COR Options History — February 2017

In February 2017, COR traded between $85.40 and $90.14. ATM implied volatility averaged 23.9%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 11.5% (HV 20d: 12.4%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.51.

Notable Days

2017-02-09: Highest Volume — 383 contracts
2017-02-06: Largest IV spike — 26.8% change
2017-02-07: Highest IV Rank — 25.8%
2017-02-01: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.34	$85.40	$90.14	$85.89	$90.09
Max Pain	$84.47	$80.00	$90.00	$85.00	$90.00
ATM IV	23.9%	20.2%	32.3%	30.2%	21.1%
Expected Move	6.7%	5.8%	8.6%	8.6%	6.0%
HV 20d	12.4%	11.1%	15.3%	15.3%	12.2%
HV 60d	23.8%	20.9%	27.4%	27.4%	20.9%
IV Rank	14.3%	7.9%	25.8%	22.3%	10.1%
IV Percentile	32.0%	4.8%	90.9%	82.1%	11.1%
Term Structure	-0.3%	-5.3%	1.6%	-2.6%	0.5%
VWIV	21.6%	15.6%	28.5%	25.8%	28.5%
Skew 25d	3.9%	1.6%	10.2%	7.8%	3.1%
Skew 10d	8.5%	-0.5%	26.2%	8.2%	11.5%
Call IV 25d	20.9%	16.5%	24.1%	23.2%	19.8%
Put IV 25d	24.7%	22.0%	30.9%	30.9%	22.9%
Bid-Ask Spread %	98.00	89.13	108.33	108.33	106.23
Gamma HHI	0.41	0.34	0.57	0.34	0.57
Net GEX	159.3K	78.5K	294.0K	125.3K	293.6K
Net DEX	-2.1M	-3.6M	-1.2M	-1.8M	-3.5M
Net VEX	-7.5K	-8.5K	-7.0K	-7.6K	-7.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.37	0.92	0.44	0.69
Total Volume	292.579	223	383	301	223
Total OI	1,047.368	919	1,205	919	1,204

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-02-01	$85.89	$85.00	30.2%	8.6%	15.3%	22.3%	25.8%	7.8%	-2.6%	125.3K	-1.8M	-7.6K	0.44	108.33	N/A	N/A	209	92	645	274
2017-02-02	$86.45	$80.00	27.2%	7.2%	12.3%	17.2%	20.8%	3.7%	-1.6%	135.4K	-1.8M	-7.3K	0.47	89.13	N/A	N/A	204	96	651	271
2017-02-03	$87.25	$80.00	24.9%	7.5%	12.2%	13.5%	20.4%	3.8%	-0.9%	147.0K	-2.1M	-7.7K	0.46	94.95	N/A	N/A	208	96	655	275
2017-02-06	$87.01	$80.00	31.6%	7.6%	11.5%	24.7%	21.3%	1.8%	-1.1%	151.4K	-2.1M	-7.3K	0.47	93.15	N/A	N/A	198	94	664	275
2017-02-07	$86.81	$80.00	32.3%	7.4%	11.1%	25.8%	21.3%	2.8%	-0.2%	154.2K	-2.1M	-7.3K	0.47	93.90	N/A	N/A	201	95	664	275
2017-02-08	$86.27	$80.00	26.1%	7.5%	11.5%	15.4%	21.1%	4.1%	-0.8%	140.8K	-1.9M	-7.1K	0.43	95.94	N/A	N/A	200	86	668	275
2017-02-09	$86.43	$80.00	26.4%	7.6%	11.4%	22.9%	22.1%	10.2%	-5.3%	152.2K	-2.0M	-7.1K	0.92	101.58	N/A	N/A	200	183	671	280
2017-02-10	$87.05	$85.00	22.1%	6.4%	11.5%	12.7%	15.6%	4.8%	1.6%	108.9K	-1.6M	-7.5K	0.48	96.56	N/A	N/A	200	96	671	382
2017-02-13	$86.53	$85.00	23.0%	6.6%	11.8%	14.8%	21.0%	3.2%	0.1%	107.8K	-1.6M	-7.4K	0.41	99.88	N/A	N/A	243	100	676	387
2017-02-14	$85.40	$85.00	21.6%	6.2%	12.9%	11.4%	18.4%	2.4%	0.7%	78.5K	-1.2M	-7.4K	0.44	94.15	N/A	N/A	207	92	723	392
2017-02-15	$85.89	$85.00	22.0%	6.3%	12.4%	12.3%	23.1%	2.7%	0.3%	89.2K	-1.4M	-7.3K	0.47	95.90	N/A	N/A	203	95	725	391
2017-02-16	$86.31	$85.00	22.2%	6.4%	12.3%	12.9%	19.4%	4.1%	0.3%	95.0K	-1.5M	-7.0K	0.37	97.47	N/A	N/A	251	94	722	391
2017-02-17	$86.20	$85.00	21.0%	6.0%	12.3%	9.8%	23.7%	2.1%	1.2%	106.8K	-1.7M	-7.3K	0.68	93.19	N/A	N/A	135	92	772	387
2017-02-21	$87.93	$85.00	20.6%	5.9%	13.5%	8.8%	21.4%	4.7%	-0.2%	149.0K	-2.0M	-7.2K	0.46	97.74	N/A	N/A	166	77	664	322
2017-02-22	$88.90	$85.00	21.1%	6.0%	13.2%	10.1%	23.9%	6.5%	0.2%	198.7K	-2.6M	-7.7K	0.46	102.60	N/A	N/A	202	93	723	326
2017-02-23	$88.86	$90.00	20.2%	5.8%	12.9%	7.9%	20.6%	2.2%	0.8%	210.2K	-2.7M	-8.2K	0.45	98.73	N/A	N/A	215	96	765	342
2017-02-24	$90.06	$90.00	20.6%	5.9%	13.5%	8.9%	20.2%	2.1%	0.7%	294.0K	-3.6M	-8.5K	0.60	100.50	N/A	N/A	167	101	842	345
2017-02-27	$90.14	$90.00	20.9%	6.0%	12.7%	9.8%	21.5%	1.6%	0.6%	288.1K	-3.5M	-8.0K	0.58	102.14	N/A	N/A	158	91	840	365
2017-02-28	$90.09	$90.00	21.1%	6.0%	12.2%	10.1%	28.5%	3.1%	0.5%	293.6K	-3.5M	-7.9K	0.69	106.23	N/A	N/A	132	91	839	365