COR Options History — December 2016

In December 2016, COR traded between $67.88 and $79.90. ATM implied volatility averaged 26.4%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 6.8% (HV 20d: 33.2%). Max pain ranged from $70.00 to $85.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.66.

Notable Days

  • 2016-12-05: Highest Volume — 315 contracts
  • 2016-12-14: Largest IV drop — 46.1% change
  • 2016-12-13: Highest IV Rank — 52.4%
  • 2016-12-02: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.85$67.88$79.90$67.88$79.21
Max Pain$83.57$70.00$85.00$70.00$85.00
ATM IV26.4%19.5%47.5%28.0%24.1%
Expected Move7.0%5.6%8.4%8.0%6.9%
HV 20d33.2%25.6%39.3%36.3%25.6%
HV 60d31.7%30.8%32.6%30.8%32.0%
IV Rank16.8%4.3%52.4%20.3%12.1%
IV Percentile45.6%3.2%96.8%69.8%28.6%
Term Structure0.9%-5.7%3.1%-0.7%2.6%
VWIV28.3%24.8%32.1%30.8%32.1%
Skew 25d3.5%-1.9%8.1%2.3%-0.3%
Skew 10d7.7%-5.6%16.7%-5.5%3.2%
Call IV 25d24.0%17.7%31.9%30.8%25.0%
Put IV 25d27.5%24.7%33.0%33.0%24.7%
Bid-Ask Spread %96.1090.07105.23105.2299.31
Gamma HHI0.280.230.360.340.25
Net GEX-46.4K-70.8K-19.0K-65.1K-21.0K
Net DEX1.7M838.2K3.6M3.6M893.2K
Net VEX-8.5K-9.3K-6.2K-6.2K-8.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.661.973.802.532.54
Total Volume281.619262315268280
Total OI1,394.9521,2651,4991,2651,421

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$67.88$70.0028.0%8.0%36.3%20.3%30.8%2.3%-0.7%-65.1K3.6M-6.2K2.53105.22N/AN/A76192499766
2016-12-02$68.34$70.0029.4%8.4%36.2%22.7%30.7%-1.9%-5.7%-65.1K3.5M-6.4K3.13105.23N/AN/A67210511772
2016-12-05$70.30$85.0027.9%7.2%37.7%20.1%27.3%3.5%0.2%-70.8K3.2M-6.8K2.5893.07N/AN/A88227512784
2016-12-06$70.51$85.0027.8%7.2%37.2%19.9%28.9%3.4%2.0%-63.8K3.0M-7.5K2.4193.93N/AN/A86207535822
2016-12-07$73.03$85.0025.8%7.1%39.3%16.8%26.8%6.0%0.0%-58.5K2.5M-8.3K2.2290.07N/AN/A89198539846
2016-12-08$74.79$85.0027.0%7.3%38.5%18.7%27.0%4.0%0.5%-40.5K1.8M-9.2K2.6894.03N/AN/A74198559844
2016-12-09$74.94$85.0025.9%7.3%34.7%16.9%27.5%2.5%0.2%-36.5K1.8M-9.2K2.9397.71N/AN/A74217573855
2016-12-12$76.05$85.0033.2%7.5%34.5%28.8%27.3%3.4%-0.4%-45.6K1.6M-9.1K2.7493.12N/AN/A74203573869
2016-12-13$77.92$85.0047.5%7.0%35.1%52.4%27.8%7.1%0.8%-52.8K1.0M-9.3K2.4894.28N/AN/A81201575876
2016-12-14$75.72$85.0025.6%7.3%37.0%16.3%25.8%1.9%1.8%-52.0K1.5M-8.7K3.1394.06N/AN/A67210573866
2016-12-15$76.55$85.0025.3%7.3%37.0%15.9%29.6%4.3%0.7%-53.9K1.3M-9.0K3.8092.75N/AN/A60228585901
2016-12-16$77.53$85.0022.6%6.5%34.6%9.5%31.5%7.8%1.2%-55.0K1.0M-9.3K3.5393.92N/AN/A58205584915
2016-12-19$78.66$85.0024.3%7.0%29.2%12.4%28.8%3.9%1.4%-50.8K1.3M-9.0K2.6793.22N/AN/A73195516828
2016-12-20$78.28$85.0023.2%6.6%29.3%10.6%24.8%2.6%1.8%-43.8K1.3M-8.9K1.9791.71N/AN/A98193537829
2016-12-21$77.97$85.0019.5%5.6%29.1%4.3%26.1%2.3%1.6%-43.1K1.4M-9.1K2.4796.94N/AN/A79195556832
2016-12-22$79.10$85.0023.7%6.8%28.3%11.4%25.4%7.2%3.1%-40.0K1.2M-9.1K2.1494.62N/AN/A91195556835
2016-12-23$79.90$85.0025.4%7.3%28.3%14.3%30.6%0.3%1.8%-32.3K879.8K-9.3K2.9797.16N/AN/A66196571835
2016-12-27$79.20$85.0024.5%7.0%28.8%12.8%27.9%2.3%1.6%-27.9K966.6K-8.6K2.0299.21N/AN/A99200576838
2016-12-28$77.62$85.0020.0%5.7%30.1%5.2%29.0%2.2%2.4%-36.0K1.4M-8.3K2.5598.40N/AN/A78199565849
2016-12-29$79.44$85.0023.4%6.7%30.6%10.8%29.6%8.1%1.9%-19.0K838.2K-8.2K2.26100.08N/AN/A88199566850
2016-12-30$79.21$85.0024.1%6.9%25.6%12.1%32.1%-0.3%2.6%-21.0K893.2K-8.4K2.5499.31N/AN/A79201571850