COR Options History — April 2018

In April 2018, COR traded between $99.94 and $106.16. ATM implied volatility averaged 25.6%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 0.3% (HV 20d: 25.3%). Max pain ranged from $95.00 to $110.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2018-04-16: Highest Volume — 457 contracts
  • 2018-04-10: Largest IV spike — 25.5% change
  • 2018-04-10: Highest IV Rank — 42.0%
  • 2018-04-06: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.63$99.94$106.16$99.94$104.48
Max Pain$100.00$95.00$110.00$110.00$105.00
ATM IV25.6%21.8%29.1%28.8%21.8%
Expected Move7.4%6.2%8.5%8.3%6.3%
HV 20d25.3%22.0%27.7%27.7%24.5%
HV 60d30.1%28.7%30.6%29.9%28.7%
IV Rank30.7%18.8%42.0%41.0%19.0%
IV Percentile76.1%48.8%94.0%94.0%49.6%
Term Structure-1.7%-5.3%3.6%0.3%0.0%
VWIV27.3%24.0%29.3%29.3%25.9%
Skew 25d5.0%1.8%11.5%7.2%6.1%
Skew 10d11.9%4.1%20.1%18.2%13.9%
Call IV 25d23.8%20.3%26.1%23.3%20.3%
Put IV 25d28.8%24.9%32.5%30.6%26.5%
Bid-Ask Spread %87.5880.10103.6790.3685.16
Gamma HHI0.310.170.680.260.20
Net GEX-137.7K-305.7K110.4K-227.8K96.3K
Net DEX1.0M-828.0K3.8M3.8M-569.8K
Net VEX-10.7K-14.3K-8.3K-14.0K-8.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.731.421.170.96
Total Volume351.095245457367247
Total OI1,592.0487492,0021,883831

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$99.94$110.0028.8%8.3%27.7%41.0%29.3%7.2%0.3%-227.8K3.8M-14.0K1.1790.36N/AN/A1691987211,162
2018-04-03$101.62$110.0027.9%8.0%26.1%38.2%27.1%11.5%0.6%-242.2K2.9M-14.3K1.1795.98N/AN/A1691987201,160
2018-04-04$103.14$110.0024.4%7.0%26.2%27.1%26.3%3.6%3.6%-246.9K2.3M-13.6K1.2298.57N/AN/A1611977201,160
2018-04-05$104.20$95.0024.1%7.8%25.9%26.2%28.0%5.0%-2.3%-240.7K1.7M-13.3K1.1980.45N/AN/A1651977201,161
2018-04-06$102.31$95.0026.5%8.5%27.0%33.7%27.4%5.6%-5.3%-240.6K2.1M-13.5K1.1881.56N/AN/A1651957261,161
2018-04-09$103.25$95.0023.2%7.7%26.7%23.3%28.3%5.4%-1.9%-256.1K2.0M-12.6K1.1080.10N/AN/A1812007271,161
2018-04-10$101.89$95.0029.1%8.0%23.9%42.0%28.2%5.0%-2.0%-249.8K2.8M-12.1K0.9780.43N/AN/A2041977431,162
2018-04-11$103.19$95.0026.1%7.5%23.4%32.4%28.3%6.1%-2.2%-258.5K2.1M-11.8K0.9585.89N/AN/A2021917561,168
2018-04-12$100.20$95.0027.9%8.0%25.5%38.2%28.1%4.8%-1.0%-266.7K3.6M-10.9K1.0780.39N/AN/A2162317471,163
2018-04-13$102.36$95.0027.9%8.0%26.5%38.2%27.7%4.2%-1.8%-253.9K2.1M-10.1K1.2286.05N/AN/A1872297601,105
2018-04-16$103.87$95.0026.3%7.5%26.8%33.1%26.9%6.0%-3.6%-305.7K1.3M-8.8K0.7384.59N/AN/A2641937621,105
2018-04-17$104.98$95.0025.3%7.3%26.9%30.0%26.3%5.3%-2.9%-175.9K-106.4K-9.2K0.9087.03N/AN/A2061858241,095
2018-04-18$106.16$95.0025.9%7.4%26.9%31.9%27.5%5.0%-5.2%-79.3K-665.0K-9.6K1.0085.08N/AN/A1851858641,104
2018-04-19$105.80$95.0025.6%7.3%26.7%30.9%27.0%4.0%-2.6%-101.3K-499.8K-9.0K1.0889.21N/AN/A2002168591,102
2018-04-20$105.18$100.0024.8%7.1%26.7%28.4%27.2%3.6%-1.5%-281.9K-154.8K-8.8K1.4085.21N/AN/A1562188781,124
2018-04-23$105.12$100.0025.4%7.3%22.2%30.2%27.8%3.7%-3.6%94.7K-803.5K-8.8K1.2087.51N/AN/A120144459290
2018-04-24$104.09$105.0025.6%7.3%22.0%30.9%28.0%4.3%-1.4%77.3K-561.5K-8.8K1.4287.65N/AN/A102145475320
2018-04-25$105.17$105.0025.5%7.3%22.2%30.6%27.8%2.8%-0.8%92.7K-828.0K-9.2K0.9789.90N/AN/A132128475320
2018-04-26$103.26$105.0022.6%6.5%23.1%21.3%25.2%1.8%-3.3%63.6K-381.3K-9.5K1.07103.67N/AN/A121129494328
2018-04-27$106.03$105.0021.8%6.2%23.8%18.8%24.0%3.8%1.0%110.4K-798.9K-8.8K0.9894.44N/AN/A124121493328
2018-04-30$104.48$105.0021.8%6.3%24.5%19.0%25.9%6.1%0.0%96.3K-569.8K-8.3K0.9685.16N/AN/A126121503328