COR Options History — November 2018

In November 2018, COR traded between $91.98 and $97.85. ATM implied volatility averaged 31.1%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 4.0% (HV 20d: 35.0%). Max pain ranged from $90.00 to $100.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 4.58.

Notable Days

  • 2018-11-12: Highest Volume — 1,110 contracts
  • 2018-11-12: Largest IV spike — 88.1% change
  • 2018-11-12: Highest IV Rank — 100.0%
  • 2018-11-01: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.26$91.98$97.85$94.91$96.91
Max Pain$90.95$90.00$100.00$100.00$90.00
ATM IV31.1%26.4%57.8%32.0%26.8%
Expected Move7.9%7.5%9.2%9.2%7.7%
HV 20d35.0%17.7%42.4%41.8%17.7%
HV 60d30.7%30.3%31.4%30.5%31.4%
IV Rank39.2%23.5%100.0%49.9%24.6%
IV Percentile85.3%71.0%100.0%95.6%74.6%
Term Structure-1.7%-4.7%-0.7%-4.7%-2.0%
VWIV29.7%26.7%41.5%41.5%26.8%
Skew 25d4.4%2.1%6.5%6.2%4.3%
Skew 10d9.3%-1.0%22.1%15.2%7.6%
Call IV 25d26.4%23.1%31.5%31.5%25.1%
Put IV 25d30.8%27.3%37.7%37.7%29.4%
Bid-Ask Spread %84.3872.6691.0588.4490.13
Gamma HHI0.380.220.630.350.30
Net GEX-179.1K-379.8K-55.8K-302.2K-63.0K
Net DEX4.4M3.4M5.7M5.7M3.4M
Net VEX-10.1K-14.1K-6.7K-13.3K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.582.397.826.934.21
Total Volume781.9054971,110856516
Total OI1,798.811,1362,3792,0941,277

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$94.91$100.0032.0%9.2%41.8%49.9%41.5%6.2%-4.7%-302.2K5.7M-13.3K6.9388.44N/AN/A1087487841,310
2018-11-02$95.33$100.0031.5%9.0%41.9%48.2%40.7%5.8%-3.4%-270.9K5.3M-14.1K7.2089.14N/AN/A1087787981,311
2018-11-05$96.50$90.0034.6%8.2%42.1%58.2%29.9%4.3%-0.8%-224.7K4.6M-14.1K7.1475.42N/AN/A1097787991,343
2018-11-06$97.10$90.0035.3%8.2%42.2%60.6%30.3%4.9%-0.9%-221.7K4.3M-13.8K7.8272.66N/AN/A1017908001,344
2018-11-07$97.85$90.0027.5%7.5%42.4%35.0%28.7%3.8%-1.0%-245.4K4.4M-11.8K6.2279.65N/AN/A1277907991,376
2018-11-08$97.38$90.0033.5%7.5%40.1%54.6%27.2%4.7%-1.4%-240.5K4.4M-12.7K6.6391.05N/AN/A1187828251,375
2018-11-09$96.10$90.0030.7%7.6%40.3%45.6%26.9%2.5%-1.1%-339.2K5.0M-11.3K6.0784.31N/AN/A1297838241,375
2018-11-12$96.35$90.0057.8%8.1%40.3%100.0%31.3%5.2%-1.8%-280.7K4.9M-12.0K2.3986.44N/AN/A3277838351,377
2018-11-13$95.94$90.0043.5%8.1%38.7%65.3%29.4%3.2%-1.9%-280.1K4.9M-10.7K2.4985.97N/AN/A3157831,0001,377
2018-11-14$94.40$90.0026.8%7.7%38.7%24.6%28.8%3.6%-1.5%-282.7K5.3M-9.7K2.4982.54N/AN/A3157831,0021,377
2018-11-15$94.50$90.0027.4%7.9%38.8%26.1%30.0%3.7%-1.5%-379.8K5.6M-9.3K2.7180.87N/AN/A2907861,0021,367
2018-11-16$95.00$90.0027.3%7.8%38.6%25.7%27.5%2.1%-1.0%-93.5K4.0M-9.0K2.6082.19N/AN/A2907541,0011,372
2018-11-19$93.61$90.0027.6%7.9%38.8%26.5%29.0%3.3%-1.8%-83.8K3.8M-7.9K4.7182.69N/AN/A87410441695
2018-11-20$91.98$90.0029.8%8.5%39.0%31.8%29.3%5.9%-2.0%-70.7K4.0M-6.7K3.0187.26N/AN/A139418456695
2018-11-21$93.20$90.0027.1%7.8%39.0%25.2%27.7%4.5%-1.7%-66.5K3.9M-7.6K4.1483.66N/AN/A102422509705
2018-11-23$92.62$90.0026.6%7.6%36.6%24.0%29.9%6.5%-1.5%-65.7K4.0M-8.0K4.1486.54N/AN/A102422520709
2018-11-26$94.36$90.0026.9%7.7%21.5%24.9%27.1%5.7%-1.7%-65.9K3.9M-7.5K3.7081.08N/AN/A114422520709
2018-11-27$94.02$90.0026.4%7.6%19.1%23.5%27.0%3.6%-0.7%-55.8K3.9M-7.5K3.6983.67N/AN/A114421535709
2018-11-28$96.05$90.0026.5%7.6%19.8%23.9%27.5%5.5%-1.1%-67.9K3.6M-7.9K3.9388.44N/AN/A107421535710
2018-11-29$96.43$90.0026.8%7.7%17.9%24.6%26.7%4.1%-1.4%-59.9K3.5M-8.6K3.9389.79N/AN/A107421565712
2018-11-30$96.91$90.0026.8%7.7%17.7%24.6%26.8%4.3%-2.0%-63.0K3.4M-9.1K4.2190.13N/AN/A99417565712