COR Options History — October 2018

In October 2018, COR traded between $90.33 and $109.78. ATM implied volatility averaged 27.2%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 4.2% (HV 20d: 31.5%). Max pain ranged from $100.00 to $110.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.73.

Notable Days

  • 2018-10-30: Highest Volume — 1,160 contracts
  • 2018-10-26: Largest IV spike — 23.6% change
  • 2018-10-29: Highest IV Rank — 70.8%
  • 2018-10-29: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.49$90.33$109.78$109.78$93.96
Max Pain$101.30$100.00$110.00$110.00$100.00
ATM IV27.2%20.2%38.5%20.4%32.5%
Expected Move7.9%5.8%11.0%5.8%9.3%
HV 20d31.5%22.1%42.0%30.0%42.0%
HV 60d23.0%19.8%30.4%19.9%30.4%
IV Rank34.3%11.3%70.8%11.9%51.4%
IV Percentile77.4%27.8%99.6%29.0%96.8%
Term Structure-3.3%-10.5%2.2%1.7%-4.5%
VWIV28.1%21.9%39.4%21.9%39.4%
Skew 25d3.5%-2.8%9.2%3.9%9.2%
Skew 10d7.8%-10.3%22.5%17.3%11.2%
Call IV 25d26.9%19.2%43.7%19.7%30.3%
Put IV 25d30.4%21.7%40.9%23.6%39.5%
Bid-Ask Spread %86.3177.7997.0779.2285.06
Gamma HHI0.310.240.560.290.37
Net GEX-60.0K-268.6K300.5K300.5K-268.6K
Net DEX3.2M-344.1K7.1M-344.1K5.7M
Net VEX-18.3K-26.9K-11.1K-26.9K-13.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.655.751.935.75
Total Volume722.7832661,160686878
Total OI1,901.7399872,2252,1142,052

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-10-01$109.78$110.0020.4%5.8%30.0%11.9%21.9%3.9%1.7%300.5K-344.1K-26.9K1.9379.22N/AN/A2344521,222892
2018-10-02$109.09$110.0020.2%5.8%29.7%11.3%23.6%2.5%2.2%244.9K573.6K-25.8K2.0078.60N/AN/A2294581,223892
2018-10-03$108.36$110.0020.5%5.9%29.6%12.5%24.2%1.6%1.4%190.3K1.1M-24.3K1.9288.74N/AN/A2334471,222877
2018-10-04$105.52$100.0023.0%6.8%30.7%20.6%24.0%3.4%-2.2%28.4K2.6M-22.1K1.7983.91N/AN/A2424331,228877
2018-10-05$105.31$100.0022.3%6.8%30.5%18.1%24.2%2.6%-1.9%10.6K2.6M-21.3K1.7977.79N/AN/A2424331,239878
2018-10-08$106.18$100.0023.9%7.0%30.6%23.3%24.4%3.8%-2.8%49.2K2.3M-21.6K1.4379.10N/AN/A2473521,239888
2018-10-09$105.49$100.0022.3%7.1%30.6%18.1%25.1%4.0%-2.9%-9.5K2.8M-21.0K1.4485.57N/AN/A2453531,249888
2018-10-10$104.86$100.0025.6%7.3%30.6%29.0%26.3%3.5%-3.2%-29.0K2.9M-20.6K1.1780.46N/AN/A3033531,244893
2018-10-11$100.68$100.0027.9%8.0%31.1%36.3%25.4%2.9%-2.2%-121.4K4.3M-17.1K1.2086.76N/AN/A3013621,298892
2018-10-12$100.41$100.0028.4%8.2%31.1%38.2%26.6%6.5%-4.3%-138.4K4.5M-17.1K1.1790.66N/AN/A3013531,292899
2018-10-15$100.97$100.0028.5%8.2%31.5%38.3%24.4%4.3%-4.5%-154.7K4.5M-16.7K2.3684.20N/AN/A1493521,292900
2018-10-16$103.80$100.0026.0%7.4%33.6%30.2%25.6%5.9%-3.9%-137.9K3.6M-19.0K2.3181.18N/AN/A1533541,295895
2018-10-17$104.40$100.0026.0%7.5%33.6%30.3%26.4%1.8%-3.7%-148.0K3.4M-18.6K0.6592.33N/AN/A1871221,294894
2018-10-18$104.25$100.0026.3%7.5%33.0%31.3%26.2%3.1%-3.5%-139.8K3.3M-19.4K0.8682.13N/AN/A1431231,331894
2018-10-19$105.14$100.0027.0%7.7%33.3%33.6%27.1%3.9%-3.3%-128.2K2.8M-19.5K1.4080.91N/AN/A3895441,295891
2018-10-22$104.14$100.0029.1%8.4%22.5%40.4%29.5%3.9%-6.2%-101.5K2.0M-15.1K1.3591.87N/AN/A361489405582
2018-10-23$104.02$100.0030.2%8.7%22.1%43.9%30.0%4.3%-5.0%-85.5K2.1M-14.7K1.3789.48N/AN/A360492427582
2018-10-24$105.36$100.0032.4%9.3%22.7%51.1%32.3%7.6%-6.3%-72.0K1.6M-16.1K1.0195.20N/AN/A364369427586
2018-10-25$101.01$100.0027.0%7.7%26.8%33.5%29.6%3.4%0.8%-96.7K2.8M-13.3K1.8490.21N/AN/A380700452589
2018-10-26$92.72$100.0033.4%9.6%38.8%54.2%33.6%1.9%-7.2%-161.6K5.2M-14.3K2.0297.07N/AN/A372753756924
2018-10-29$90.33$100.0038.5%11.0%39.3%70.8%38.4%-2.8%-10.5%-229.2K7.1M-11.5K1.1490.81N/AN/A4004577551,135
2018-10-30$91.60$100.0035.3%10.1%40.2%60.6%39.2%-0.3%-4.9%-181.3K6.1M-11.1K1.8793.80N/AN/A404756760995
2018-10-31$93.96$100.0032.5%9.3%42.0%51.4%39.4%9.2%-4.5%-268.6K5.7M-13.5K5.7585.06N/AN/A1307487581,294