COR Options History — October 2016

In October 2016, COR traded between $71.84 and $78.76. ATM implied volatility averaged 25.8%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 2.8% (HV 20d: 23.1%). Max pain ranged from $70.00 to $80.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 18.86.

Notable Days

  • 2016-10-03: Highest Volume — 1,977 contracts
  • 2016-10-05: Largest IV spike — 14.1% change
  • 2016-10-26: Highest IV Rank — 21.5%
  • 2016-10-26: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.47$71.84$78.76$74.03$73.82
Max Pain$72.62$70.00$80.00$80.00$75.00
ATM IV25.8%23.0%28.7%24.0%24.5%
Expected Move7.4%6.6%8.2%6.9%7.0%
HV 20d23.1%19.9%32.6%23.3%32.6%
HV 60d21.7%20.0%25.1%21.2%25.1%
IV Rank16.7%12.1%21.5%13.8%14.6%
IV Percentile54.8%26.2%76.6%35.7%37.3%
Term Structure-0.8%-3.4%2.0%0.5%-1.1%
VWIV26.8%23.7%32.5%25.1%25.5%
Skew 25d3.6%1.3%6.0%2.5%3.5%
Skew 10d8.4%0.3%17.0%0.3%0.5%
Call IV 25d25.6%23.3%27.4%25.8%26.2%
Put IV 25d29.2%26.2%30.8%28.3%29.7%
Bid-Ask Spread %96.0388.60103.3499.96103.34
Gamma HHI0.720.660.780.740.71
Net GEX-258.7K-286.8K-211.1K-271.6K-250.2K
Net DEX6.0M3.6M8.9M7.4M5.8M
Net VEX-24.5K-26.8K-19.7K-26.8K-22.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio18.8611.3227.4012.6312.14
Total Volume1,927.9521,8531,9771,9771,944
Total OI2,630.8571,9282,9092,7712,098

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$74.03$80.0024.0%6.9%23.3%13.8%25.1%2.5%0.5%-271.6K7.4M-26.8K12.6399.96N/AN/A1451,8328481,923
2016-10-04$74.22$80.0023.0%6.6%22.1%12.1%23.7%3.1%2.0%-272.4K7.4M-26.8K23.27100.48N/AN/A801,8628521,990
2016-10-05$72.17$80.0026.3%7.5%23.3%17.5%25.3%1.3%0.9%-273.7K8.5M-24.4K18.41101.24N/AN/A1001,8418522,022
2016-10-06$71.84$70.0025.7%7.7%23.3%16.4%25.7%5.2%-1.1%-269.3K8.9M-23.3K19.6193.80N/AN/A941,8438672,014
2016-10-07$72.11$70.0027.7%7.7%22.5%19.8%26.0%2.5%-0.5%-267.2K8.7M-23.5K18.3394.74N/AN/A1011,8518692,014
2016-10-10$73.47$70.0025.2%7.3%23.1%15.7%26.8%3.0%-0.9%-271.1K7.9M-24.9K18.2288.71N/AN/A1011,8408632,016
2016-10-11$73.83$70.0024.7%7.6%19.9%14.9%27.2%2.1%-1.5%-260.3K7.7M-24.9K23.9094.16N/AN/A771,8408632,017
2016-10-12$75.53$70.0026.7%7.7%20.0%18.2%25.0%5.5%-0.8%-264.1K6.5M-26.3K22.9499.00N/AN/A811,8588642,017
2016-10-13$77.30$70.0027.3%7.8%21.6%19.1%25.1%6.0%-1.5%-286.8K5.4M-26.8K23.5796.82N/AN/A791,8628602,020
2016-10-14$77.69$70.0024.4%7.0%21.6%14.4%25.3%3.7%-0.1%-280.9K4.9M-26.6K26.8094.45N/AN/A691,8498632,018
2016-10-17$77.39$70.0027.8%8.0%21.3%19.9%27.2%3.9%-1.0%-285.5K5.1M-25.7K27.4093.25N/AN/A671,8368682,023
2016-10-18$78.11$70.0025.6%7.3%21.3%16.4%28.8%3.5%-0.3%-286.5K4.3M-25.7K20.0293.58N/AN/A921,8428692,021
2016-10-19$78.58$70.0025.9%7.4%21.3%16.9%27.5%3.4%-1.3%-253.7K4.1M-24.8K14.5694.59N/AN/A1261,8358862,023
2016-10-20$77.88$70.0026.0%7.5%20.3%17.0%32.5%3.6%-1.2%-272.5K4.8M-24.3K14.4295.55N/AN/A1271,8318752,025
2016-10-21$77.98$70.0025.1%7.2%20.3%15.5%28.0%5.5%-1.0%-211.1K5.1M-24.5K17.5895.21N/AN/A1041,8288832,024
2016-10-24$78.76$70.0025.2%7.2%20.5%15.6%25.6%2.0%-1.3%-217.1K3.6M-23.9K16.8194.75N/AN/A1051,7654461,482
2016-10-25$78.39$75.0025.9%7.4%20.3%16.9%29.4%2.9%-1.3%-217.1K3.7M-24.3K20.0699.94N/AN/A881,7654751,505
2016-10-26$77.05$75.0028.7%8.2%21.3%21.5%30.3%2.6%-3.4%-221.0K4.3M-23.9K20.1788.60N/AN/A881,7754851,507
2016-10-27$71.91$75.0027.7%7.9%32.4%19.8%24.9%4.5%-1.7%-246.5K6.5M-19.7K11.3294.12N/AN/A1581,7894901,520
2016-10-28$72.75$75.0025.0%7.2%32.2%15.4%27.0%5.5%-1.0%-254.6K6.3M-21.1K13.98100.31N/AN/A1281,7895541,537
2016-10-31$73.82$75.0024.5%7.0%32.6%14.6%25.5%3.5%-1.1%-250.2K5.8M-22.3K12.14103.34N/AN/A1481,7965571,541