COR Options History — October 2019

In October 2019, COR traded between $116.99 and $122.03. ATM implied volatility averaged 24.0%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 0.8% (HV 20d: 24.8%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.40.

Notable Days

  • 2019-10-23: Highest Volume — 336 contracts
  • 2019-10-31: Largest IV drop — 32.2% change
  • 2019-10-30: Highest IV Rank — 36.1%
  • 2019-10-30: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.51$116.99$122.03$119.58$117.35
Max Pain$117.39$115.00$120.00$120.00$120.00
ATM IV24.0%20.2%29.8%22.4%20.2%
Expected Move6.9%5.8%8.5%6.4%5.8%
HV 20d24.8%18.1%35.3%33.9%18.2%
HV 60d27.4%24.3%29.8%29.6%24.8%
IV Rank22.8%14.2%36.1%19.2%14.2%
IV Percentile61.5%38.9%90.9%56.3%38.9%
Term Structure-1.8%-11.7%6.5%0.5%6.5%
VWIV24.2%19.5%32.4%25.8%19.5%
Skew 25d5.3%2.9%9.0%3.7%4.0%
Skew 10d9.6%-21.8%16.6%2.9%16.6%
Call IV 25d22.8%19.5%28.0%19.5%20.7%
Put IV 25d28.1%23.2%32.5%23.2%24.6%
Bid-Ask Spread %94.3285.01110.24100.22106.15
Gamma HHI0.290.240.470.290.24
Net GEX127.3K-21.9K311.2K165.2K74.5K
Net DEX-840.9K-2.2M298.6K-1.2M-234.9K
Net VEX-15.7K-23.3K-10.4K-11.3K-20.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.004.000.330.94
Total Volume63.1303364210
Total OI1,194.3047161,3669371,366

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$119.58$120.0022.4%6.4%33.9%19.2%0.0%3.7%0.5%165.2K-1.2M-11.3K0.33100.22N/AN/A31508429
2019-10-02$117.72$120.0020.6%5.9%34.4%15.2%25.8%4.0%1.1%86.3K-452.5K-10.4K0.00101.07N/AN/A0101511429
2019-10-03$120.15$115.0023.8%7.2%35.0%22.3%22.5%5.3%-1.3%86.1K-761.5K-13.3K0.0985.01N/AN/A959511590
2019-10-04$121.71$115.0024.6%7.0%35.3%24.3%24.2%5.3%-2.1%175.2K-1.6M-15.0K0.0099.11N/AN/A230605598
2019-10-07$119.77$115.0021.4%6.9%32.5%16.9%0.0%3.8%-1.0%162.5K-971.8K-13.6K0.0088.53N/AN/A031607598
2019-10-08$118.40$115.0021.1%6.5%28.2%16.4%0.0%4.8%-1.0%69.2K-170.6K-13.9K0.0089.71N/AN/A10607619
2019-10-09$117.81$115.0024.9%7.1%24.9%24.9%0.0%4.4%-1.9%71.6K-226.0K-13.8K0.0097.42N/AN/A370608619
2019-10-10$117.31$115.0027.5%7.9%24.5%30.9%0.0%3.9%-3.9%11.9K209.7K-13.9K0.0086.78N/AN/A00623619
2019-10-11$118.65$115.0024.4%7.0%23.9%23.8%24.5%2.9%-0.8%70.2K-337.2K-13.8K0.0687.15N/AN/A332623619
2019-10-14$118.05$115.0021.2%6.1%24.0%16.6%28.2%5.2%1.5%86.0K-209.8K-13.1K0.0086.23N/AN/A10656619
2019-10-15$116.99$115.0026.9%7.7%24.0%29.5%23.2%9.0%-3.4%-21.9K298.6K-12.6K0.0094.30N/AN/A60657619
2019-10-16$118.71$115.0023.9%6.9%24.5%22.7%0.0%3.6%-0.8%227.7K-485.9K-12.3K0.0092.98N/AN/A880662619
2019-10-17$120.44$115.0022.8%6.5%24.8%20.2%20.2%8.9%1.5%311.2K-1.5M-12.9K0.0094.31N/AN/A360685619
2019-10-18$121.19$115.0023.6%6.8%22.9%22.1%22.5%4.8%-1.5%100.7K-2.2M-12.9K0.1094.87N/AN/A697717619
2019-10-21$121.14$120.0024.2%6.9%22.6%23.3%25.9%4.7%-1.4%89.4K-950.2K-12.7K0.7588.06N/AN/A129379337
2019-10-22$121.58$120.0025.3%7.3%21.1%25.9%21.0%6.3%-3.4%99.8K-1.1M-12.9K0.9892.65N/AN/A163160389346
2019-10-23$122.03$120.0025.5%7.3%19.9%26.3%20.7%7.1%-4.4%118.4K-1.5M-21.7K0.0193.45N/AN/A3324544506
2019-10-24$121.43$120.0023.8%6.8%19.7%22.4%23.1%3.2%-2.6%247.8K-1.8M-23.3K0.0094.45N/AN/A40849507
2019-10-25$118.77$120.0023.7%6.8%20.4%22.2%23.7%4.8%-1.9%147.6K-715.7K-22.2K0.0091.90N/AN/A70851507
2019-10-28$119.28$120.0024.2%6.9%19.5%23.4%25.8%6.1%-1.9%149.8K-871.8K-21.4K4.0096.37N/AN/A14855507
2019-10-29$120.75$120.0025.5%7.3%18.8%26.2%32.4%8.6%-6.9%204.5K-1.4M-22.1K0.0098.48N/AN/A01855511
2019-10-30$119.88$120.0029.8%8.5%18.1%36.1%28.0%7.3%-11.7%193.4K-1.2M-22.1K0.00110.24N/AN/A02855510
2019-10-31$117.35$120.0020.2%5.8%18.2%14.2%19.5%4.0%6.5%74.5K-234.9K-20.7K0.94106.15N/AN/A108102856510