COR Options History — January 2018

In January 2018, COR traded between $104.39 and $113.80. ATM implied volatility averaged 25.6%, placing in the 49.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 4.4% (HV 20d: 21.2%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2018-01-17: Highest Volume — 1,061 contracts
  • 2018-01-10: Largest IV spike — 29.8% change
  • 2018-01-29: Highest IV Rank — 81.5%
  • 2018-01-29: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.88$104.39$113.80$112.53$108.38
Max Pain$112.14$110.00$115.00$115.00$110.00
ATM IV25.6%19.4%32.0%20.8%28.8%
Expected Move7.5%6.0%9.2%6.0%8.3%
HV 20d21.2%17.8%27.6%27.6%27.0%
HV 60d25.2%24.3%26.4%24.4%26.4%
IV Rank49.1%17.8%81.5%24.9%65.4%
IV Percentile81.1%20.6%98.8%46.4%96.4%
Term Structure-2.4%-6.0%3.1%1.7%-2.6%
VWIV27.6%22.6%34.0%24.7%34.0%
Skew 25d4.2%1.6%7.0%2.8%5.4%
Skew 10d9.2%2.1%14.2%8.0%14.2%
Call IV 25d25.2%20.9%31.9%21.4%28.8%
Put IV 25d29.4%24.1%34.5%24.1%34.2%
Bid-Ask Spread %80.1267.9890.0674.3990.06
Gamma HHI0.320.180.560.360.18
Net GEX-235.4K-532.3K-40.0K-242.0K-40.0K
Net DEX2.6M-1.5M8.0M72.0K663.3K
Net VEX-27.0K-34.5K-22.6K-34.5K-25.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.351.400.351.31
Total Volume709.5243691,061826429
Total OI2,972.2381,6933,7403,7001,946

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$112.53$115.0020.8%6.0%27.6%24.9%24.7%2.8%1.7%-242.0K72.0K-34.5K0.3574.39N/AN/A6132131,4902,210
2018-01-03$111.24$115.0022.6%6.5%20.8%33.9%32.7%3.4%3.1%-311.4K2.0M-32.9K0.5078.95N/AN/A5912971,4842,223
2018-01-04$111.81$115.0021.7%7.4%19.4%29.5%24.9%3.5%-3.0%-326.6K1.4M-32.5K0.5073.10N/AN/A5822921,4772,257
2018-01-05$111.88$115.0021.7%7.0%19.4%29.5%24.6%2.8%-2.0%-328.6K1.4M-31.2K0.4481.63N/AN/A6132701,4822,258
2018-01-08$113.80$115.0020.6%7.0%17.8%24.2%23.8%2.0%-2.4%-270.7K-1.5M-29.0K0.3882.45N/AN/A6012291,4422,292
2018-01-09$112.90$115.0019.4%6.9%18.0%17.8%23.3%5.5%-1.6%-331.3K-3.3K-28.4K0.3886.57N/AN/A5962291,4462,273
2018-01-10$109.88$115.0025.1%7.2%20.1%47.0%22.6%7.0%-2.1%-532.3K4.9M-26.2K0.4582.14N/AN/A5242341,4462,279
2018-01-11$108.79$115.0024.9%7.1%20.3%45.6%26.4%4.4%-2.3%-513.0K5.9M-26.1K1.0280.61N/AN/A4884961,4932,197
2018-01-12$105.77$115.0026.5%7.6%21.7%53.7%25.9%4.1%-2.7%-301.3K8.0M-22.6K0.6977.12N/AN/A5894061,4912,039
2018-01-16$107.52$110.0026.6%7.6%22.4%54.4%27.2%3.2%-4.1%-339.0K5.2M-25.1K0.7482.58N/AN/A6004421,5902,098
2018-01-17$106.85$110.0026.9%7.7%22.2%55.9%26.7%4.6%-2.9%-314.1K5.3M-24.3K0.9467.98N/AN/A5465151,5972,025
2018-01-18$107.67$110.0027.3%7.8%22.5%57.7%28.4%5.5%-5.5%-327.3K4.8M-26.3K0.7081.41N/AN/A4643241,6212,093
2018-01-19$107.51$110.0025.8%7.4%20.2%50.5%28.0%5.0%-2.7%-122.1K4.7M-25.0K0.7482.49N/AN/A4413281,6492,089
2018-01-22$107.00$110.0028.0%8.0%20.2%61.3%30.7%5.4%-0.4%-123.9K2.0M-25.3K1.0177.05N/AN/A1881896541,039
2018-01-23$108.65$110.0026.4%7.6%20.8%53.3%26.8%1.6%-1.9%-107.3K970.0K-25.4K1.3779.20N/AN/A2112906731,063
2018-01-24$108.09$110.0026.8%7.7%19.4%55.3%27.9%5.8%-2.3%-68.3K1.2M-25.4K0.9375.66N/AN/A2362197261,035
2018-01-25$107.74$110.0025.9%7.4%19.3%50.9%27.6%4.4%-1.8%-63.3K1.2M-25.7K1.4086.14N/AN/A1542157351,042
2018-01-26$108.85$110.0027.6%7.9%19.8%59.3%28.0%5.2%-3.8%-50.3K825.8K-25.7K1.3680.17N/AN/A1582157531,046
2018-01-29$105.18$110.0032.0%9.2%22.8%81.5%32.0%3.0%-6.0%-110.0K2.1M-24.6K1.3183.55N/AN/A1822387561,046
2018-01-30$104.39$110.0031.8%9.1%22.8%80.5%33.0%2.5%-5.0%-120.2K2.7M-24.5K1.2179.18N/AN/A2052487811,081
2018-01-31$108.38$110.0028.8%8.3%27.0%65.4%34.0%5.4%-2.6%-40.0K663.3K-25.7K1.3190.06N/AN/A1862438221,124