COR Options History — August 2019

In August 2019, COR traded between $106.10 and $116.29. ATM implied volatility averaged 22.9%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 6.0% (HV 20d: 28.9%). Max pain ranged from $100.00 to $110.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.11.

Notable Days

  • 2019-08-21: Highest Volume — 331 contracts
  • 2019-08-08: Largest IV drop — 27.3% change
  • 2019-08-06: Highest IV Rank — 42.1%
  • 2019-08-05: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.78$106.10$116.29$106.10$116.29
Max Pain$104.55$100.00$110.00$110.00$105.00
ATM IV22.9%16.3%32.4%20.4%19.3%
Expected Move6.1%4.7%7.3%5.8%5.5%
HV 20d28.9%18.3%35.2%31.9%18.3%
HV 60d25.8%25.0%26.4%25.2%25.1%
IV Rank20.4%5.3%42.1%14.6%12.2%
IV Percentile52.5%2.4%93.3%47.2%32.5%
Term Structure1.1%-3.7%4.2%4.0%1.4%
VWIV22.3%16.3%31.1%22.7%19.1%
Skew 25d4.1%-1.7%9.4%1.2%5.2%
Skew 10d4.7%-8.9%14.3%-0.2%9.7%
Call IV 25d21.4%16.4%31.0%22.9%16.4%
Put IV 25d25.5%20.9%33.0%24.1%21.6%
Bid-Ask Spread %95.7388.92110.61110.6196.27
Gamma HHI0.310.160.520.220.52
Net GEX129.5K-75.6K422.0K12.4K422.0K
Net DEX-685.8K-2.5M791.2K791.2K-2.5M
Net VEX-10.6K-13.2K-7.2K-7.2K-13.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.006.460.360.00
Total Volume33.9550331571
Total OI1,085.3646931,2391,0701,112

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$106.10$110.0020.4%5.8%31.9%14.6%22.7%1.2%4.0%12.4K791.2K-7.2K0.36110.61N/AN/A4215833237
2019-08-02$108.63$110.0024.7%7.1%33.5%24.4%20.1%9.3%-3.7%34.6K478.6K-7.6K0.06110.00N/AN/A342849237
2019-08-05$108.88$100.0029.1%7.3%33.6%34.5%25.1%3.9%1.3%90.5K27.4K-9.4K1.0093.38N/AN/A1313875236
2019-08-06$110.20$100.0032.4%6.4%33.2%42.1%21.2%4.5%1.0%113.8K-451.8K-10.5K0.0099.52N/AN/A20875237
2019-08-07$111.21$100.0031.9%6.9%33.5%40.8%25.4%9.4%-1.5%130.4K-597.3K-10.2K3.3397.38N/AN/A310875237
2019-08-08$111.13$100.0023.2%6.6%32.4%20.9%26.9%4.4%-1.1%15.0K-162.6K-8.8K6.4689.24N/AN/A1384875242
2019-08-09$111.17$105.0029.3%6.8%32.3%34.9%0.0%-0.7%-0.7%39.4K-187.0K-10.6K0.0092.65N/AN/A00883323
2019-08-12$109.81$105.0028.7%6.8%32.5%33.6%0.0%4.9%1.9%-33.1K152.5K-9.9K0.0088.92N/AN/A01883323
2019-08-13$109.91$105.0027.2%6.1%32.3%30.1%0.0%6.2%1.8%-57.4K126.2K-9.0K0.0093.29N/AN/A150883324
2019-08-14$108.42$105.0023.6%6.8%32.5%22.0%26.7%0.6%-0.4%-41.6K486.2K-9.1K0.7597.76N/AN/A1612898324
2019-08-15$110.17$105.0023.9%6.9%33.2%22.7%24.8%-1.7%-0.4%-75.6K143.3K-9.7K0.6796.92N/AN/A32902336
2019-08-16$113.88$105.0020.2%5.8%35.2%14.2%0.0%4.2%3.4%92.7K-1.1M-10.5K0.0896.47N/AN/A121903336
2019-08-19$114.31$105.0020.1%5.8%35.2%13.9%19.3%2.9%-0.5%116.0K-1.2M-10.3K0.5792.23N/AN/A5431449244
2019-08-20$113.28$105.0018.1%5.2%35.1%9.4%24.0%6.5%2.4%108.7K-865.5K-10.8K4.0091.86N/AN/A14498269
2019-08-21$113.50$105.0018.4%5.3%35.1%10.2%17.8%3.8%1.5%114.2K-993.6K-11.2K0.0193.97N/AN/A3292499273
2019-08-22$114.20$105.0019.0%5.4%19.8%11.3%18.7%3.2%2.2%305.6K-1.7M-13.2K0.0092.14N/AN/A10818273
2019-08-23$112.58$105.0016.3%4.7%19.2%5.3%16.3%7.6%4.2%274.0K-1.4M-12.9K0.5798.40N/AN/A74819273
2019-08-26$113.84$105.0020.0%5.7%18.8%13.8%19.9%2.8%2.4%291.9K-1.6M-13.2K2.2093.71N/AN/A511819275
2019-08-27$113.15$105.0020.1%5.8%19.2%14.0%0.0%3.4%0.7%267.8K-1.3M-11.8K0.0092.98N/AN/A00824285
2019-08-28$113.41$105.0018.8%5.4%19.2%11.0%19.5%4.1%2.8%266.6K-1.3M-11.8K1.0091.87N/AN/A11824286
2019-08-29$115.05$105.0019.9%5.7%19.5%13.5%31.1%4.5%0.7%361.6K-2.1M-13.2K0.0096.56N/AN/A20825287
2019-08-30$116.29$105.0019.3%5.5%18.3%12.2%19.1%5.2%1.4%422.0K-2.5M-13.0K0.0096.27N/AN/A10825287