COR Options History — May 2018

In May 2018, COR traded between $102.45 and $107.92. ATM implied volatility averaged 21.6%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.2% (HV 20d: 21.5%). Max pain ranged from $95.00 to $110.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2018-05-02: Highest Volume — 252 contracts
  • 2018-05-18: Largest IV spike — 11.8% change
  • 2018-05-03: Highest IV Rank — 24.2%
  • 2018-05-02: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.83$102.45$107.92$105.70$106.37
Max Pain$101.59$95.00$110.00$105.00$100.00
ATM IV21.6%19.6%23.5%22.1%22.4%
Expected Move6.2%5.6%6.7%6.3%6.4%
HV 20d21.5%18.6%24.2%24.2%19.4%
HV 60d25.5%22.9%28.8%28.8%23.1%
IV Rank18.3%12.0%24.2%19.9%20.7%
IV Percentile41.8%17.5%61.5%52.8%51.6%
Term Structure-0.4%-1.5%0.8%0.8%-1.5%
VWIV21.5%19.1%25.6%25.6%22.8%
Skew 25d3.5%1.6%5.1%5.1%3.5%
Skew 10d8.3%3.5%15.0%15.0%6.4%
Call IV 25d20.2%17.8%22.3%21.0%20.4%
Put IV 25d23.7%22.0%26.5%26.1%23.9%
Bid-Ask Spread %92.7683.62100.7792.64100.77
Gamma HHI0.250.160.500.220.30
Net GEX91.9K21.0K187.6K115.4K78.4K
Net DEX-523.8K-1.2M-1.3K-757.9K-757.4K
Net VEX-7.0K-8.5K-5.8K-8.3K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.711.000.930.91
Total Volume233.545213252251216
Total OI815.5695900832763

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$105.70$105.0022.1%6.3%24.2%19.9%25.6%5.1%0.8%115.4K-757.9K-8.3K0.9392.64N/AN/A130121505327
2018-05-02$104.57$105.0023.5%6.7%24.1%24.1%25.5%4.8%-1.2%99.0K-638.4K-8.5K0.92100.77N/AN/A131121509327
2018-05-03$103.74$110.0023.5%6.5%24.0%24.2%21.0%2.5%-0.6%88.5K-450.8K-8.3K0.8385.00N/AN/A132110519327
2018-05-04$104.66$110.0023.3%6.4%23.2%23.5%20.1%3.4%-1.2%101.2K-590.2K-8.4K0.8889.14N/AN/A125110517333
2018-05-07$104.48$110.0022.4%6.5%23.0%20.7%20.0%4.3%-1.5%105.4K-494.4K-7.9K0.8683.62N/AN/A128110524333
2018-05-08$103.15$110.0022.7%6.2%23.0%21.6%21.5%3.6%-0.3%70.3K-155.7K-7.2K0.8785.50N/AN/A127111528333
2018-05-09$104.28$110.0021.1%6.0%22.9%16.5%19.9%3.2%0.2%97.7K-431.1K-8.1K0.8788.74N/AN/A127110524336
2018-05-10$106.79$110.0021.4%6.1%21.4%17.7%21.3%3.2%-0.3%163.8K-1.1M-7.7K0.7790.35N/AN/A139107525336
2018-05-11$107.63$95.0019.6%5.6%20.4%12.0%20.2%3.0%0.0%171.7K-1.2M-7.5K0.8290.91N/AN/A130107520335
2018-05-14$106.64$95.0021.9%6.3%20.3%19.2%22.3%3.4%-0.3%168.4K-960.2K-7.0K0.9192.10N/AN/A128116538335
2018-05-15$105.34$95.0021.6%6.2%20.5%18.1%23.9%2.6%0.0%158.3K-651.0K-6.5K0.9893.43N/AN/A118116540336
2018-05-16$104.88$95.0021.5%6.2%20.1%17.8%22.1%3.7%-0.9%187.6K-595.2K-6.7K1.0089.38N/AN/A117117542336
2018-05-17$102.56$95.0019.8%5.7%21.6%12.4%21.8%2.4%0.8%44.0K-6.7K-6.1K0.8194.11N/AN/A133108545337
2018-05-18$102.49$95.0022.1%6.3%21.5%19.8%19.1%3.4%0.2%29.2K-144.4K-6.5K0.9092.91N/AN/A120108562338
2018-05-21$103.26$95.0021.0%6.0%21.7%16.4%21.1%3.9%-0.5%34.0K-130.3K-5.9K0.8890.50N/AN/A116102410285
2018-05-22$102.45$100.0021.6%6.2%21.6%18.2%21.8%1.6%0.2%21.0K-1.3K-5.8K0.8694.19N/AN/A119102422295
2018-05-23$103.32$100.0020.6%5.9%21.5%15.2%20.7%3.8%-0.8%32.9K-192.6K-6.4K0.8695.30N/AN/A118102426295
2018-05-24$104.54$100.0019.8%5.7%20.9%12.4%21.3%4.1%0.5%39.2K-221.1K-6.0K0.7195.97N/AN/A143102430295
2018-05-25$104.70$100.0020.6%5.9%18.6%15.0%20.7%3.1%-0.8%52.9K-411.7K-6.5K0.8896.24N/AN/A116102450295
2018-05-29$106.76$100.0022.8%6.5%19.1%22.1%21.2%2.6%-1.0%67.6K-659.4K-6.2K0.8198.34N/AN/A127103451295
2018-05-30$107.92$100.0020.4%5.8%19.0%14.3%20.2%4.9%-0.6%94.2K-984.9K-6.7K0.94100.75N/AN/A110103466296
2018-05-31$106.37$100.0022.4%6.4%19.4%20.7%22.8%3.5%-1.5%78.4K-757.4K-6.6K0.91100.77N/AN/A113103467296