COR Options History — June 2017

In June 2017, COR traded between $102.97 and $111.92. ATM implied volatility averaged 20.9%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.4% (HV 20d: 17.5%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.47.

Notable Days

  • 2017-06-27: Highest Volume — 2,630 contracts
  • 2017-06-14: Largest IV drop — 51.3% change
  • 2017-06-12: Highest IV Rank — 61.4%
  • 2017-06-29: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.12$102.97$111.92$105.37$104.07
Max Pain$96.36$95.00$105.00$95.00$105.00
ATM IV20.9%15.8%35.6%19.0%21.8%
Expected Move5.4%4.5%6.3%5.4%6.3%
HV 20d17.5%14.8%22.9%14.8%22.7%
HV 60d18.1%17.2%20.1%18.7%20.1%
IV Rank15.0%0.0%61.4%7.0%18.9%
IV Percentile25.4%0.0%99.2%9.1%32.9%
Term Structure2.3%-1.9%4.1%-1.9%1.0%
VWIV20.9%17.8%37.6%21.0%20.6%
Skew 25d2.7%1.1%5.1%1.8%2.7%
Skew 10d5.6%1.2%11.8%1.7%3.5%
Call IV 25d18.5%16.0%22.3%18.5%21.7%
Put IV 25d21.2%19.2%25.6%20.3%24.4%
Bid-Ask Spread %94.2389.31103.44100.5795.65
Gamma HHI0.380.220.730.380.22
Net GEX161.5K-474.6K474.6K217.4K205.5K
Net DEX-8.2M-15.7M-3.3M-6.0M-8.4M
Net VEX-18.3K-27.3K-10.2K-11.0K-25.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.470.118.911.600.13
Total Volume1,017.4552502,6302501,451
Total OI2,422.6821,4023,3571,4023,079

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$105.37$95.0019.0%5.4%14.8%7.0%21.0%1.8%-1.9%217.4K-6.0M-11.0K1.60100.57N/AN/A96154802600
2017-06-02$106.73$95.0017.2%4.9%15.1%1.3%17.8%3.4%1.5%201.0K-6.7M-10.2K1.18100.22N/AN/A119140815601
2017-06-05$105.22$95.0019.1%5.2%16.3%7.5%19.8%1.9%1.8%221.3K-6.4M-10.9K1.2992.37N/AN/A137177844606
2017-06-06$104.99$95.0019.8%5.2%16.4%9.7%20.5%3.2%1.9%224.4K-6.3M-11.8K0.8890.39N/AN/A156138874646
2017-06-07$104.96$95.0019.3%5.2%16.2%7.9%21.2%3.8%2.3%228.6K-6.2M-13.1K0.9291.04N/AN/A153140898652
2017-06-08$105.40$95.0020.8%5.2%16.2%12.8%20.5%3.5%1.9%237.2K-6.4M-12.4K8.9189.57N/AN/A1301,158895663
2017-06-09$106.54$95.0025.4%5.4%15.8%28.0%18.4%2.0%3.5%-64.9K-6.5M-13.5K7.2395.15N/AN/A1941,4028951,663
2017-06-12$104.64$95.0035.6%5.4%17.6%61.4%19.8%2.7%2.9%-474.6K-3.3M-19.6K8.5393.09N/AN/A1521,2969621,921
2017-06-13$105.90$95.0032.5%5.5%16.5%51.1%20.7%5.1%2.2%-315.9K-5.3M-19.1K8.0790.34N/AN/A1611,3009831,925
2017-06-14$108.11$95.0015.8%4.5%16.6%0.0%21.3%1.2%2.1%47.2K-7.4M-16.0K2.50103.44N/AN/A5221,3039921,930
2017-06-15$107.67$95.0018.7%5.4%16.9%9.0%19.4%2.8%1.7%401.6K-7.5M-15.6K4.8795.01N/AN/A2581,2561,3481,941
2017-06-16$108.81$95.0017.9%5.1%17.0%6.4%20.2%2.6%2.7%167.1K-7.9M-16.1K4.0293.01N/AN/A2881,1581,4161,941
2017-06-19$109.56$95.0017.9%5.1%16.9%6.6%18.6%2.8%2.8%199.6K-7.1M-19.1K0.5895.49N/AN/A344201996785
2017-06-20$109.48$95.0018.1%5.2%16.2%7.1%19.3%2.6%2.8%175.1K-7.0M-19.4K0.8194.97N/AN/A2622111,028851
2017-06-21$111.70$95.0018.6%5.3%17.2%8.7%19.3%2.7%2.5%149.5K-8.1M-18.5K0.7994.05N/AN/A2221751,039898
2017-06-22$111.92$95.0019.4%5.6%16.7%11.3%19.9%2.8%2.8%190.3K-10.2M-20.3K0.2892.15N/AN/A7652141,271908
2017-06-23$111.30$95.0019.6%5.6%17.1%12.1%20.7%1.3%4.1%290.9K-15.4M-24.3K0.3794.52N/AN/A6042231,874936
2017-06-26$109.57$95.0019.9%5.7%17.7%12.9%21.4%1.1%2.9%474.6K-15.7M-27.3K0.9294.39N/AN/A2602392,311962
2017-06-27$106.09$95.0020.3%5.8%21.2%14.1%37.6%2.6%3.9%316.6K-13.0M-26.0K0.1196.12N/AN/A2,3602702,363962
2017-06-28$105.65$105.0021.1%6.1%21.0%16.7%23.3%3.7%3.0%300.3K-10.7M-26.6K0.1989.31N/AN/A1,0652002,102988
2017-06-29$102.97$105.0021.9%6.3%22.9%19.3%19.5%3.3%2.3%159.8K-8.7M-25.1K0.1792.17N/AN/A1,1411892,1231,010
2017-06-30$104.07$105.0021.8%6.3%22.7%18.9%20.6%2.7%1.0%205.5K-8.4M-25.7K0.1395.65N/AN/A1,2861652,0571,022