COR Options History — July 2019

In July 2019, COR traded between $104.28 and $121.37. ATM implied volatility averaged 19.9%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 4.7% (HV 20d: 24.6%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2019-07-23: Highest Volume — 372 contracts
  • 2019-07-31: Largest IV spike — 50.8% change
  • 2019-07-31: Highest IV Rank — 32.7%
  • 2019-07-31: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.71$104.28$121.37$114.69$105.34
Max Pain$112.95$110.00$115.00$115.00$110.00
ATM IV19.9%14.9%28.3%14.9%28.3%
Expected Move5.8%4.3%8.1%4.3%8.1%
HV 20d24.6%19.7%34.9%20.1%32.2%
HV 60d20.5%17.3%25.6%17.3%25.3%
IV Rank13.5%2.2%32.7%2.2%32.7%
IV Percentile38.0%0.4%84.5%0.4%84.5%
Term Structure-0.5%-4.2%5.4%5.4%-2.3%
VWIV21.4%16.6%31.7%17.9%31.7%
Skew 25d3.5%0.1%10.4%7.0%5.1%
Skew 10d9.2%0.9%22.2%14.5%22.2%
Call IV 25d18.8%11.3%26.3%11.3%26.3%
Put IV 25d22.3%14.4%31.3%18.2%31.3%
Bid-Ask Spread %98.0688.25112.81104.45112.81
Gamma HHI0.380.150.590.410.33
Net GEX276.1K-9.6K530.7K247.6K48.1K
Net DEX-2.1M-5.5M1.2M-1.1M611.8K
Net VEX-12.0K-15.2K-5.7K-11.5K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.007.000.000.45
Total Volume97.04583722845
Total OI1,062.3187241,1999011,061

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$114.69$115.0014.9%4.3%20.1%2.2%17.9%7.0%5.4%247.6K-1.1M-11.5K0.00104.45N/AN/A280574327
2019-07-02$118.58$110.0016.6%4.8%22.4%6.0%16.9%0.1%3.5%326.9K-3.0M-12.3K0.01104.10N/AN/A1591601327
2019-07-03$120.01$110.0018.1%5.2%19.9%9.4%21.6%5.0%0.2%357.5K-4.6M-15.2K0.05110.46N/AN/A1758724327
2019-07-05$119.94$110.0016.3%5.3%19.7%5.2%18.4%2.2%0.7%406.2K-4.5M-14.6K0.0588.25N/AN/A1728727332
2019-07-08$119.16$110.0016.8%5.5%20.0%6.3%0.0%3.2%0.6%433.7K-4.2M-14.0K0.0091.08N/AN/A220730330
2019-07-09$121.31$110.0015.3%5.4%20.7%3.0%24.7%0.8%-0.2%412.4K-5.5M-13.9K0.5589.92N/AN/A2916756330
2019-07-10$121.37$110.0019.6%5.6%20.5%12.7%19.9%0.5%-0.6%399.6K-5.3M-14.3K0.1794.97N/AN/A10117758345
2019-07-11$118.07$115.0020.3%5.8%23.0%14.4%18.8%3.8%-1.9%503.5K-3.6M-14.7K0.1789.46N/AN/A12721829346
2019-07-12$118.30$115.0019.1%5.5%22.9%11.6%18.2%3.0%-0.4%530.7K-3.8M-14.4K0.1890.20N/AN/A11421833351
2019-07-15$117.77$115.0019.0%5.4%23.0%11.4%24.9%3.7%-0.2%504.7K-3.6M-13.5K7.0092.12N/AN/A17827351
2019-07-16$116.17$115.0023.2%6.6%23.3%21.0%24.0%3.6%-4.2%409.6K-2.6M-13.4K0.9496.55N/AN/A1615827357
2019-07-17$115.47$115.0020.8%6.0%23.4%15.6%23.5%3.1%0.0%407.5K-2.3M-12.5K1.1191.45N/AN/A1820835364
2019-07-18$115.88$115.0021.0%6.0%23.0%16.0%21.0%2.3%-1.1%416.2K-2.4M-12.5K1.1092.17N/AN/A2123836345
2019-07-19$114.37$115.0020.0%5.7%22.4%13.8%21.7%5.6%0.7%168.2K-1.1M-12.0K0.70103.45N/AN/A2719833355
2019-07-22$114.35$115.0021.3%6.1%21.5%16.7%21.2%4.4%-3.6%70.7K-566.9K-11.3K0.0495.06N/AN/A271490234
2019-07-23$115.58$115.0021.9%6.3%21.9%18.0%20.6%1.9%-4.0%94.5K-957.1K-12.4K0.0396.20N/AN/A36012517235
2019-07-24$115.96$115.0021.3%6.1%21.9%16.7%21.4%0.5%-1.2%324.5K-1.9M-14.8K0.2498.68N/AN/A5112838245
2019-07-25$107.19$115.0022.3%6.4%34.5%18.9%22.3%5.5%-0.7%12.8K870.0K-8.6K0.10108.48N/AN/A13414849246
2019-07-26$105.14$115.0020.1%5.8%34.9%14.0%16.6%1.1%0.0%-9.6K1.2M-7.7K0.69104.04N/AN/A14198813259
2019-07-29$104.28$110.0022.8%6.5%34.7%20.2%22.9%10.4%-2.1%3.4K1.0M-6.3K0.13100.10N/AN/A162823233
2019-07-30$104.63$110.0018.8%5.4%34.8%10.9%21.0%4.1%1.6%6.4K1.2M-5.7K0.44103.23N/AN/A2511818233
2019-07-31$105.34$110.0028.3%8.1%32.2%32.7%31.7%5.1%-2.3%48.1K611.8K-7.7K0.45112.81N/AN/A3114827234