COR Options History — September 2017

In September 2017, COR traded between $108.45 and $119.59. ATM implied volatility averaged 21.3%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 1.1% (HV 20d: 22.4%). Max pain ranged from $100.00 to $115.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.47.

Notable Days

  • 2017-09-27: Highest Volume — 1,150 contracts
  • 2017-09-13: Largest IV drop — 16.5% change
  • 2017-09-12: Highest IV Rank — 32.7%
  • 2017-09-14: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.97$108.45$119.59$118.26$112.00
Max Pain$105.00$100.00$115.00$115.00$110.00
ATM IV21.3%17.6%26.2%17.6%21.0%
Expected Move5.9%5.1%6.4%5.1%6.0%
HV 20d22.4%16.9%25.5%17.1%25.2%
HV 60d21.1%19.5%22.5%20.0%20.5%
IV Rank17.2%5.7%32.7%5.7%16.3%
IV Percentile38.8%3.6%79.0%3.6%41.3%
Term Structure1.7%-0.7%3.5%2.3%2.7%
VWIV21.6%19.0%25.8%20.2%23.1%
Skew 25d3.1%1.4%4.7%1.4%2.7%
Skew 10d6.8%3.2%13.7%4.1%7.9%
Call IV 25d19.8%17.8%21.6%17.8%19.6%
Put IV 25d22.9%19.1%24.5%19.1%22.3%
Bid-Ask Spread %79.6061.1997.4797.4784.09
Gamma HHI0.220.170.290.290.19
Net GEX108.6K-26.3K261.1K223.4K104.2K
Net DEX-3.5M-7.1M-778.3K-6.9M-2.2M
Net VEX-37.0K-42.1K-26.8K-26.8K-39.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.862.191.620.98
Total Volume844.86701,150670978
Total OI2,289.81,9592,5251,9592,222

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$118.26$115.0017.6%5.1%17.1%5.7%20.2%1.4%2.3%223.4K-6.9M-26.8K1.6297.47N/AN/A2564141,119840
2017-09-05$118.93$100.0019.0%5.7%16.9%10.1%22.1%3.7%1.2%209.2K-6.9M-29.4K1.9276.07N/AN/A2645061,125955
2017-09-06$116.83$100.0021.2%6.0%18.6%17.0%21.2%3.1%-0.1%190.9K-5.7M-31.3K1.9163.20N/AN/A2745231,1401,056
2017-09-07$117.08$100.0021.1%6.0%18.3%16.8%21.2%3.0%0.1%185.0K-5.8M-31.3K2.1974.87N/AN/A2395231,1551,076
2017-09-08$117.30$100.0022.7%6.1%17.7%21.7%22.5%4.0%0.4%218.4K-6.0M-31.2K2.1579.36N/AN/A2345031,1581,056
2017-09-11$119.59$100.0025.7%5.5%18.4%31.3%19.9%3.9%1.6%261.1K-7.1M-31.3K1.4278.39N/AN/A3565071,1541,158
2017-09-12$115.29$100.0026.2%5.9%21.9%32.7%19.0%4.7%0.5%206.0K-4.5M-35.1K1.3181.46N/AN/A3604731,2391,163
2017-09-13$111.36$105.0021.9%6.3%25.5%19.0%21.7%3.2%-0.7%-26.3K-1.6M-37.7K1.2879.78N/AN/A4255451,2841,179
2017-09-14$110.85$105.0022.4%6.4%25.0%20.9%23.6%2.0%0.6%17.7K-1.4M-36.5K0.9661.19N/AN/A4774571,1901,134
2017-09-15$110.58$105.0021.5%6.2%24.5%18.0%22.0%2.6%1.1%59.6K-2.8M-41.0K0.9969.86N/AN/A4334301,3941,131
2017-09-18$112.32$105.0021.5%6.2%25.1%17.9%21.1%2.4%3.5%88.3K-3.5M-40.7K1.1980.03N/AN/A3594281,1301,065
2017-09-19$112.98$105.0019.5%5.6%24.4%11.7%21.3%1.9%2.9%122.1K-4.0M-41.6K1.5282.32N/AN/A2804271,1971,085
2017-09-20$110.39$105.0021.1%6.0%24.4%16.6%25.8%3.1%1.8%76.7K-2.2M-42.1K1.5282.13N/AN/A2814281,1901,107
2017-09-21$110.41$105.0020.9%6.0%23.9%16.2%21.8%3.8%2.0%76.4K-2.2M-41.5K1.4881.10N/AN/A2954371,1871,109
2017-09-22$108.62$105.0020.8%6.0%24.4%15.8%21.3%2.9%2.5%54.4K-1.4M-40.9K1.8582.26N/AN/A2915391,2121,114
2017-09-25$108.45$110.0020.6%5.9%24.3%15.1%20.6%3.8%3.0%-4.2K-919.8K-41.0K1.6884.09N/AN/A2944941,2281,211
2017-09-26$108.96$110.0020.7%5.9%24.3%15.3%21.4%2.9%2.1%-2.8K-1.3M-41.1K1.6087.24N/AN/A3475551,2211,217
2017-09-27$109.74$105.0019.9%5.7%23.7%12.7%21.4%3.1%3.0%61.3K-1.8M-40.1K0.8685.48N/AN/A6195311,2371,139
2017-09-28$109.54$110.0020.0%5.7%23.5%13.1%21.4%2.8%2.6%49.9K-778.3K-39.8K0.9581.54N/AN/A5725421,0801,139
2017-09-29$112.00$110.0021.0%6.0%25.2%16.3%23.1%2.7%2.7%104.2K-2.2M-39.3K0.9884.09N/AN/A4934851,0781,144