COR Options History — March 2017

In March 2017, COR traded between $85.80 and $90.31. ATM implied volatility averaged 20.4%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.4% (HV 20d: 17.0%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.95.

Notable Days

  • 2017-03-28: Highest Volume — 611 contracts
  • 2017-03-15: Largest IV drop — 29.4% change
  • 2017-03-14: Highest IV Rank — 25.4%
  • 2017-03-08: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.49$85.80$90.31$90.30$90.31
Max Pain$81.96$80.00$90.00$90.00$85.00
ATM IV20.4%18.2%27.4%21.7%18.2%
Expected Move5.7%5.2%6.3%6.2%5.2%
HV 20d17.0%12.0%19.6%12.2%19.0%
HV 60d17.1%14.8%18.8%18.7%14.8%
IV Rank8.5%3.1%25.4%11.5%3.1%
IV Percentile9.7%0.8%76.6%13.5%0.8%
Term Structure2.3%-0.4%3.4%-0.4%3.3%
VWIV21.3%15.5%28.6%22.1%16.7%
Skew 25d3.8%1.5%7.4%4.8%6.8%
Skew 10d6.1%-2.5%14.2%7.0%8.8%
Call IV 25d18.1%12.8%20.0%18.6%12.8%
Put IV 25d22.0%19.0%23.8%23.4%19.6%
Bid-Ask Spread %95.7385.79104.77100.80104.77
Gamma HHI0.480.290.640.570.31
Net GEX182.6K44.6K366.1K306.4K148.5K
Net DEX-1.8M-3.6M-762.7K-3.6M-1.8M
Net VEX-9.4K-11.8K-6.8K-8.2K-11.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.282.390.840.52
Total Volume370.13237611309478
Total OI1,266.7839361,5611,2241,174

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$90.30$90.0021.7%6.2%12.2%11.5%22.1%4.8%-0.4%306.4K-3.6M-8.2K0.84100.80N/AN/A168141859365
2017-03-02$90.27$90.0020.7%5.9%12.0%9.1%17.6%7.4%0.4%315.1K-3.5M-8.4K0.82101.50N/AN/A134110866414
2017-03-03$89.32$90.0020.0%5.7%12.7%7.4%19.4%4.3%0.9%312.1K-3.0M-8.2K0.91103.14N/AN/A131119879415
2017-03-06$89.22$80.0020.7%5.9%12.4%9.1%22.4%3.5%2.0%323.2K-2.8M-7.9K0.8085.99N/AN/A145116877424
2017-03-07$88.54$80.0020.4%5.7%12.7%8.4%21.9%3.1%2.7%305.7K-2.4M-7.7K0.7687.76N/AN/A139106882429
2017-03-08$85.80$80.0022.9%6.3%17.1%14.6%21.8%3.8%2.1%86.0K-864.4K-6.8K0.8489.69N/AN/A230193882444
2017-03-09$86.64$80.0022.1%6.0%17.4%12.5%19.7%3.1%2.0%110.5K-762.7K-8.7K0.5785.79N/AN/A247140892566
2017-03-10$86.97$80.0019.7%5.9%17.4%6.7%20.0%3.8%2.5%141.8K-818.7K-9.7K0.5491.77N/AN/A261140881618
2017-03-13$88.35$80.0022.2%5.6%18.1%12.9%21.5%3.9%2.8%289.7K-1.5M-9.6K0.8291.18N/AN/A191156895618
2017-03-14$87.54$80.0027.4%5.7%18.3%25.4%23.6%2.7%2.8%206.5K-1.2M-9.2K0.7892.81N/AN/A200156894595
2017-03-15$89.15$80.0019.3%5.5%18.6%5.9%21.7%3.6%3.0%366.1K-2.1M-9.2K0.7296.79N/AN/A210152929595
2017-03-16$88.12$80.0019.6%5.6%19.1%6.6%23.0%2.2%2.7%285.5K-1.5M-8.9K0.7888.70N/AN/A218170929595
2017-03-17$88.99$80.0019.3%5.5%19.3%5.7%21.2%3.4%2.5%44.6K-1.0M-9.0K0.6995.89N/AN/A245170931630
2017-03-20$88.39$80.0018.9%5.4%19.6%4.9%21.2%2.0%3.4%74.8K-1.4M-9.1K1.9996.25N/AN/A84167462474
2017-03-21$88.28$80.0019.5%5.6%18.3%6.3%20.2%1.8%3.0%88.0K-1.5M-9.2K2.3998.29N/AN/A70167494474
2017-03-22$88.28$80.0020.2%5.8%17.8%7.9%22.7%4.6%2.1%94.1K-1.5M-9.5K1.9998.41N/AN/A84167510474
2017-03-23$89.26$80.0020.3%5.8%18.3%8.3%25.0%6.5%2.1%113.5K-1.8M-10.0K1.3499.40N/AN/A167223539484
2017-03-24$88.83$80.0019.6%5.6%17.7%6.5%20.4%1.5%2.8%136.6K-2.0M-11.2K1.3297.99N/AN/A169223655484
2017-03-27$87.93$80.0019.7%5.6%18.0%6.7%22.6%3.5%1.9%129.7K-1.7M-10.8K1.4098.31N/AN/A168235654484
2017-03-28$87.86$80.0018.9%5.4%18.0%4.8%28.6%3.4%2.8%98.6K-1.5M-11.2K0.2897.52N/AN/A476135658538
2017-03-29$88.22$85.0018.9%5.4%18.0%4.8%15.5%4.2%2.4%105.6K-1.2M-11.3K0.2999.33N/AN/A472135579550
2017-03-30$88.66$85.0019.1%5.5%18.2%5.3%21.4%4.4%2.7%118.0K-1.5M-11.4K0.4899.71N/AN/A342163593552
2017-03-31$90.31$85.0018.2%5.2%19.0%3.1%16.7%6.8%3.3%148.5K-1.8M-11.8K0.52104.77N/AN/A315163592582