COR Options History — September 2018

In September 2018, COR traded between $107.88 and $117.18. ATM implied volatility averaged 18.8%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.5% (HV 20d: 17.3%). Max pain ranged from $110.00 to $120.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.19.

Notable Days

  • 2018-09-24: Highest Volume — 1,095 contracts
  • 2018-09-17: Largest IV spike — 19.9% change
  • 2018-09-24: Highest IV Rank — 13.4%
  • 2018-09-24: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$113.77$107.88$117.18$114.91$110.55
Max Pain$111.05$110.00$120.00$120.00$110.00
ATM IV18.8%16.7%20.8%19.3%18.4%
Expected Move5.4%4.8%6.0%5.5%5.3%
HV 20d17.3%10.5%30.1%12.0%30.1%
HV 60d15.4%13.1%20.2%14.8%19.9%
IV Rank6.7%0.0%13.4%7.8%5.5%
IV Percentile13.5%0.0%35.7%13.5%8.7%
Term Structure1.5%-1.3%3.6%-1.3%3.6%
VWIV19.2%16.9%23.9%17.5%18.8%
Skew 25d2.6%-0.1%5.4%-0.1%2.1%
Skew 10d8.2%3.4%24.2%15.3%9.9%
Call IV 25d18.3%15.6%21.4%19.0%18.1%
Put IV 25d20.9%17.2%25.7%18.9%20.3%
Bid-Ask Spread %82.3047.3799.5899.4084.84
Gamma HHI0.360.270.460.420.30
Net GEX410.0K175.4K571.4K356.0K381.9K
Net DEX-3.4M-5.7M1.0M-4.1M-939.5K
Net VEX-18.7K-27.9K-10.7K-19.5K-27.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.302.740.551.76
Total Volume510.4742321,095335729
Total OI1,622.9471,3132,0881,4562,088

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$114.91$120.0019.3%5.5%12.0%7.8%17.5%-0.1%-1.3%356.0K-4.1M-19.5K0.5599.40N/AN/A2161191,077379
2018-09-05$115.51$120.0017.2%4.9%12.1%1.1%17.9%1.8%1.3%383.1K-4.4M-18.1K0.6899.58N/AN/A2161461,077379
2018-09-06$115.54$110.0018.6%5.6%12.1%5.8%20.7%2.0%1.2%392.1K-4.5M-18.1K0.6891.73N/AN/A2151461,075406
2018-09-07$114.08$110.0017.5%5.1%13.0%2.0%18.5%2.4%2.4%351.5K-3.4M-17.6K0.6876.34N/AN/A2151461,073406
2018-09-10$114.93$110.0018.4%5.4%10.5%5.1%19.5%2.4%1.2%392.5K-4.0M-16.4K0.6553.22N/AN/A2241461,074406
2018-09-11$114.39$110.0018.4%5.4%10.5%4.9%19.1%2.0%1.2%406.5K-3.8M-16.5K0.6277.47N/AN/A2361461,084406
2018-09-12$114.30$110.0018.6%5.3%10.5%5.5%17.4%2.1%2.8%377.5K-3.6M-16.2K0.6273.54N/AN/A2361461,089406
2018-09-13$117.18$110.0019.8%5.7%13.6%9.5%18.5%3.5%1.8%478.8K-5.7M-16.7K1.5581.57N/AN/A941461,090406
2018-09-14$116.81$110.0016.7%4.8%13.5%0.0%16.9%1.6%3.3%565.3K-5.5M-15.5K1.4988.98N/AN/A971451,113406
2018-09-17$115.98$110.0020.0%5.7%13.5%10.8%19.3%2.3%0.8%489.0K-5.0M-15.5K1.6789.00N/AN/A871451,115405
2018-09-18$116.42$110.0018.2%5.2%13.5%4.9%17.6%2.5%1.3%559.6K-5.1M-14.4K0.4347.37N/AN/A3391451,116405
2018-09-19$114.42$110.0018.7%5.4%14.8%6.5%18.4%2.5%1.4%557.7K-4.7M-19.3K0.3088.28N/AN/A4881451,346405
2018-09-20$115.81$110.0018.4%5.3%15.2%5.7%18.1%2.8%1.4%545.5K-5.2M-17.7K0.6188.61N/AN/A2381451,188405
2018-09-21$115.83$110.0018.7%5.4%15.2%6.5%17.9%3.5%0.4%571.4K-5.4M-17.6K0.6687.37N/AN/A2201451,189406
2018-09-24$107.88$110.0020.8%6.0%29.5%13.4%23.9%3.0%0.4%348.9K-1.6M-10.7K2.4579.89N/AN/A3177781,139174
2018-09-25$108.88$110.0020.1%5.8%29.8%11.1%22.6%4.1%2.4%175.4K1.0M-25.8K2.6787.40N/AN/A2717241,173828
2018-09-26$108.94$110.0020.3%5.8%29.7%11.9%21.9%5.4%2.1%189.0K906.8K-25.4K2.7488.80N/AN/A2767551,185834
2018-09-27$109.29$110.0019.9%5.7%29.7%10.3%20.4%3.1%1.7%269.2K185.9K-27.0K1.7480.30N/AN/A2624551,216867
2018-09-28$110.55$110.0018.4%5.3%30.1%5.5%18.8%2.1%3.6%381.9K-939.5K-27.9K1.7684.84N/AN/A2644651,221867