COR Options History — September 2019

In September 2019, COR traded between $109.76 and $121.88. ATM implied volatility averaged 19.9%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 8.3% (HV 20d: 28.2%). Max pain ranged from $105.00 to $120.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2019-09-24: Highest Volume — 196 contracts
  • 2019-09-09: Largest IV spike — 43.1% change
  • 2019-09-10: Highest IV Rank — 33.6%
  • 2019-09-11: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.36$109.76$121.88$117.50$121.88
Max Pain$111.00$105.00$120.00$105.00$120.00
ATM IV19.9%14.6%28.7%22.6%20.7%
Expected Move5.7%4.2%6.8%6.5%5.9%
HV 20d28.2%18.2%33.2%18.5%33.2%
HV 60d28.2%25.2%29.7%25.2%29.3%
IV Rank13.4%1.5%33.6%19.6%15.3%
IV Percentile34.2%0.4%84.9%57.5%45.2%
Term Structure2.6%-0.3%10.5%0.7%3.4%
VWIV19.5%13.7%23.2%19.4%20.6%
Skew 25d4.6%0.4%7.6%5.9%0.4%
Skew 10d17.5%7.4%55.9%8.6%45.3%
Call IV 25d19.1%16.9%22.6%18.6%20.8%
Put IV 25d23.7%19.3%28.8%24.5%21.2%
Bid-Ask Spread %97.9286.61108.6499.05101.34
Gamma HHI0.490.290.880.570.31
Net GEX440.6K139.8K2.0M484.3K193.3K
Net DEX-2.1M-4.3M-165.6K-2.8M-1.6M
Net VEX-10.4K-12.9K-7.9K-12.7K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.0011.000.090.02
Total Volume48.231966245
Total OI1,109.558181,2651,112912

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$117.50$105.0022.6%6.5%18.5%19.6%19.4%5.9%0.7%484.3K-2.8M-12.7K0.0999.05N/AN/A575825287
2019-09-04$117.98$105.0017.0%4.9%18.2%6.8%17.7%3.5%1.8%535.6K-2.8M-12.4K0.00102.32N/AN/A140804290
2019-09-05$119.10$110.0017.2%5.6%18.2%7.2%20.1%6.0%0.8%598.7K-3.5M-12.7K3.6789.60N/AN/A622808290
2019-09-06$119.31$110.0015.6%5.6%18.2%3.8%18.8%4.7%1.8%683.1K-3.8M-12.9K0.0086.61N/AN/A40812311
2019-09-09$114.68$110.0022.4%5.9%23.8%19.2%20.3%5.0%1.6%354.0K-1.5M-10.1K0.0786.99N/AN/A574811310
2019-09-10$109.76$110.0028.7%6.3%28.4%33.6%13.7%5.2%1.2%139.8K-165.6K-7.9K0.4798.32N/AN/A3215862314
2019-09-11$114.22$110.0023.5%6.8%31.7%21.8%0.0%6.9%-0.3%292.3K-1.2M-10.2K0.00100.33N/AN/A30884324
2019-09-12$115.87$110.0020.3%5.8%31.5%14.4%23.2%3.1%2.5%398.4K-1.6M-10.2K11.0096.23N/AN/A111887324
2019-09-13$113.94$110.0019.4%5.6%31.9%12.3%23.0%5.3%2.0%314.9K-1.4M-10.3K1.6799.35N/AN/A35887335
2019-09-16$113.96$110.0020.4%5.8%29.6%14.6%0.0%4.4%3.9%254.0K-920.4K-8.7K0.00100.97N/AN/A200888338
2019-09-17$115.41$110.0021.3%6.1%29.9%16.7%21.6%7.6%0.6%342.9K-1.3M-9.3K0.5095.83N/AN/A63898338
2019-09-18$115.63$110.0014.6%4.2%29.7%1.5%0.0%5.7%10.5%457.9K-2.1M-9.1K0.00108.64N/AN/A450904339
2019-09-19$116.46$110.0019.1%5.5%29.8%11.8%19.1%3.6%1.9%528.5K-2.1M-8.6K0.04100.80N/AN/A281904339
2019-09-20$119.75$110.0019.4%5.6%31.2%12.5%18.4%2.2%1.9%2.0M-4.3M-9.2K0.6799.19N/AN/A5738926339
2019-09-23$120.96$110.0017.0%4.9%30.7%6.8%17.1%2.7%3.4%302.5K-2.6M-8.4K0.26101.62N/AN/A4712537281
2019-09-24$118.30$110.0019.3%5.5%31.9%12.2%21.0%6.5%3.3%246.9K-2.1M-10.5K1.3196.32N/AN/A85111596317
2019-09-25$120.71$115.0019.1%5.5%32.3%11.8%18.7%5.7%2.4%162.5K-2.1M-11.1K0.0095.99N/AN/A1090528427
2019-09-26$121.88$115.0020.8%6.0%32.4%15.7%20.3%3.5%4.5%277.9K-2.9M-11.8K0.09100.20N/AN/A585626427
2019-09-27$119.88$120.0019.0%5.4%32.9%11.5%18.7%4.5%3.6%205.4K-1.4M-11.8K0.0898.81N/AN/A514533429
2019-09-30$121.88$120.0020.7%5.9%33.2%15.3%20.6%0.4%3.4%193.3K-1.6M-10.8K0.02101.34N/AN/A441483429