COR Options History — August 2017

In August 2017, COR traded between $106.12 and $118.74. ATM implied volatility averaged 19.8%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.2% (HV 20d: 16.5%). Max pain ranged from $80.00 to $115.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 1.13.

Notable Days

  • 2017-08-31: Highest Volume — 629 contracts
  • 2017-08-07: Largest IV spike — 26.4% change
  • 2017-08-08: Highest IV Rank — 21.9%
  • 2017-08-11: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.76$106.12$118.74$110.67$118.74
Max Pain$103.91$80.00$115.00$80.00$115.00
ATM IV19.8%16.0%22.8%20.3%18.5%
Expected Move5.7%5.2%6.2%5.8%5.3%
HV 20d16.5%12.1%19.1%18.8%17.5%
HV 60d19.8%19.0%20.4%19.4%20.0%
IV Rank12.5%0.6%21.9%14.0%8.6%
IV Percentile22.1%0.4%44.0%25.8%9.9%
Term Structure0.4%-0.7%1.5%-0.1%0.7%
VWIV20.0%18.6%21.5%20.4%19.0%
Skew 25d2.9%1.5%4.7%2.6%2.4%
Skew 10d7.5%2.0%11.8%7.5%5.8%
Call IV 25d18.3%14.3%20.1%18.9%17.9%
Put IV 25d21.3%19.0%23.6%21.6%20.3%
Bid-Ask Spread %94.9487.08100.5995.6698.24
Gamma HHI0.400.270.940.380.33
Net GEX403.6K130.3K4.1M255.1K203.9K
Net DEX-7.0M-9.8M-4.4M-8.5M-7.7M
Net VEX-18.5K-24.3K-15.5K-17.3K-21.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.513.330.621.29
Total Volume366.217246629366629
Total OI1,655.871,1241,8311,6461,676

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$110.67$80.0020.3%5.8%18.8%14.0%20.4%2.6%-0.1%255.1K-8.5M-17.3K0.6295.66N/AN/A2261401,161485
2017-08-02$110.28$80.0019.9%5.7%18.9%12.8%19.5%3.7%-0.6%254.1K-8.1M-15.9K0.6799.28N/AN/A2161441,151488
2017-08-03$109.09$85.0020.1%5.6%16.3%13.6%20.3%1.8%0.5%246.8K-7.5M-16.8K1.4193.45N/AN/A1482091,154487
2017-08-04$108.13$85.0016.0%5.6%14.0%0.6%20.8%3.6%-0.0%246.7K-7.3M-18.5K1.0293.11N/AN/A1571601,186537
2017-08-07$107.83$105.0020.3%5.6%14.1%14.0%20.4%2.6%0.6%219.4K-6.7M-17.6K1.0191.97N/AN/A2162181,186561
2017-08-08$107.50$105.0022.8%5.9%13.7%21.9%20.3%2.3%0.8%232.4K-6.6M-17.8K1.2993.39N/AN/A1501931,185557
2017-08-09$107.03$105.0020.9%6.0%12.1%15.9%20.8%2.5%-0.2%215.9K-6.3M-17.6K0.8394.12N/AN/A1531271,184555
2017-08-10$106.12$105.0021.3%6.1%12.6%17.4%21.1%3.0%0.2%190.0K-5.7M-18.4K0.6994.77N/AN/A2031401,185551
2017-08-11$106.53$105.0021.7%6.2%12.4%18.6%21.5%4.4%-0.3%206.3K-5.8M-18.3K0.7495.14N/AN/A2011491,230552
2017-08-14$109.61$105.0019.5%5.6%15.7%11.6%20.1%1.5%0.4%356.7K-7.9M-17.9K0.8694.94N/AN/A1461251,243552
2017-08-15$110.45$105.0019.7%5.6%15.5%12.1%19.1%3.0%0.9%391.8K-8.6M-16.9K1.0094.00N/AN/A1231231,249551
2017-08-16$111.97$105.0020.0%5.7%15.7%13.3%19.6%2.4%0.7%358.3K-9.8M-15.5K0.5196.19N/AN/A2441251,270551
2017-08-17$110.31$105.0020.3%5.8%16.9%14.2%18.9%2.8%-0.7%474.5K-8.5M-17.6K0.5795.55N/AN/A2191251,269559
2017-08-18$110.14$105.0019.9%5.7%16.9%12.9%20.1%2.8%0.4%4.1M-9.0M-17.2K0.7995.52N/AN/A1931521,269562
2017-08-21$112.04$105.0020.9%6.0%17.6%16.2%21.3%3.2%-0.1%160.6K-4.4M-16.3K0.8796.40N/AN/A139121727397
2017-08-22$114.55$105.0018.6%5.3%18.7%8.9%19.6%2.8%1.2%185.6K-5.4M-16.2K0.9897.47N/AN/A219215755398
2017-08-23$115.74$110.0018.9%5.4%18.9%9.6%19.7%3.3%1.2%130.3K-5.6M-17.5K0.9895.20N/AN/A239235802502
2017-08-24$115.15$115.0018.5%5.3%19.1%8.5%18.6%1.7%1.5%150.2K-5.7M-20.6K0.5592.49N/AN/A258142929623
2017-08-25$115.76$115.0019.1%5.5%19.1%10.3%18.9%2.1%0.8%156.5K-6.2M-20.7K2.0987.08N/AN/A126263961626
2017-08-28$116.32$115.0020.2%5.8%19.1%13.8%19.5%3.4%-0.3%151.3K-6.1M-24.3K2.1288.56N/AN/A123261982747
2017-08-29$117.96$115.0019.5%5.6%18.5%11.5%20.2%4.7%0.1%175.8K-7.2M-24.1K1.87100.59N/AN/A1152151,003748
2017-08-30$118.54$115.0018.0%5.2%18.3%6.8%19.9%4.7%0.4%192.1K-7.5M-21.9K3.33100.53N/AN/A92306993746
2017-08-31$118.74$115.0018.5%5.3%17.5%8.6%19.0%2.4%0.7%203.9K-7.7M-21.2K1.2998.24N/AN/A275354982694