COR Options History — May 2017

In May 2017, COR traded between $96.87 and $105.49. ATM implied volatility averaged 18.3%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 2.8% (HV 20d: 21.1%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2017-05-31: Highest Volume — 406 contracts
  • 2017-05-04: Largest IV drop — 11.3% change
  • 2017-05-03: Highest IV Rank — 9.2%
  • 2017-05-03: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.19$96.87$105.49$99.76$105.49
Max Pain$94.77$90.00$95.00$90.00$95.00
ATM IV18.3%16.9%19.7%17.9%18.6%
Expected Move5.2%4.9%5.6%5.1%5.3%
HV 20d21.1%15.9%23.2%20.3%15.9%
HV 60d18.4%17.6%18.8%17.6%18.8%
IV Rank4.9%0.4%9.2%3.4%5.9%
IV Percentile4.3%0.8%9.5%0.8%7.5%
Term Structure0.2%-0.6%1.4%-0.1%-0.4%
VWIV19.7%16.9%21.5%17.1%18.9%
Skew 25d2.7%-3.3%5.5%-3.3%5.0%
Skew 10d5.3%-7.1%13.3%-2.2%3.0%
Call IV 25d17.3%14.2%22.6%22.6%14.6%
Put IV 25d20.0%18.4%22.4%19.3%19.6%
Bid-Ask Spread %97.1390.60101.6195.4697.26
Gamma HHI0.440.270.620.580.30
Net GEX194.3K154.1K232.3K186.6K160.7K
Net DEX-4.5M-5.6M-3.4M-4.5M-5.6M
Net VEX-11.2K-13.4K-9.6K-10.5K-10.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.601.871.480.60
Total Volume296.682229406312406
Total OI1,244.8641,0751,3641,1081,323

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$99.76$90.0017.9%5.1%20.3%3.4%17.1%-3.3%-0.1%186.6K-4.5M-10.5K1.4895.46N/AN/A126186647461
2017-05-02$98.10$95.0018.2%5.2%20.8%4.5%20.1%-1.1%-0.1%214.5K-3.9M-11.4K0.72100.83N/AN/A174126648489
2017-05-03$96.87$95.0019.7%5.6%21.4%9.2%19.7%5.0%-0.4%232.3K-3.4M-13.4K0.70101.61N/AN/A172120685485
2017-05-04$97.54$95.0017.4%5.1%21.3%2.0%18.9%-0.6%0.3%229.2K-3.8M-12.7K0.6596.10N/AN/A182118686510
2017-05-05$98.55$95.0017.2%5.1%21.4%1.3%20.6%3.7%0.4%221.2K-4.3M-12.0K0.7895.79N/AN/A149116702510
2017-05-08$98.49$95.0018.6%5.1%21.5%5.6%20.5%4.0%0.1%229.0K-4.3M-11.5K1.1997.93N/AN/A144172704511
2017-05-09$98.09$95.0019.6%5.2%21.6%9.1%19.9%1.7%0.5%200.0K-4.1M-12.3K1.2496.86N/AN/A139172715565
2017-05-10$98.19$95.0017.9%5.1%21.5%3.6%18.7%1.1%0.6%209.0K-4.2M-11.9K0.9695.71N/AN/A140135716565
2017-05-11$97.43$95.0019.5%5.6%21.5%8.8%19.4%1.3%0.0%219.5K-3.9M-12.0K0.9597.86N/AN/A148141718569
2017-05-12$98.26$95.0017.7%5.1%21.4%2.9%19.7%5.5%0.3%208.7K-4.3M-11.7K1.0197.31N/AN/A140141721571
2017-05-15$100.43$95.0018.3%5.3%22.4%4.9%21.5%2.4%0.5%161.2K-5.2M-10.2K0.9294.52N/AN/A137126722571
2017-05-16$99.12$95.0018.5%5.3%23.2%5.3%19.0%1.8%0.3%196.0K-4.9M-10.0K1.2698.03N/AN/A103130725574
2017-05-17$99.31$95.0019.0%5.5%23.0%7.2%20.3%3.2%0.0%182.3K-5.0M-10.3K0.7798.38N/AN/A163125735578
2017-05-18$99.31$95.0019.3%5.5%23.0%7.9%20.5%3.5%-0.6%197.6K-4.9M-10.9K0.7696.87N/AN/A176134779583
2017-05-19$100.00$95.0018.1%5.2%22.6%4.3%20.6%2.5%1.4%205.5K-5.0M-11.1K0.8198.04N/AN/A165134771593
2017-05-22$101.89$95.0019.0%5.4%23.0%7.1%16.9%3.1%-0.0%179.5K-4.3M-9.8K1.3997.97N/AN/A108150623452
2017-05-23$102.24$95.0018.2%5.2%23.0%4.4%21.5%1.6%0.1%175.6K-4.5M-10.1K0.9696.12N/AN/A117112647503
2017-05-24$103.80$95.0017.5%5.0%23.2%2.3%18.0%5.0%0.2%160.3K-4.9M-9.6K1.5798.81N/AN/A112176655517
2017-05-25$104.01$95.0017.6%5.0%17.1%2.4%20.7%4.6%0.4%154.1K-4.9M-10.2K1.0396.96N/AN/A180185664584
2017-05-26$102.94$95.0016.9%4.9%17.7%0.4%20.1%4.1%0.9%182.6K-4.4M-12.5K1.8790.60N/AN/A124232696594
2017-05-30$104.38$95.0018.4%5.3%17.2%5.2%20.5%5.0%-0.4%169.7K-5.0M-11.6K1.1997.82N/AN/A133158722598
2017-05-31$105.49$95.0018.6%5.3%15.9%5.9%18.9%5.0%-0.4%160.7K-5.6M-10.0K0.6097.26N/AN/A254152723600