COR Options History — July 2017

In July 2017, COR traded between $100.10 and $108.44. ATM implied volatility averaged 23.1%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 0.8% (HV 20d: 23.9%). Max pain ranged from $80.00 to $105.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.41.

Notable Days

  • 2017-07-06: Highest Volume — 1,416 contracts
  • 2017-07-28: Largest IV drop — 22.8% change
  • 2017-07-26: Highest IV Rank — 30.9%
  • 2017-07-26: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.66$100.10$108.44$102.75$108.44
Max Pain$82.50$80.00$105.00$105.00$80.00
ATM IV23.1%18.6%25.6%23.3%19.6%
Expected Move6.7%5.3%7.3%6.7%5.6%
HV 20d23.9%18.6%26.7%22.6%18.6%
HV 60d21.0%19.1%22.1%20.3%19.1%
IV Rank23.0%8.7%30.9%23.6%11.8%
IV Percentile45.8%9.5%71.8%46.4%17.1%
Term Structure-1.2%-3.6%1.7%1.7%0.7%
VWIV25.3%20.7%35.0%31.9%20.9%
Skew 25d3.3%0.7%5.3%0.7%1.8%
Skew 10d6.1%-4.8%14.6%4.6%5.1%
Call IV 25d22.6%16.5%24.3%22.7%20.0%
Put IV 25d25.9%21.8%27.6%23.4%21.8%
Bid-Ask Spread %93.7284.42106.77105.4396.35
Gamma HHI0.290.180.540.210.36
Net GEX232.2K47.4K585.6K160.4K244.5K
Net DEX-6.2M-7.3M-4.1M-6.1M-7.3M
Net VEX-19.9K-24.3K-16.6K-24.3K-16.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.131.000.161.00
Total Volume849.22421,4161,146376
Total OI2,463.21,5452,9102,9101,566

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$102.75$105.0023.3%6.7%22.6%23.6%31.9%0.7%1.7%160.4K-6.1M-24.3K0.16105.43N/AN/A9911551,8971,013
2017-07-05$102.76$105.0020.2%5.8%22.6%13.7%35.0%2.6%0.1%139.7K-5.8M-22.8K0.14106.77N/AN/A9921381,8831,013
2017-07-06$100.10$80.0021.9%7.1%24.3%19.3%25.0%2.3%-0.9%47.4K-4.1M-20.8K0.1384.72N/AN/A1,2521641,8661,013
2017-07-07$103.09$80.0022.8%6.7%26.7%22.1%24.7%4.5%-1.6%172.0K-5.5M-22.4K0.1587.35N/AN/A1,0281591,8361,007
2017-07-10$103.46$80.0022.4%6.9%26.4%20.6%24.1%3.6%-2.2%169.3K-5.5M-20.8K0.1784.42N/AN/A1,0081701,7921,009
2017-07-11$102.55$80.0022.9%6.7%25.9%22.3%24.1%4.3%-1.3%135.2K-4.9M-20.3K0.1688.89N/AN/A1,0081601,815996
2017-07-12$104.66$80.0024.0%6.9%26.6%25.8%24.0%2.8%-1.8%258.0K-6.6M-21.4K0.1688.84N/AN/A1,0081591,863991
2017-07-13$104.67$80.0023.8%6.8%25.4%25.1%24.1%3.7%-1.5%257.9K-6.5M-20.8K0.1791.19N/AN/A9531631,840992
2017-07-14$104.12$80.0023.5%6.7%25.4%24.1%24.4%2.1%-1.2%233.3K-6.3M-20.5K0.1793.24N/AN/A9361591,834999
2017-07-17$103.99$80.0024.1%6.9%25.0%26.1%25.1%3.6%-3.5%227.4K-6.0M-19.5K0.1989.47N/AN/A9221711,8361,000
2017-07-18$105.16$80.0024.1%6.9%25.3%26.2%25.8%4.8%-1.5%312.0K-6.8M-19.5K0.1993.74N/AN/A9291791,834996
2017-07-19$104.62$80.0024.4%7.0%25.3%27.2%25.5%3.3%-2.3%315.8K-6.4M-19.2K0.2189.54N/AN/A8881841,8371,016
2017-07-20$104.45$80.0023.8%6.8%23.9%25.1%24.5%2.8%-1.9%378.0K-6.0M-19.0K0.2095.13N/AN/A9061801,8241,025
2017-07-21$105.09$80.0023.9%6.8%24.0%25.5%24.9%2.2%-1.8%585.6K-6.5M-18.4K0.9294.56N/AN/A1981821,8241,026
2017-07-24$106.13$80.0024.5%7.0%24.4%27.5%24.4%3.7%-0.8%190.5K-6.7M-18.3K0.8290.42N/AN/A1341101,135410
2017-07-25$105.92$80.0024.9%7.1%23.9%28.6%25.1%3.5%-0.3%196.0K-6.6M-18.6K0.9595.65N/AN/A1241181,148418
2017-07-26$106.36$80.0025.6%7.3%21.1%30.9%27.1%5.3%-3.6%192.1K-6.6M-18.9K0.7695.22N/AN/A1571201,146435
2017-07-27$107.13$80.0024.1%6.9%21.2%26.1%24.6%2.3%-1.4%204.2K-6.8M-17.8K0.82104.67N/AN/A1421171,130439
2017-07-28$107.70$80.0018.6%5.3%18.8%8.7%20.7%5.3%1.5%225.2K-6.8M-17.6K0.7898.74N/AN/A1371071,122438
2017-07-31$108.44$80.0019.6%5.6%18.6%11.8%20.9%1.8%0.7%244.5K-7.3M-16.6K1.0096.35N/AN/A1881881,129437