COR Options History — November 2017

In November 2017, COR traded between $108.27 and $118.08. ATM implied volatility averaged 21.2%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 2.4% (HV 20d: 23.6%). Max pain ranged from $105.00 to $115.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2017-11-27: Highest Volume — 1,495 contracts
  • 2017-11-29: Largest IV spike — 14.5% change
  • 2017-11-01: Highest IV Rank — 28.0%
  • 2017-11-01: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.29$108.27$118.08$108.27$113.47
Max Pain$113.81$105.00$115.00$110.00$115.00
ATM IV21.2%18.8%24.7%24.7%22.1%
Expected Move6.1%5.6%7.1%7.1%6.3%
HV 20d23.6%19.3%27.6%19.3%26.3%
HV 60d22.4%21.5%23.9%21.5%23.8%
IV Rank17.1%9.3%28.0%28.0%19.8%
IV Percentile45.1%13.5%81.0%74.2%59.1%
Term Structure-0.1%-2.6%2.0%-2.6%-1.1%
VWIV22.2%19.5%26.9%19.5%24.1%
Skew 25d2.1%-0.0%3.7%1.8%0.7%
Skew 10d5.2%2.0%8.0%7.7%5.6%
Call IV 25d20.6%18.7%25.2%22.5%22.8%
Put IV 25d22.7%21.0%27.0%24.4%23.5%
Bid-Ask Spread %90.2180.2999.5399.5396.67
Gamma HHI0.300.190.880.190.26
Net GEX-179.3K-5.0M325.2K107.4K-338.4K
Net DEX-3.3M-7.8M2.5M140.7K1.8M
Net VEX-41.6K-54.6K-36.2K-36.5K-54.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.272.260.271.26
Total Volume888.3816221,495622655
Total OI3,016.0952,2464,0302,3014,030

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$108.27$110.0024.7%7.1%19.3%28.0%19.5%1.8%-2.6%107.4K140.7K-36.5K0.2799.53N/AN/A4901321,2751,026
2017-11-02$110.74$105.0021.7%6.1%20.5%18.7%21.3%2.6%-0.4%141.2K-724.2K-36.2K0.8187.22N/AN/A4223421,2051,041
2017-11-03$112.46$110.0022.0%6.1%21.0%19.4%19.8%2.5%0.1%128.9K-1.4M-39.7K0.8184.77N/AN/A4263441,2141,262
2017-11-06$115.83$110.0021.0%5.9%23.3%16.5%21.1%2.6%-0.4%271.5K-4.5M-38.6K1.4685.89N/AN/A3394951,2291,274
2017-11-07$116.84$115.0018.8%6.1%23.2%9.3%21.1%2.6%-0.6%146.0K-5.0M-38.1K1.0586.74N/AN/A3723901,2291,427
2017-11-08$117.87$115.0019.4%5.6%23.3%11.2%20.9%2.7%0.4%203.6K-6.0M-37.9K1.3385.18N/AN/A3734961,2951,501
2017-11-09$116.35$115.0020.9%6.0%23.9%16.0%21.0%2.6%0.7%-17.5K-3.2M-41.0K1.0080.29N/AN/A4214211,3411,639
2017-11-10$115.89$115.0020.5%5.9%23.4%14.8%21.8%2.2%-0.0%-69.0K-2.7M-40.7K1.0589.98N/AN/A3703891,3581,672
2017-11-13$117.81$115.0020.9%6.0%23.8%16.0%22.0%3.0%-0.6%129.6K-5.8M-37.9K1.2287.66N/AN/A5586831,4291,673
2017-11-14$117.42$115.0021.4%6.1%22.8%17.5%22.1%1.8%0.0%35.1K-4.5M-38.6K1.1182.04N/AN/A3664071,3071,765
2017-11-15$114.15$115.0022.6%6.5%25.0%21.3%24.7%2.2%0.3%-193.2K-390.9K-39.3K0.5689.14N/AN/A8324641,3251,771
2017-11-16$115.34$115.0021.2%6.1%25.3%16.8%26.9%1.2%-0.3%-97.0K-3.8M-45.3K0.5395.81N/AN/A7944181,7031,889
2017-11-17$114.93$115.0019.8%5.7%25.2%12.4%24.1%3.7%1.0%-5.0M-898.6K-44.0K1.0594.79N/AN/A5405671,7061,890
2017-11-20$114.91$115.0020.5%5.9%24.9%14.7%21.7%2.0%-0.1%117.0K-4.1M-42.7K0.4594.65N/AN/A5082271,3701,461
2017-11-21$116.35$115.0020.5%5.9%25.1%14.8%21.9%2.7%-0.3%195.4K-5.4M-40.7K0.4782.84N/AN/A4942301,3801,435
2017-11-22$116.85$115.0020.7%5.9%25.1%15.3%21.4%2.8%2.0%216.9K-5.9M-40.8K0.4893.40N/AN/A4472141,4041,444
2017-11-24$117.71$115.0020.7%5.9%22.1%15.5%21.0%0.9%-1.4%277.4K-7.0M-39.3K0.4897.55N/AN/A4362091,4301,449
2017-11-27$118.08$115.0020.5%5.9%22.0%14.9%21.5%-0.0%-0.5%325.2K-7.8M-37.4K2.2699.09N/AN/A4591,0361,4711,449
2017-11-28$117.41$115.0021.5%6.2%22.3%18.0%22.2%1.5%-0.2%-21.1K-4.8M-49.0K1.0296.80N/AN/A5435551,5172,169
2017-11-29$112.49$115.0024.7%7.1%27.6%27.9%25.2%1.8%0.9%-325.8K2.5M-54.6K1.0984.40N/AN/A3794131,5002,383
2017-11-30$113.47$115.0022.1%6.3%26.3%19.8%24.1%0.7%-1.1%-338.4K1.8M-54.3K1.2696.67N/AN/A2903651,5172,513