COR Options History — July 2018

In July 2018, COR traded between $110.70 and $114.82. ATM implied volatility averaged 21.2%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 6.1% (HV 20d: 15.1%). Max pain ranged from $105.00 to $115.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2018-07-17: Highest Volume — 822 contracts
  • 2018-07-26: Largest IV drop — 16.8% change
  • 2018-07-24: Highest IV Rank — 25.3%
  • 2018-07-24: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.92$110.70$114.82$110.70$112.20
Max Pain$109.76$105.00$115.00$110.00$115.00
ATM IV21.2%18.3%24.0%20.9%21.8%
Expected Move6.2%5.4%6.9%6.0%6.3%
HV 20d15.1%12.2%18.6%18.3%15.0%
HV 60d18.4%17.0%20.1%20.1%17.4%
IV Rank16.4%7.3%25.3%15.4%18.5%
IV Percentile35.9%2.0%65.9%29.8%49.6%
Term Structure-1.5%-8.7%3.5%2.1%-2.9%
VWIV22.3%20.3%24.4%21.8%20.3%
Skew 25d3.9%1.8%11.4%4.6%11.4%
Skew 10d8.5%2.1%30.2%5.3%30.2%
Call IV 25d20.5%18.1%22.7%18.1%18.9%
Put IV 25d24.5%21.6%30.3%22.7%30.3%
Bid-Ask Spread %88.3077.87100.3197.89100.31
Gamma HHI0.320.230.440.230.39
Net GEX281.3K120.0K430.5K120.0K304.8K
Net DEX-3.3M-4.8M-1.4M-1.4M-3.4M
Net VEX-14.5K-21.7K-7.5K-7.5K-20.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.200.850.770.63
Total Volume522.524299822331562
Total OI1,125.1438631,4588631,285

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$110.70$110.0020.9%6.0%18.3%15.4%21.8%4.6%2.1%120.0K-1.4M-7.5K0.7797.89N/AN/A187144521342
2018-07-03$110.88$110.0019.9%5.7%18.3%12.3%23.1%3.5%3.5%121.8K-1.4M-7.8K0.7598.99N/AN/A192144521343
2018-07-05$113.09$105.0019.1%6.4%18.1%9.7%22.8%3.9%-1.5%152.0K-1.9M-7.9K0.6889.78N/AN/A205139526343
2018-07-06$114.06$105.0018.3%6.2%18.1%7.3%22.0%2.4%-0.2%183.4K-2.3M-7.8K0.6383.01N/AN/A216135545343
2018-07-09$112.99$105.0020.1%6.2%18.6%12.9%23.2%2.2%-1.5%170.5K-2.0M-7.5K0.8581.65N/AN/A162137543344
2018-07-10$113.77$110.0020.6%6.3%18.5%14.6%22.0%3.5%-1.1%188.1K-2.2M-7.7K0.4781.31N/AN/A294137552346
2018-07-11$113.76$110.0021.9%6.3%18.4%18.6%21.5%3.2%-0.5%216.5K-2.4M-9.6K0.4779.24N/AN/A294137702346
2018-07-12$113.54$110.0021.7%6.2%15.2%17.9%22.3%3.4%-1.7%227.4K-2.5M-10.3K0.2581.02N/AN/A554137702346
2018-07-13$113.67$110.0021.1%6.0%13.3%16.0%22.7%1.8%-0.8%353.9K-4.1M-17.2K0.2389.37N/AN/A599137981346
2018-07-16$113.04$110.0021.5%6.2%13.5%17.3%22.0%3.8%-2.4%402.6K-4.6M-18.6K0.2077.87N/AN/A6811361,106346
2018-07-17$113.55$110.0021.9%6.3%13.5%18.7%22.7%4.3%-2.6%430.5K-4.5M-18.2K0.2080.40N/AN/A6861361,107346
2018-07-18$112.29$110.0023.6%6.8%14.0%24.0%23.3%3.9%-2.6%391.3K-4.3M-17.6K0.2090.00N/AN/A6811361,107346
2018-07-19$113.50$110.0021.7%6.2%12.9%17.9%21.8%2.8%-1.7%409.3K-4.8M-18.1K0.3478.74N/AN/A4131391,107346
2018-07-20$113.03$110.0021.6%6.2%13.0%17.8%22.0%4.4%-2.3%317.1K-4.5M-17.6K0.3583.98N/AN/A3961391,112346
2018-07-23$111.79$110.0023.5%6.7%13.1%23.8%22.7%4.5%-3.5%312.6K-3.3M-16.9K0.2685.35N/AN/A35491861117
2018-07-24$111.81$110.0024.0%6.9%12.6%25.3%23.7%3.3%-8.7%300.9K-3.2M-17.0K0.2784.82N/AN/A34792877121
2018-07-25$112.80$110.0022.7%6.5%12.6%21.2%24.4%3.7%-4.1%313.6K-3.8M-18.4K0.2794.06N/AN/A33692887122
2018-07-26$112.91$110.0018.9%5.4%12.2%9.0%22.0%5.8%0.8%335.9K-3.6M-16.9K0.45100.17N/AN/A349156897122
2018-07-27$114.82$110.0019.9%5.7%13.3%12.3%21.2%3.5%-0.9%335.5K-4.3M-19.1K0.6497.72N/AN/A337214905189
2018-07-30$113.04$115.0020.5%5.9%14.7%14.1%21.7%3.2%0.4%320.0K-3.8M-21.7K0.6498.70N/AN/A3362141,033251
2018-07-31$112.20$115.0021.8%6.3%15.0%18.5%20.3%11.4%-2.9%304.8K-3.4M-20.6K0.63100.31N/AN/A3452171,034251