COR Options History — June 2018

In June 2018, COR traded between $105.24 and $111.00. ATM implied volatility averaged 20.7%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.3% (HV 20d: 19.4%). Max pain ranged from $100.00 to $110.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2018-06-28: Highest Volume — 377 contracts
  • 2018-06-13: Largest IV drop — 26.2% change
  • 2018-06-12: Highest IV Rank — 34.9%
  • 2018-06-27: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.54$105.24$111.00$107.66$111.00
Max Pain$105.24$100.00$110.00$100.00$110.00
ATM IV20.7%18.1%26.9%18.4%20.8%
Expected Move5.7%5.2%6.1%5.3%6.0%
HV 20d19.4%17.6%21.2%19.5%18.4%
HV 60d21.7%20.5%23.0%23.0%20.5%
IV Rank15.1%6.4%34.9%8.0%15.3%
IV Percentile26.7%2.0%86.1%3.6%29.0%
Term Structure1.9%-0.2%3.5%-0.2%1.9%
VWIV21.8%19.4%26.9%20.6%23.2%
Skew 25d3.8%2.6%6.1%4.0%3.9%
Skew 10d9.1%3.9%14.8%8.7%14.8%
Call IV 25d18.5%17.3%20.8%18.5%17.9%
Put IV 25d22.2%20.6%24.7%22.6%21.9%
Bid-Ask Spread %92.4086.1499.4897.5895.84
Gamma HHI0.310.210.500.320.23
Net GEX109.0K61.0K159.4K87.7K124.0K
Net DEX-1.0M-1.3M-400.2K-875.5K-1.3M
Net VEX-6.9K-7.7K-6.0K-6.3K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.611.470.870.73
Total Volume275.762216377221319
Total OI833.714748872767862

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$107.66$100.0018.4%5.3%19.5%8.0%20.6%4.0%-0.2%87.7K-875.5K-6.3K0.8797.58N/AN/A118103470297
2018-06-04$108.44$105.0021.5%5.8%19.4%17.9%21.4%3.2%2.3%101.9K-1.0M-6.7K0.9190.92N/AN/A113103476297
2018-06-05$108.74$105.0020.2%5.8%19.4%13.8%20.6%3.3%0.6%106.9K-1.1M-6.5K0.6187.40N/AN/A169103478297
2018-06-06$106.86$105.0023.3%6.0%19.9%23.7%21.6%2.6%1.4%125.2K-915.7K-6.7K0.8091.13N/AN/A176141530297
2018-06-07$107.58$105.0022.0%5.4%19.7%19.4%19.6%4.3%0.0%141.3K-1.0M-7.5K0.7691.20N/AN/A169128545324
2018-06-08$107.49$105.0020.2%5.9%17.9%13.8%19.4%3.7%1.9%148.8K-1.1M-7.0K0.9888.92N/AN/A128125541326
2018-06-11$107.10$105.0025.2%5.9%17.7%29.6%22.1%3.2%1.3%138.7K-904.9K-6.6K1.0686.14N/AN/A120127544324
2018-06-12$108.02$105.0026.9%5.3%17.6%34.9%20.4%3.8%1.6%159.4K-1.0M-6.6K1.0690.37N/AN/A120127546326
2018-06-13$105.24$105.0019.8%5.7%19.5%12.6%23.6%4.2%1.1%75.9K-400.2K-6.0K1.1393.27N/AN/A112127546325
2018-06-14$107.75$105.0018.4%5.3%21.2%8.0%21.8%4.1%3.5%147.3K-969.6K-6.3K1.2091.47N/AN/A106127542326
2018-06-15$108.45$105.0018.1%5.2%19.3%6.4%21.3%4.4%3.0%62.0K-1.0M-6.3K1.0587.99N/AN/A121127543326
2018-06-18$108.68$105.0019.6%5.6%19.2%11.2%21.6%4.0%2.1%68.0K-814.3K-6.4K1.4792.25N/AN/A91134436312
2018-06-19$107.91$105.0018.9%5.4%19.5%9.2%22.2%3.8%3.4%61.0K-707.6K-6.4K1.3490.80N/AN/A103138441322
2018-06-20$110.00$105.0018.9%5.4%20.0%9.0%20.6%3.3%2.8%88.1K-1.0M-6.5K0.9091.07N/AN/A153138468317
2018-06-21$110.34$105.0019.8%5.7%19.9%12.0%20.6%2.7%2.6%115.0K-1.3M-7.6K0.7897.17N/AN/A179139529317
2018-06-22$109.24$105.0019.7%5.6%20.2%11.5%22.4%3.0%1.9%99.3K-1.1M-7.7K0.8296.71N/AN/A171140534318
2018-06-25$108.30$105.0020.8%6.0%20.5%15.1%26.9%3.8%1.7%90.6K-944.5K-7.5K0.7793.05N/AN/A171131536320
2018-06-26$109.29$105.0020.1%5.8%19.6%13.0%26.0%3.2%2.4%101.8K-1.1M-7.3K0.8090.85N/AN/A166133536320
2018-06-27$110.41$105.0021.1%6.1%19.6%16.3%21.9%6.1%1.3%121.7K-1.3M-7.5K0.7199.48N/AN/A186132543315
2018-06-28$110.87$110.0020.9%6.0%18.7%15.6%19.8%4.1%2.2%124.3K-1.2M-7.6K0.6296.72N/AN/A233144518338
2018-06-29$111.00$110.0020.8%6.0%18.4%15.3%23.2%3.9%1.9%124.0K-1.3M-7.7K0.7395.84N/AN/A184135520342