COR Options History — March 2019

In March 2019, COR traded between $100.74 and $107.30. ATM implied volatility averaged 19.5%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.6% (HV 20d: 17.9%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.27.

Notable Days

  • 2019-03-22: Highest Volume — 78 contracts
  • 2019-03-04: Largest IV spike — 40.9% change
  • 2019-03-11: Highest IV Rank — 18.6%
  • 2019-03-26: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.82$100.74$107.30$103.25$106.85
Max Pain$96.05$95.00$100.00$95.00$95.00
ATM IV19.5%16.9%24.1%16.9%18.5%
Expected Move5.8%4.7%6.9%4.8%6.0%
HV 20d17.9%14.8%21.2%20.3%15.0%
HV 60d24.6%19.0%29.1%29.1%19.0%
IV Rank7.6%1.2%18.6%1.2%5.2%
IV Percentile23.1%1.6%57.9%1.6%14.3%
Term Structure1.2%-1.1%3.9%2.6%3.9%
VWIV22.2%17.0%33.3%17.0%23.4%
Skew 25d4.5%-1.0%13.0%-1.0%3.8%
Skew 10d10.4%-0.7%30.4%13.6%6.9%
Call IV 25d18.2%13.1%22.6%19.1%17.4%
Put IV 25d22.7%18.1%35.5%18.1%21.2%
Bid-Ask Spread %87.5672.96104.8088.9588.10
Gamma HHI0.370.320.420.350.41
Net GEX150.4K122.3K183.6K157.1K183.6K
Net DEX-1.5M-2.1M-1.1M-1.5M-2.0M
Net VEX-7.1K-7.5K-6.6K-7.2K-7.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.007.670.380.51
Total Volume34.5241785159
Total OI701.048664737671735

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$103.25$95.0016.9%4.8%20.3%1.2%17.0%-1.0%2.6%157.1K-1.5M-7.2K0.3888.95N/AN/A3714409262
2019-03-04$101.99$95.0023.8%6.8%21.0%17.9%24.7%2.6%0.7%145.2K-1.5M-7.1K0.0089.78N/AN/A017409262
2019-03-05$101.81$95.0018.1%5.2%21.0%4.3%20.5%4.4%-0.8%143.0K-1.4M-7.2K0.0091.82N/AN/A017409279
2019-03-06$101.10$95.0020.6%5.9%21.2%10.2%20.6%2.8%-1.1%143.1K-1.2M-6.8K0.0090.29N/AN/A017409279
2019-03-07$100.74$95.0020.5%5.9%20.7%9.9%22.1%3.4%0.4%144.6K-1.2M-6.9K0.0082.66N/AN/A023409279
2019-03-08$101.35$95.0021.5%6.2%20.5%12.4%21.6%6.0%1.2%147.0K-1.2M-7.0K7.6782.98N/AN/A323409281
2019-03-11$102.45$95.0024.1%6.2%18.4%18.6%19.8%3.8%-0.8%162.6K-1.5M-6.8K0.1072.96N/AN/A202408281
2019-03-12$102.97$95.0018.9%5.7%18.4%6.2%18.2%5.1%1.3%160.3K-1.7M-7.2K0.0080.64N/AN/A500414286
2019-03-13$103.37$95.0018.6%5.7%18.4%5.4%20.0%4.7%2.6%168.9K-1.7M-7.1K0.0074.51N/AN/A510434286
2019-03-14$103.17$95.0017.5%5.6%18.4%2.8%20.9%4.7%2.3%169.4K-1.6M-6.9K0.0077.31N/AN/A330435286
2019-03-15$103.60$95.0018.7%4.9%17.2%5.7%19.1%4.2%-0.9%125.8K-1.7M-6.9K0.0677.06N/AN/A171437286
2019-03-18$103.22$0.0019.4%4.7%17.1%7.4%0.0%5.5%1.0%122.3K-1.1M-6.7K0.00104.80N/AN/A10385279
2019-03-19$103.63$0.0017.0%5.7%15.4%1.4%33.3%6.9%2.3%128.6K-1.1M-6.6K3.0098.65N/AN/A1030385279
2019-03-20$104.95$95.0018.2%6.0%15.7%4.4%24.1%7.2%3.1%134.3K-1.4M-7.2K2.7399.04N/AN/A1130385309
2019-03-21$107.30$95.0019.6%5.8%16.7%7.7%23.5%4.0%0.4%152.7K-2.0M-7.0K1.0787.15N/AN/A3032386309
2019-03-22$105.54$95.0018.6%5.8%17.6%5.4%22.9%5.2%1.7%148.1K-1.6M-7.2K0.8688.27N/AN/A4236394311
2019-03-25$104.39$100.0020.0%6.0%18.0%8.8%0.0%2.2%1.5%138.9K-1.4M-7.5K2.2084.39N/AN/A511410311
2019-03-26$105.08$100.0020.1%6.9%14.8%9.1%0.0%13.0%0.6%137.8K-1.6M-7.4K1.50100.26N/AN/A812415322
2019-03-27$106.34$100.0019.1%5.8%15.1%6.7%0.0%2.6%2.3%166.1K-1.8M-7.2K1.0888.77N/AN/A1213413322
2019-03-28$107.20$100.0020.1%6.0%15.2%8.9%25.4%3.5%0.4%178.9K-2.1M-7.3K0.4990.31N/AN/A3919401322
2019-03-29$106.85$95.0018.5%6.0%15.0%5.2%23.4%3.8%3.9%183.6K-2.0M-7.3K0.5188.10N/AN/A3920407328