COR Options History — October 2017

In October 2017, COR traded between $109.57 and $114.85. ATM implied volatility averaged 22.6%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 2.1% (HV 20d: 20.5%). Max pain ranged from $105.00 to $115.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2017-10-11: Highest Volume — 1,087 contracts
  • 2017-10-09: Largest IV spike — 22.2% change
  • 2017-10-25: Highest IV Rank — 30.7%
  • 2017-10-25: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.43$109.57$114.85$111.71$110.70
Max Pain$110.68$105.00$115.00$110.00$110.00
ATM IV22.6%18.7%25.6%21.5%22.5%
Expected Move6.6%6.0%7.3%6.2%6.5%
HV 20d20.5%16.7%26.3%25.2%17.9%
HV 60d20.3%19.7%21.2%19.7%21.0%
IV Rank21.4%9.2%30.7%17.9%21.1%
IV Percentile54.0%13.1%78.2%44.8%55.2%
Term Structure-1.2%-3.3%3.0%2.5%-1.1%
VWIV23.4%21.2%26.1%23.0%21.7%
Skew 25d3.7%2.6%9.8%3.3%3.0%
Skew 10d6.8%1.3%19.2%6.9%5.3%
Call IV 25d22.1%18.5%24.9%19.9%20.6%
Put IV 25d25.8%22.8%31.2%23.2%23.6%
Bid-Ask Spread %87.6681.30102.3183.2496.62
Gamma HHI0.280.180.440.190.26
Net GEX251.0K69.5K481.3K104.1K249.8K
Net DEX-3.4M-5.9M-1.5M-2.2M-2.1M
Net VEX-38.9K-40.5K-37.5K-38.7K-38.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.291.071.070.29
Total Volume820.3644671,087960676
Total OI2,379.6362,0372,7962,2272,256

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$111.71$110.0021.5%6.2%25.2%17.9%23.0%3.3%2.5%104.1K-2.2M-38.7K1.0783.24N/AN/A4644961,0951,132
2017-10-03$109.57$110.0021.2%6.1%25.7%16.9%24.8%3.4%1.5%69.5K-1.5M-38.3K0.9786.88N/AN/A5034861,0991,124
2017-10-04$110.59$110.0020.8%6.0%25.6%15.7%21.6%4.9%3.0%107.6K-1.8M-38.3K0.8689.90N/AN/A4924251,1281,124
2017-10-05$112.03$105.0020.9%6.9%26.1%16.1%23.1%3.5%-1.6%138.8K-2.6M-37.8K0.8382.35N/AN/A5404501,1201,121
2017-10-06$112.92$105.0018.7%6.5%26.3%9.2%24.4%4.4%-0.9%211.4K-3.4M-38.2K0.8685.94N/AN/A4934261,1691,120
2017-10-09$112.14$105.0022.9%6.9%25.1%22.3%21.9%3.1%-1.5%199.5K-3.2M-37.9K0.6781.30N/AN/A6474321,2091,117
2017-10-10$113.48$110.0019.7%6.4%22.3%12.3%23.4%3.1%-0.7%317.2K-4.5M-39.2K0.8982.95N/AN/A5044511,3341,122
2017-10-11$113.27$105.0022.9%6.6%18.4%22.5%22.8%3.0%-1.3%310.8K-4.3M-39.3K0.6885.76N/AN/A6464411,3481,120
2017-10-12$113.73$110.0022.0%6.3%18.3%19.4%22.5%3.3%-0.9%404.0K-5.2M-40.5K0.9583.25N/AN/A4624411,4581,130
2017-10-13$112.25$110.0024.0%6.9%19.0%25.9%22.7%2.9%-2.5%322.4K-3.8M-40.1K0.9686.08N/AN/A4854671,4771,141
2017-10-16$111.82$110.0024.6%7.0%18.2%27.7%23.7%2.7%-2.8%287.5K-3.3M-39.2K0.8087.31N/AN/A4683761,4771,146
2017-10-17$114.27$110.0023.4%6.7%19.7%24.1%23.9%4.3%-1.9%411.5K-5.3M-39.4K0.8385.98N/AN/A4874061,4821,157
2017-10-18$114.85$115.0023.4%6.7%17.6%24.0%23.9%3.2%-1.8%447.7K-5.9M-40.5K0.8786.71N/AN/A4523941,5101,191
2017-10-19$114.75$115.0024.5%7.0%17.7%27.5%23.9%3.9%-2.8%481.3K-5.8M-40.0K0.8782.99N/AN/A4533951,5091,258
2017-10-20$113.85$115.0023.9%6.9%16.7%25.6%24.5%2.9%-2.6%220.3K-4.3M-38.8K0.7687.33N/AN/A5434121,5361,260
2017-10-23$112.70$115.0024.8%7.1%17.3%28.5%25.6%2.6%-2.8%193.1K-2.9M-37.5K0.9086.43N/AN/A3022721,108929
2017-10-24$113.63$115.0024.2%6.9%17.4%26.6%24.5%4.0%-2.2%208.6K-3.1M-38.8K0.8490.16N/AN/A3162651,135962
2017-10-25$113.91$115.0025.6%7.3%17.3%30.7%26.1%3.7%-3.3%228.4K-3.5M-39.5K0.7889.61N/AN/A3292551,158962
2017-10-26$110.43$115.0021.3%6.1%20.9%17.1%21.2%9.8%-0.8%169.7K-2.1M-38.6K0.39102.31N/AN/A4031561,184965
2017-10-27$110.38$110.0022.1%6.3%19.2%19.9%22.5%3.4%-1.0%210.3K-1.8M-38.9K0.5592.31N/AN/A3021651,260965
2017-10-30$110.52$110.0021.8%6.2%19.2%18.8%23.1%2.7%-0.2%227.9K-1.9M-38.0K0.6693.21N/AN/A2831871,278976
2017-10-31$110.70$110.0022.5%6.5%17.9%21.1%21.7%3.0%-1.1%249.8K-2.1M-38.1K0.2996.62N/AN/A5231531,283973