COR Options History — November 2016

In November 2016, COR traded between $65.04 and $72.28. ATM implied volatility averaged 28.0%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 7.0% (HV 20d: 35.0%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.66.

Notable Days

  • 2016-11-01: Highest Volume — 2,049 contracts
  • 2016-11-09: Largest IV drop — 22.8% change
  • 2016-11-17: Highest IV Rank — 32.4%
  • 2016-11-17: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.47$65.04$72.28$71.97$70.67
Max Pain$70.48$70.00$75.00$75.00$70.00
ATM IV28.0%23.5%35.4%28.3%26.8%
Expected Move7.8%6.7%10.1%8.1%7.7%
HV 20d35.0%32.4%42.2%33.8%33.5%
HV 60d27.5%24.8%30.2%25.4%29.9%
IV Rank20.3%12.9%32.4%20.9%18.4%
IV Percentile66.2%28.2%93.7%75.0%61.1%
Term Structure-1.3%-11.8%8.6%-2.5%-1.2%
VWIV26.5%22.7%29.7%25.3%28.4%
Skew 25d4.8%0.3%16.1%1.6%4.8%
Skew 10d7.2%-8.8%27.2%-8.8%9.4%
Call IV 25d25.6%22.9%28.6%25.5%26.9%
Put IV 25d30.4%27.1%39.1%27.1%31.7%
Bid-Ask Spread %101.1089.98112.20102.27103.79
Gamma HHI0.460.310.710.710.34
Net GEX-144.4K-285.7K-51.1K-248.6K-67.9K
Net DEX5.2M2.9M9.0M6.7M3.1M
Net VEX-11.6K-20.5K-5.2K-19.7K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.661.3712.8412.842.98
Total Volume496.7622592,0492,049259
Total OI1,678.191,1922,2542,1121,257

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$71.97$75.0028.3%8.1%33.8%20.9%25.3%1.6%-2.5%-248.6K6.7M-19.7K12.84102.27N/AN/A1481,9015601,552
2016-11-02$71.69$75.0028.3%8.1%32.4%20.9%26.8%4.3%0.6%-257.8K6.9M-20.5K2.23102.36N/AN/A1483305601,611
2016-11-03$70.71$70.0029.2%7.6%32.7%22.3%28.0%4.8%-0.6%-254.3K7.3M-19.5K2.1994.01N/AN/A1513305601,638
2016-11-04$70.63$70.0028.1%7.5%32.6%20.5%27.5%4.8%-0.5%-258.3K7.4M-19.3K2.2189.98N/AN/A1513335621,638
2016-11-07$71.84$70.0030.8%7.6%32.5%24.9%25.2%6.9%-0.3%-284.0K7.2M-19.5K2.1297.83N/AN/A1553295621,643
2016-11-08$72.28$70.0032.7%7.5%32.5%28.0%26.3%5.2%-0.4%-285.7K7.0M-19.8K2.0893.49N/AN/A1573265661,643
2016-11-09$70.21$70.0025.2%7.2%32.7%15.7%25.2%4.7%-1.0%-267.0K7.9M-16.5K2.0398.01N/AN/A1533115611,645
2016-11-10$67.35$70.0027.2%7.8%33.7%18.9%27.4%4.2%0.9%-201.1K9.0M-12.9K1.6399.55N/AN/A1482415621,685
2016-11-11$66.86$70.0029.3%8.4%33.4%22.5%27.0%5.4%-3.3%-193.5K8.9M-13.2K6.9893.86N/AN/A1591,1105641,690
2016-11-14$67.41$70.0023.5%6.7%33.9%12.9%22.7%4.4%8.6%-65.2K3.8M-6.6K1.55107.19N/AN/A138214566795
2016-11-15$66.91$70.0028.5%8.2%33.3%21.1%23.8%6.7%-2.8%-69.0K3.9M-6.2K1.50105.50N/AN/A143214563794
2016-11-16$66.91$70.0029.4%8.4%33.1%22.7%24.6%6.4%-2.9%-64.2K3.9M-6.3K1.43101.64N/AN/A150214561794
2016-11-17$65.04$70.0035.4%10.1%33.9%32.4%23.9%2.0%-11.8%-51.1K4.0M-5.2K1.37112.20N/AN/A146200569794
2016-11-18$68.98$70.0027.6%7.9%41.5%19.7%24.4%16.1%-3.4%-63.8K3.8M-6.7K1.43111.50N/AN/A145208570796
2016-11-21$68.78$70.0025.2%7.2%41.1%15.7%26.6%2.4%-0.7%-61.7K3.2M-7.1K1.55100.24N/AN/A130202456736
2016-11-22$70.18$70.0025.1%7.2%42.2%15.5%26.8%4.7%0.9%-65.7K3.1M-7.9K1.5795.79N/AN/A124195474754
2016-11-23$69.21$70.0027.1%7.8%42.1%18.8%28.3%0.3%-2.8%-65.7K3.2M-7.3K1.65105.64N/AN/A115190475755
2016-11-25$70.04$70.0025.8%7.4%35.0%16.7%28.8%4.9%-1.5%-71.1K3.1M-7.5K1.68101.95N/AN/A114192474764
2016-11-28$70.13$70.0026.7%7.6%34.7%18.1%29.7%3.9%-1.2%-69.5K3.1M-7.5K2.26101.87N/AN/A87197474766
2016-11-29$70.97$70.0027.3%7.8%34.6%19.2%29.2%2.3%-2.0%-68.0K2.9M-7.8K2.47104.41N/AN/A79195488765
2016-11-30$70.67$70.0026.8%7.7%33.5%18.4%28.4%4.8%-1.2%-67.9K3.1M-7.4K2.98103.79N/AN/A65194492765