COR Options History — January 2017

In January 2017, COR traded between $80.46 and $87.85. ATM implied volatility averaged 26.3%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 5.7% (HV 20d: 20.6%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.55.

Notable Days

  • 2017-01-06: Highest Volume — 441 contracts
  • 2017-01-09: Largest IV spike — 46.1% change
  • 2017-01-31: Highest IV Rank — 22.0%
  • 2017-01-31: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.56$80.46$87.85$80.46$86.28
Max Pain$82.25$80.00$85.00$85.00$85.00
ATM IV26.3%19.6%30.0%24.8%30.0%
Expected Move7.6%7.0%8.6%7.1%8.6%
HV 20d20.6%15.6%25.8%25.8%15.6%
HV 60d31.0%27.6%32.5%32.1%27.6%
IV Rank15.7%4.5%22.0%13.3%22.0%
IV Percentile54.1%2.4%81.7%37.7%81.7%
Term Structure-1.3%-2.9%1.8%1.8%-2.7%
VWIV26.7%23.2%33.5%33.5%28.5%
Skew 25d2.5%-0.9%6.3%6.3%2.9%
Skew 10d5.0%-3.2%13.7%13.7%-3.0%
Call IV 25d25.4%22.9%28.1%22.9%27.9%
Put IV 25d27.9%24.6%30.8%29.2%30.8%
Bid-Ask Spread %96.0786.08102.5095.4697.89
Gamma HHI0.330.250.450.280.35
Net GEX63.7K-3.7K129.5K-3.7K129.5K
Net DEX-1.5M-4.0M503.1K503.1K-1.9M
Net VEX-6.6K-7.8K-5.2K-7.5K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.292.732.390.41
Total Volume316.25128441278324
Total OI1,231.355261,6251,419896

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$80.46$85.0024.8%7.1%25.8%13.3%33.5%6.3%1.8%-3.7K503.1K-7.5K2.3995.46N/AN/A82196572847
2017-01-04$82.75$85.0028.3%8.1%25.8%19.2%32.3%1.3%-0.8%-166-363.5K-7.3K1.8899.16N/AN/A132248572846
2017-01-05$83.62$80.0024.1%7.4%25.7%12.1%25.8%2.3%-1.3%21.5K-883.0K-7.5K1.6686.08N/AN/A140233626855
2017-01-06$82.81$80.0019.6%7.1%24.5%4.5%24.4%2.1%-0.9%32.1K-607.4K-6.9K1.1395.57N/AN/A207234627855
2017-01-09$82.20$80.0028.7%8.1%24.0%19.8%25.1%2.8%-2.9%68.4K-846.2K-7.6K1.9991.56N/AN/A121241725868
2017-01-10$82.15$80.0027.6%7.7%24.1%18.0%25.0%1.6%-0.8%64.5K-729.9K-7.8K2.1295.97N/AN/A113240729875
2017-01-11$82.54$80.0025.8%7.4%23.8%14.9%23.2%2.3%-0.5%75.6K-956.1K-7.4K2.1793.67N/AN/A111241736871
2017-01-12$82.92$80.0024.5%7.0%22.5%12.7%25.6%3.9%0.5%80.7K-1.1M-7.2K2.1994.07N/AN/A110241742872
2017-01-13$83.50$80.0025.3%7.2%19.2%14.0%24.5%5.1%-1.4%91.8K-1.4M-6.7K2.2296.24N/AN/A110244745872
2017-01-17$83.82$80.0026.4%7.6%19.0%16.0%26.3%1.4%-2.0%85.6K-1.6M-6.1K2.7393.42N/AN/A101276749876
2017-01-18$84.75$80.0026.6%7.6%19.0%16.3%29.0%4.8%-2.9%75.1K-3.1M-5.6K2.2396.96N/AN/A115257746762
2017-01-19$85.41$80.0026.7%7.6%18.6%16.4%25.6%4.5%-2.5%65.6K-3.4M-5.4K2.2295.15N/AN/A100222737762
2017-01-20$85.59$80.0026.3%7.5%18.4%15.7%25.0%-0.9%-1.1%39.6K-4.0M-5.2K1.2796.59N/AN/A175223740763
2017-01-23$86.63$85.0028.3%8.1%18.3%19.2%26.4%3.4%-2.1%56.2K-1.5M-5.2K0.5498.27N/AN/A8345314212
2017-01-24$87.85$85.0024.6%7.1%18.2%13.0%26.1%0.2%-0.1%65.7K-1.7M-5.4K0.8498.90N/AN/A7765337215
2017-01-25$87.27$85.0027.4%7.9%18.6%17.7%26.5%0.7%-2.4%70.4K-1.7M-5.3K1.1298.47N/AN/A7685348235
2017-01-26$87.77$85.0025.0%7.2%17.9%13.6%26.7%1.4%-1.4%70.2K-1.7M-5.8K1.1897.92N/AN/A7386354257
2017-01-27$86.78$85.0027.6%7.9%16.5%18.0%25.2%2.9%-2.1%68.7K-1.6M-5.9K0.2997.49N/AN/A31289359257
2017-01-30$86.08$85.0027.5%7.9%15.8%17.8%28.9%0.9%-0.7%117.0K-1.8M-7.7K0.43102.50N/AN/A20889610263
2017-01-31$86.28$85.0030.0%8.6%15.6%22.0%28.5%2.9%-2.7%129.5K-1.9M-7.5K0.4197.89N/AN/A22995624272