COR Options History — April 2017

In April 2017, COR traded between $89.16 and $97.94. ATM implied volatility averaged 21.6%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.4% (HV 20d: 15.2%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.92.

Notable Days

2017-04-03: Highest Volume — 598 contracts
2017-04-27: Largest IV drop — 20.4% change
2017-04-17: Highest IV Rank — 24.7%
2017-04-17: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$92.77	$89.16	$97.94	$89.16	$97.94
Max Pain	$88.16	$85.00	$90.00	$85.00	$90.00
ATM IV	21.6%	16.8%	24.4%	19.6%	16.8%
Expected Move	6.3%	4.8%	7.0%	5.6%	4.8%
HV 20d	15.2%	12.5%	20.3%	19.6%	20.3%
HV 60d	15.2%	14.5%	17.4%	14.9%	17.3%
IV Rank	15.2%	0.0%	24.7%	6.4%	0.0%
IV Percentile	23.7%	0.0%	45.2%	5.6%	0.0%
Term Structure	-0.1%	-2.4%	4.7%	2.9%	0.6%
VWIV	22.8%	17.9%	26.1%	21.6%	19.4%
Skew 25d	2.9%	-1.0%	7.3%	4.4%	2.0%
Skew 10d	5.5%	-2.8%	10.9%	7.2%	5.3%
Call IV 25d	20.9%	14.4%	23.9%	17.1%	17.1%
Put IV 25d	23.7%	19.1%	26.4%	21.5%	19.1%
Bid-Ask Spread %	96.61	92.20	102.77	102.77	101.56
Gamma HHI	0.41	0.32	0.58	0.32	0.55
Net GEX	188.5K	121.4K	262.3K	132.9K	177.2K
Net DEX	-2.8M	-3.8M	-1.3M	-1.7M	-3.2M
Net VEX	-11.5K	-12.9K	-9.4K	-11.6K	-11.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.39	2.55	0.39	1.43
Total Volume	329.895	142	598	598	326
Total OI	1,220.421	877	1,352	1,188	1,011

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
2017-04-03	$89.16	$85.00	19.6%	5.6%	19.6%	6.4%	21.6%	4.4%	2.9%	132.9K	-1.7M	-11.6K	0.39	102.77	N/A	N/A	431	167	606	582
2017-04-04	$90.39	$85.00	19.7%	5.6%	20.0%	6.8%	20.0%	7.3%	3.1%	197.2K	-2.3M	-12.3K	0.82	102.44	N/A	N/A	204	168	711	586
2017-04-05	$91.23	$85.00	20.2%	5.8%	16.0%	10.8%	20.5%	3.9%	3.1%	204.9K	-2.7M	-12.4K	0.81	99.57	N/A	N/A	212	172	708	584
2017-04-06	$91.79	$90.00	20.0%	6.7%	15.9%	10.1%	22.5%	3.8%	-0.6%	216.1K	-2.9M	-12.5K	0.73	92.29	N/A	N/A	215	157	725	593
2017-04-07	$91.92	$90.00	19.7%	6.9%	15.9%	9.3%	22.9%	3.5%	-1.4%	218.3K	-3.1M	-12.9K	0.50	92.81	N/A	N/A	222	112	744	598
2017-04-10	$91.96	$90.00	20.7%	6.8%	15.1%	12.4%	22.7%	3.8%	-1.2%	232.7K	-3.1M	-12.7K	0.48	92.20	N/A	N/A	231	112	750	602
2017-04-11	$92.85	$85.00	24.1%	6.2%	14.7%	23.6%	22.3%	2.0%	0.1%	262.3K	-3.3M	-12.1K	0.48	92.43	N/A	N/A	233	111	747	602
2017-04-12	$92.07	$85.00	22.7%	6.5%	14.1%	18.8%	22.3%	-1.0%	0.4%	233.1K	-3.1M	-12.3K	0.46	93.97	N/A	N/A	240	111	745	603
2017-04-13	$91.81	$85.00	22.5%	6.4%	13.3%	18.2%	24.2%	0.2%	0.4%	234.5K	-3.0M	-11.9K	0.53	95.90	N/A	N/A	209	111	731	603
2017-04-17	$92.04	$85.00	24.4%	7.0%	13.0%	24.7%	25.7%	2.9%	-2.0%	241.5K	-3.0M	-11.4K	0.53	95.58	N/A	N/A	209	111	726	608
2017-04-18	$92.70	$90.00	23.2%	6.7%	12.7%	20.6%	24.4%	1.9%	-0.9%	253.7K	-3.3M	-11.3K	0.52	96.55	N/A	N/A	215	111	729	610
2017-04-19	$93.76	$90.00	23.5%	6.7%	13.1%	21.5%	24.4%	2.6%	-1.5%	156.1K	-3.7M	-11.3K	0.50	94.19	N/A	N/A	232	116	734	616
2017-04-20	$94.00	$90.00	23.9%	6.9%	13.0%	23.0%	26.1%	4.0%	-2.4%	151.3K	-3.8M	-10.8K	0.54	94.96	N/A	N/A	210	114	725	617
2017-04-21	$93.13	$90.00	23.2%	6.6%	13.4%	20.5%	23.9%	3.6%	-2.2%	122.9K	-3.5M	-10.7K	0.43	94.54	N/A	N/A	276	119	722	617
2017-04-24	$92.70	$90.00	22.7%	6.5%	13.4%	19.1%	24.3%	3.8%	-2.1%	123.1K	-1.3M	-10.5K	2.08	96.54	N/A	N/A	49	102	491	386
2017-04-25	$92.89	$90.00	22.9%	6.6%	12.5%	19.6%	24.0%	1.8%	-1.4%	121.4K	-1.4M	-10.9K	2.55	98.74	N/A	N/A	40	102	499	423
2017-04-26	$92.89	$90.00	22.9%	6.6%	12.5%	19.4%	23.4%	1.7%	-2.0%	125.7K	-1.4M	-10.8K	2.37	98.57	N/A	N/A	43	102	500	423
2017-04-27	$97.43	$90.00	18.2%	5.2%	20.3%	4.2%	17.9%	2.0%	4.7%	176.0K	-2.9M	-9.4K	1.33	100.06	N/A	N/A	160	213	508	423
2017-04-28	$97.94	$90.00	16.8%	4.8%	20.3%	0.0%	19.4%	2.0%	0.6%	177.2K	-3.2M	-11.2K	1.43	101.56	N/A	N/A	134	192	559	452