COR Options History — December 2017

In December 2017, COR traded between $109.20 and $118.08. ATM implied volatility averaged 21.9%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 8.4% (HV 20d: 30.3%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2017-12-27: Highest Volume — 863 contracts
  • 2017-12-13: Largest IV drop — 30.5% change
  • 2017-12-12: Highest IV Rank — 42.7%
  • 2017-12-05: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.37$109.20$118.08$114.95$113.99
Max Pain$113.25$110.00$115.00$115.00$115.00
ATM IV21.9%18.1%29.3%21.7%19.7%
Expected Move5.9%5.2%6.5%6.2%5.6%
HV 20d30.3%25.5%31.9%25.5%27.7%
HV 60d24.7%23.9%26.2%23.9%24.4%
IV Rank23.5%11.6%42.7%18.5%19.3%
IV Percentile50.6%6.7%96.8%54.8%26.6%
Term Structure2.4%-1.0%4.6%-1.0%3.7%
VWIV22.3%19.2%26.3%25.0%19.2%
Skew 25d3.2%1.4%4.0%2.7%3.9%
Skew 10d7.2%2.6%12.4%11.1%12.4%
Call IV 25d19.9%17.4%22.4%21.4%17.9%
Put IV 25d23.1%21.1%24.5%24.1%21.8%
Bid-Ask Spread %74.7955.4597.4697.4686.09
Gamma HHI0.320.240.430.240.31
Net GEX-229.9K-480.7K30.3K-261.3K-161.7K
Net DEX-755.8K-5.8M6.8M-55.9K-2.4M
Net VEX-43.8K-52.5K-37.0K-52.5K-37.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.361.491.370.36
Total Volume616.35478863615841
Total OI3,865.653,4684,0794,0093,716

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$114.95$115.0021.7%6.2%25.5%18.5%25.0%2.7%-1.0%-261.3K-55.9K-52.5K1.3797.46N/AN/A2593561,5092,500
2017-12-04$109.20$115.0024.9%6.3%31.2%28.6%25.7%2.1%1.0%-480.7K6.8M-49.5K1.0077.57N/AN/A3303301,5182,502
2017-12-05$111.57$115.0024.8%6.5%30.3%28.5%24.1%2.7%0.9%-439.0K4.4M-50.1K1.1267.63N/AN/A2973331,5292,499
2017-12-06$112.14$115.0025.1%6.3%30.1%29.3%23.5%3.5%2.0%-414.2K3.4M-49.0K1.2773.32N/AN/A2733461,5262,470
2017-12-07$115.16$115.0022.0%6.2%31.6%19.4%23.2%3.8%1.4%-258.0K-478.6K-49.0K1.0772.91N/AN/A3153361,5232,459
2017-12-08$115.43$115.0021.6%5.8%31.3%18.4%21.0%3.2%2.8%-186.8K-1.9M-47.9K1.0771.29N/AN/A3143351,6092,458
2017-12-11$115.84$115.0028.0%6.1%31.3%38.4%22.8%2.5%2.5%-152.2K-2.2M-46.8K1.3967.20N/AN/A2383301,6112,438
2017-12-12$115.59$115.0029.3%5.9%30.7%42.7%21.0%3.3%2.0%-180.5K-2.3M-44.8K1.3164.25N/AN/A2473241,6162,454
2017-12-13$116.52$115.0020.4%5.8%30.8%14.4%21.4%2.2%2.8%-108.6K-3.4M-43.6K1.4983.42N/AN/A2483691,5902,454
2017-12-14$117.68$110.0020.0%5.7%29.2%21.2%21.2%3.5%2.7%30.3K-5.7M-40.7K1.2173.10N/AN/A2442961,6252,454
2017-12-15$118.08$110.0018.1%5.2%29.0%11.6%20.3%3.8%4.6%-139.4K-5.8M-40.1K1.2880.51N/AN/A2573301,6242,453
2017-12-18$116.73$115.0020.4%5.8%29.3%22.9%21.1%3.1%2.5%-204.7K-3.6M-39.4K1.0079.96N/AN/A2692691,2962,172
2017-12-19$113.20$110.0020.1%5.8%31.4%21.6%20.7%2.9%2.9%-297.6K516.3K-42.2K0.8581.21N/AN/A2862431,3572,193
2017-12-20$113.08$115.0019.6%5.6%31.0%19.1%22.4%3.4%2.5%-280.5K727.0K-42.8K1.1674.89N/AN/A2342711,4212,202
2017-12-21$111.72$110.0021.4%6.1%31.2%28.3%23.4%3.7%2.1%-297.0K2.5M-41.4K0.9082.88N/AN/A2792521,4462,201
2017-12-22$113.86$110.0020.2%5.8%31.9%21.8%21.1%3.8%2.6%-237.7K-625.5K-41.5K0.8558.01N/AN/A2752331,4732,207
2017-12-26$114.11$110.0021.1%6.1%31.9%26.6%22.0%4.0%2.5%-194.7K-1.4M-39.5K0.8255.45N/AN/A2622161,5252,207
2017-12-27$114.33$110.0020.4%5.8%31.9%22.9%26.3%3.7%3.4%-171.1K-1.2M-39.7K0.3765.09N/AN/A6282351,5462,208
2017-12-28$114.24$115.0019.1%5.5%27.8%16.3%20.4%1.4%4.6%-161.7K-2.6M-37.5K0.3883.64N/AN/A6012261,5092,213
2017-12-29$113.99$115.0019.7%5.6%27.7%19.3%19.2%3.9%3.7%-161.7K-2.4M-37.0K0.3686.09N/AN/A6182231,5062,210