COR Options History — September 2016

In September 2016, COR traded between $74.29 and $81.35. ATM implied volatility averaged 25.2%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.8% (HV 20d: 21.4%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 14.99.

Notable Days

  • 2016-09-30: Highest Volume — 1,979 contracts
  • 2016-09-12: Largest IV spike — 41.6% change
  • 2016-09-12: Highest IV Rank — 29.1%
  • 2016-09-13: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.61$74.29$81.35$78.54$74.29
Max Pain$80.00$80.00$80.00$80.00$80.00
ATM IV25.2%19.9%33.3%22.1%25.3%
Expected Move7.0%5.7%7.8%6.3%7.2%
HV 20d21.4%17.5%24.0%18.0%24.0%
HV 60d21.5%19.6%22.5%19.6%21.7%
IV Rank15.7%6.9%29.1%10.5%15.8%
IV Percentile45.6%7.1%87.7%19.4%51.2%
Term Structure0.2%-1.6%1.7%0.5%-0.3%
VWIV24.8%21.3%29.5%23.4%26.5%
Skew 25d2.8%-5.4%7.2%-2.5%3.3%
Skew 10d5.4%-10.8%32.9%32.9%3.2%
Call IV 25d23.9%21.8%29.1%24.5%26.0%
Put IV 25d26.8%22.0%29.9%22.0%29.3%
Bid-Ask Spread %98.8592.01107.47107.47101.18
Gamma HHI0.540.380.660.490.66
Net GEX-265.0K-303.9K-192.5K-268.8K-280.4K
Net DEX5.4M2.9M7.1M5.0M7.1M
Net VEX-31.6K-35.4K-27.6K-35.0K-27.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.9911.9317.8615.1311.93
Total Volume1,918.5241,8811,9791,9351,979
Total OI2,677.8572,4762,7852,6862,695

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$78.54$80.0022.1%6.3%18.0%10.5%23.4%-2.5%0.5%-268.8K5.0M-35.0K15.13107.47N/AN/A1201,8157961,890
2016-09-02$79.49$80.0019.9%5.7%18.1%6.9%22.2%2.3%1.7%-253.2K4.3M-35.4K14.68102.71N/AN/A1211,7767981,895
2016-09-06$80.86$80.0025.1%6.7%17.8%15.6%24.0%2.5%-0.3%-201.2K3.4M-35.2K13.8892.01N/AN/A1281,7777971,894
2016-09-07$81.35$80.0024.8%6.6%17.8%15.0%24.6%1.3%-0.5%-192.5K2.9M-34.4K14.8396.29N/AN/A1211,7948171,900
2016-09-08$80.94$80.0025.6%6.8%17.5%16.4%24.3%3.6%-0.6%-196.6K3.0M-34.0K14.8395.93N/AN/A1211,7948191,895
2016-09-09$78.98$80.0023.5%6.9%19.5%13.0%23.9%1.0%1.2%-240.5K4.3M-34.2K15.7798.18N/AN/A1151,8138191,906
2016-09-12$80.04$80.0033.3%6.9%17.5%29.1%26.3%4.3%0.2%-261.0K4.2M-33.2K13.31103.34N/AN/A1341,7838151,927
2016-09-13$77.18$80.0030.9%7.8%21.4%25.1%24.8%-0.7%-1.6%-276.5K5.7M-32.8K13.2799.81N/AN/A1341,7788341,943
2016-09-14$75.33$80.0026.4%7.6%22.7%17.6%23.7%-5.4%0.8%-303.9K6.9M-30.9K16.64102.00N/AN/A1071,7818351,942
2016-09-15$75.70$80.0025.4%7.3%22.9%16.0%21.3%2.7%0.6%-287.9K6.8M-30.6K16.4293.90N/AN/A1081,7738351,946
2016-09-16$76.08$80.0024.9%7.1%23.0%15.2%23.8%3.8%0.5%-258.3K6.6M-30.9K16.5495.90N/AN/A1081,7868401,945
2016-09-19$76.97$80.0025.4%7.3%23.4%16.0%23.7%4.4%-0.1%-284.5K5.9M-30.7K12.6796.93N/AN/A1401,7746581,818
2016-09-20$76.35$80.0025.1%7.2%22.9%15.6%24.6%3.4%0.2%-271.8K6.1M-30.4K14.2999.53N/AN/A1231,7586961,825
2016-09-21$76.17$80.0024.2%6.9%22.9%14.0%26.8%3.6%-0.0%-279.4K6.4M-29.6K17.8694.13N/AN/A1001,7867241,828
2016-09-22$77.75$80.0022.5%6.4%23.8%11.2%27.2%5.4%1.1%-289.2K5.4M-31.4K14.2899.39N/AN/A1251,7857211,863
2016-09-23$77.36$80.0024.2%6.9%23.5%14.0%24.7%3.3%0.5%-281.0K5.4M-31.0K15.5197.42N/AN/A1181,8307501,867
2016-09-26$77.42$80.0025.8%7.4%23.5%16.6%25.4%4.9%-0.1%-277.5K5.5M-30.4K15.53100.55N/AN/A1181,8337571,922
2016-09-27$76.73$80.0025.3%7.3%23.4%15.9%29.5%7.2%-0.1%-279.6K5.8M-29.6K17.3097.66N/AN/A1061,8347571,924
2016-09-28$76.67$80.0025.3%7.2%23.2%15.8%23.7%4.8%-0.4%-286.6K5.9M-29.2K16.4198.32N/AN/A1111,8227451,929
2016-09-29$75.64$80.0024.6%7.1%23.5%14.7%25.8%5.8%1.1%-293.8K6.6M-27.9K13.74103.13N/AN/A1331,8277411,927
2016-09-30$74.29$80.0025.3%7.2%24.0%15.8%26.5%3.3%-0.3%-280.4K7.1M-27.6K11.93101.18N/AN/A1531,8267721,923