COR Options History — March 2018

In March 2018, COR traded between $92.46 and $106.32. ATM implied volatility averaged 25.6%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 5.1% (HV 20d: 30.7%). Max pain ranged from $95.00 to $110.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.40.

Notable Days

  • 2018-03-14: Highest Volume — 571 contracts
  • 2018-03-23: Largest IV spike — 18.4% change
  • 2018-03-02: Highest IV Rank — 45.5%
  • 2018-03-02: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.31$92.46$106.32$92.68$100.18
Max Pain$108.57$95.00$110.00$95.00$110.00
ATM IV25.6%22.0%30.2%27.3%26.6%
Expected Move7.2%6.5%8.7%7.8%7.6%
HV 20d30.7%27.1%35.3%33.5%27.7%
HV 60d28.9%27.7%30.0%29.4%30.0%
IV Rank31.0%19.6%45.5%36.4%33.9%
IV Percentile80.0%59.9%95.6%90.9%86.1%
Term Structure1.1%-1.5%3.6%-0.1%0.5%
VWIV27.6%22.7%43.2%29.3%31.4%
Skew 25d5.1%2.9%8.2%4.8%4.2%
Skew 10d12.4%6.6%17.7%12.2%6.6%
Call IV 25d23.5%19.5%27.6%25.9%24.8%
Put IV 25d28.6%23.4%32.5%30.7%29.1%
Bid-Ask Spread %85.8581.1398.2596.4588.66
Gamma HHI0.240.170.460.230.26
Net GEX-146.4K-235.1K247.2K-110.7K-226.7K
Net DEX3.3M-2.2M6.4M6.1M3.5M
Net VEX-15.6K-18.4K-12.4K-13.5K-14.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.661.931.631.14
Total Volume380.571296571413364
Total OI1,985.9051,8192,2722,0361,877

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$92.68$95.0027.3%7.8%33.5%36.4%29.3%4.8%-0.1%-110.7K6.1M-13.5K1.6396.45N/AN/A1572568431,193
2018-03-02$92.46$95.0030.2%8.7%32.2%45.5%28.2%2.9%-1.1%-123.5K6.4M-12.4K1.4998.25N/AN/A1662488261,196
2018-03-05$95.47$110.0028.3%7.6%34.9%39.4%25.3%5.3%1.0%-124.7K5.3M-15.1K1.2684.74N/AN/A1952458001,203
2018-03-06$95.00$110.0027.8%7.7%34.5%38.0%27.2%3.9%-0.4%-129.4K5.3M-13.9K1.7083.89N/AN/A1462487971,204
2018-03-07$96.64$110.0029.5%7.6%35.3%43.1%26.6%6.1%2.2%-118.8K5.1M-14.4K1.9382.85N/AN/A1492877971,207
2018-03-08$96.67$110.0025.1%7.4%35.1%29.2%26.4%8.2%-0.1%-144.3K5.4M-13.8K1.6682.61N/AN/A1712838071,238
2018-03-09$98.21$110.0026.7%6.5%28.2%34.2%24.8%5.1%-1.5%-116.1K4.6M-15.3K1.6492.22N/AN/A1682758131,239
2018-03-12$101.92$110.0022.0%6.7%31.0%19.6%22.7%4.0%1.7%-82.4K2.2M-17.1K1.1287.39N/AN/A2162428131,289
2018-03-13$103.81$110.0024.8%6.7%31.5%28.3%26.3%3.8%1.4%-99.6K999.9K-17.8K1.5683.59N/AN/A1492338181,281
2018-03-14$104.19$110.0024.0%6.9%31.4%25.9%25.5%5.0%0.8%-98.6K973.6K-18.1K0.6683.84N/AN/A3442278211,280
2018-03-15$105.22$110.0023.9%6.9%31.4%25.6%25.8%5.8%0.9%247.2K-601.7K-18.4K1.0585.15N/AN/A1621701,0101,254
2018-03-16$106.32$110.0023.8%6.8%31.0%25.1%25.7%4.9%2.2%-193.1K-2.2M-18.1K1.2681.51N/AN/A1471851,0161,256
2018-03-19$105.24$110.0023.0%6.6%31.2%22.6%26.1%6.9%1.8%-196.0K2.0M-17.3K1.8781.78N/AN/A1031936701,158
2018-03-20$104.11$110.0022.7%6.5%30.7%21.6%25.0%4.7%2.6%-207.4K2.3M-16.2K1.8581.13N/AN/A1051946701,149
2018-03-21$103.20$110.0023.2%6.7%27.1%23.3%25.5%4.2%1.9%-227.9K2.8M-16.0K1.6284.78N/AN/A1161886681,169
2018-03-22$102.84$110.0022.9%6.6%27.3%22.5%26.5%6.2%3.6%-232.0K3.0M-16.2K1.7485.95N/AN/A1152006661,180
2018-03-23$98.93$110.0027.2%7.8%27.7%35.8%30.7%5.8%1.3%-211.0K4.6M-14.4K1.2583.92N/AN/A1431796671,179
2018-03-26$100.65$110.0026.3%7.5%28.2%33.0%28.4%4.2%0.9%-235.1K4.1M-14.7K1.2381.85N/AN/A1451796921,179
2018-03-27$100.80$110.0026.1%7.5%27.3%32.6%43.2%4.0%2.0%-222.2K4.0M-14.9K0.9085.96N/AN/A1851677081,177
2018-03-28$101.94$110.0026.8%7.7%27.3%34.6%29.8%7.1%0.7%-221.8K3.1M-15.7K0.9486.24N/AN/A1791687171,177
2018-03-29$100.18$110.0026.6%7.6%27.7%33.9%31.4%4.2%0.5%-226.7K3.5M-14.8K1.1488.66N/AN/A1701947181,159