COR Options History — February 2018

In February 2018, COR traded between $91.39 and $104.87. ATM implied volatility averaged 30.2%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 2.8% (HV 20d: 33.1%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.12.

Notable Days

  • 2018-02-28: Highest Volume — 502 contracts
  • 2018-02-07: Largest IV drop — 30.9% change
  • 2018-02-05: Highest IV Rank — 100.0%
  • 2018-02-09: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.71$91.39$104.87$104.87$93.92
Max Pain$98.95$95.00$105.00$105.00$95.00
ATM IV30.2%25.7%47.5%30.4%26.1%
Expected Move8.2%7.4%10.3%7.8%7.5%
HV 20d33.1%28.2%38.7%29.0%37.0%
HV 60d28.3%26.2%30.6%27.0%29.5%
IV Rank50.4%31.3%100.0%73.8%32.4%
IV Percentile93.9%86.1%100.0%97.6%87.3%
Term Structure-1.1%-4.8%1.3%-1.7%-0.4%
VWIV29.1%24.5%38.6%27.7%26.4%
Skew 25d5.2%2.4%12.7%2.8%4.7%
Skew 10d12.1%2.5%21.5%7.8%11.5%
Call IV 25d27.3%22.0%37.4%26.8%24.8%
Put IV 25d32.5%28.5%44.7%29.7%29.5%
Bid-Ask Spread %88.6976.7897.5078.1196.72
Gamma HHI0.240.190.310.200.22
Net GEX-170.3K-266.5K-99.4K-101.5K-99.4K
Net DEX5.2M2.2M6.7M2.2M5.6M
Net VEX-19.4K-25.4K-13.1K-25.4K-15.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.512.070.961.99
Total Volume367.211250502363502
Total OI2,071.4211,6982,3711,9492,020

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$104.87$105.0030.4%7.8%29.0%73.8%27.7%2.8%-1.7%-101.5K2.2M-25.4K0.9678.11N/AN/A1851788261,123
2018-02-02$104.57$105.0032.2%7.4%28.8%82.7%26.7%3.9%-0.3%-118.7K2.8M-24.4K1.0276.78N/AN/A1821858301,141
2018-02-05$102.64$105.0036.4%8.8%29.3%100.0%30.6%4.0%-3.8%-120.6K3.1M-23.9K1.5181.74N/AN/A1201818621,147
2018-02-06$101.92$105.0047.5%10.2%28.2%100.0%36.3%6.2%-4.8%-128.0K3.9M-23.9K1.3191.43N/AN/A1722258781,150
2018-02-07$102.82$100.0032.8%9.4%28.6%53.6%38.6%2.4%-1.1%-114.8K3.4M-25.2K1.0895.46N/AN/A1591729181,248
2018-02-08$96.75$100.0033.2%9.5%34.1%55.0%30.1%6.5%-3.0%-204.7K5.7M-21.1K1.2191.75N/AN/A1641989231,263
2018-02-09$97.23$100.0036.0%10.3%34.3%63.8%35.2%12.7%-2.5%-201.4K6.2M-20.6K0.9891.84N/AN/A2142099241,260
2018-02-12$97.53$100.0029.7%8.5%33.3%43.8%30.4%5.6%-2.2%-218.6K5.8M-21.3K0.7086.42N/AN/A2461719771,282
2018-02-13$98.54$100.0027.7%7.9%32.9%37.6%29.3%5.5%-1.6%-266.5K6.2M-19.0K0.7583.44N/AN/A2121601,0011,325
2018-02-14$98.13$100.0026.0%7.5%32.9%32.2%27.8%4.4%0.1%-263.1K6.2M-18.6K1.0487.74N/AN/A1341401,0111,321
2018-02-15$97.03$100.0027.9%8.0%32.7%38.3%28.1%4.2%-0.5%-261.4K6.4M-17.7K1.2085.39N/AN/A1581891,0131,297
2018-02-16$96.37$95.0027.4%7.9%32.7%36.6%27.2%7.3%-1.0%-167.2K6.3M-17.7K1.2788.86N/AN/A1572001,0441,327
2018-02-20$94.82$95.0026.6%7.6%32.9%34.1%28.5%5.1%1.3%-171.1K5.6M-15.5K0.9487.39N/AN/A1291216441,054
2018-02-21$91.39$95.0027.6%7.9%33.6%37.2%28.6%2.4%0.0%-170.8K6.1M-16.0K0.7891.29N/AN/A1661296561,098
2018-02-22$91.83$95.0028.3%8.1%33.9%39.5%25.1%5.7%-0.7%-171.9K6.7M-13.1K0.8892.05N/AN/A1621426741,134
2018-02-23$95.98$95.0025.7%7.4%38.7%31.3%24.5%4.4%0.6%-180.4K5.4M-17.4K0.5190.46N/AN/A3001537201,145
2018-02-26$95.85$95.0026.5%7.6%38.2%33.7%25.3%3.5%-0.1%-134.6K5.3M-17.1K1.1090.70N/AN/A1751928191,201
2018-02-27$94.24$95.0025.8%7.4%37.0%31.5%25.8%6.8%0.0%-140.9K5.9M-15.9K2.0797.50N/AN/A1613348541,247
2018-02-28$93.92$95.0026.1%7.5%37.0%32.4%26.4%4.7%-0.4%-99.4K5.6M-15.2K1.9996.72N/AN/A1683348431,177