94.9K-34.2K-94.9K-35.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.150.3133.306.2814.80
Total Volume1,793.13123,4741,2381,943
Total OI3,0392,4815,8175,8172,682

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$83.30$90.0023.3%6.7%22.9%12.6%24.8%2.4%-1.3%-606.3K13.1M-94.9K6.28101.56N/AN/A1701,0688694,948
2016-08-02$80.54$90.0024.9%7.1%23.3%15.2%31.7%5.2%-1.3%-638.2K15.1M-93.4K33.3099.37N/AN/A993,2978484,962
2016-08-03$80.24$90.0025.7%7.4%22.9%16.5%28.5%1.7%-1.7%-198.1K5.6M-35.7K31.1799.90N/AN/A1083,3668461,987
2016-08-04$80.53$85.0024.7%6.6%23.1%14.9%24.5%4.4%0.2%-210.2K5.5M-36.4K19.1497.96N/AN/A941,7998352,025
2016-08-05$79.58$85.0027.9%8.0%21.5%20.1%27.8%-0.4%-3.1%-233.3K6.1M-36.1K20.16100.55N/AN/A891,7948352,035
2016-08-08$78.16$85.0027.5%6.3%18.6%19.4%23.2%-0.2%1.5%-273.2K6.7M-34.9K18.1497.37N/AN/A971,7608272,028
2016-08-09$78.17$80.0025.9%6.3%18.7%16.8%27.7%5.2%0.5%-291.1K7.0M-35.2K17.14101.99N/AN/A1041,7838252,049
2016-08-10$79.24$80.0021.9%6.3%19.3%10.3%29.8%1.0%1.6%-280.6K6.5M-34.6K9.38103.29N/AN/A1931,8108302,064
2016-08-11$79.82$80.0021.9%6.3%19.6%10.2%22.9%3.0%0.7%-242.1K5.0M-35.7K9.4897.77N/AN/A1911,8108861,945
2016-08-12$81.97$80.0023.1%6.6%22.0%12.3%22.9%4.5%-0.1%-156.4K3.4M-34.7K11.2498.58N/AN/A1561,7548801,945
2016-08-15$81.23$80.0022.4%6.4%21.8%11.1%23.1%1.8%0.5%-151.1K3.2M-34.2K9.6299.32N/AN/A1871,7989081,919
2016-08-16$81.30$80.0023.7%6.8%21.8%13.2%24.2%3.5%-1.2%-152.5K3.5M-35.3K14.82101.00N/AN/A1191,7639441,954
2016-08-17$81.07$80.0022.8%6.5%21.5%11.8%22.1%4.7%1.3%-148.1K4.0M-35.0K0.53104.74N/AN/A19109451,980
2016-08-18$81.30$80.0022.9%6.6%21.5%12.0%21.8%2.1%-0.1%-191.2K3.8M-35.0K0.31102.05N/AN/A1349441,980
2016-08-19$81.76$80.0023.5%6.7%21.3%12.8%23.9%2.5%-0.3%-148.9K3.4M-34.2K17.03100.45N/AN/A1182,0099551,980
2016-08-22$80.39$80.0021.0%6.0%21.9%8.8%22.8%3.5%2.6%-196.4K3.4M-36.9K17.24103.53N/AN/A1081,8626841,797
2016-08-23$80.07$80.0022.0%6.3%21.9%10.4%22.4%-0.6%1.1%-227.1K4.0M-36.5K16.31104.69N/AN/A1141,8597171,849
2016-08-24$78.91$80.0022.2%6.4%22.2%10.8%23.7%7.0%0.8%-240.3K4.4M-36.4K0.50105.64N/AN/A847331,873
2016-08-25$77.93$80.0023.8%6.8%21.0%13.4%25.7%-0.4%0.8%-273.1K5.1M-36.0K14.5499.13N/AN/A1251,8177451,876
2016-08-26$77.79$80.0020.7%5.9%21.0%8.3%25.2%2.3%1.9%-277.8K5.4M-35.9K14.96101.78N/AN/A1211,8107711,878
2016-08-29$78.41$80.0021.6%6.2%20.8%9.8%22.0%1.5%1.0%-276.9K4.8M-35.8K15.80101.48N/AN/A1151,8177771,879
2016-08-30$77.57$80.0022.3%6.4%17.7%10.9%23.0%1.1%0.1%-275.0K5.2M-35.4K13.5099.29N/AN/A1351,8227771,881
2016-08-31$77.97$80.0021.4%6.1%17.8%9.4%24.3%2.4%0.6%-279.0K5.2M-35.1K14.80104.64N/AN/A1231,8207941,888