COR Options History — November 2019

In November 2019, COR traded between $111.68 and $119.55. ATM implied volatility averaged 20.1%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 2.6% (HV 20d: 22.7%). Max pain ranged from $110.00 to $120.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.95.

Notable Days

  • 2019-11-20: Highest Volume — 523 contracts
  • 2019-11-04: Largest IV spike — 50.1% change
  • 2019-11-05: Highest IV Rank — 28.1%
  • 2019-11-06: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.49$111.68$119.55$119.55$113.17
Max Pain$113.75$110.00$120.00$120.00$115.00
ATM IV20.1%16.2%26.3%16.2%17.2%
Expected Move5.5%4.6%6.8%4.6%4.9%
HV 20d22.7%18.2%24.8%18.8%22.0%
HV 60d25.8%25.1%26.9%25.1%25.7%
IV Rank20.1%5.0%28.1%5.0%15.1%
IV Percentile34.6%2.0%75.0%2.0%11.5%
Term Structure0.3%-3.4%2.8%2.1%1.2%
VWIV18.1%15.4%21.3%17.4%15.5%
Skew 25d4.0%-4.4%13.8%-1.7%5.6%
Skew 10d8.2%-9.8%17.1%2.2%8.8%
Call IV 25d18.0%14.8%23.2%14.8%16.6%
Put IV 25d22.0%13.1%30.8%13.1%22.2%
Bid-Ask Spread %100.4792.45115.25108.73102.73
Gamma HHI0.340.250.540.310.49
Net GEX34.3K-176.3K264.2K86.7K194.2K
Net DEX594.0K-784.8K1.7M-775.0K166.3K
Net VEX-19.4K-26.1K-9.2K-25.3K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.006.000.000.00
Total Volume64.9252322
Total OI1,445.451,1131,6951,5691,159

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$119.55$120.0016.2%4.6%18.8%5.0%0.0%-1.7%2.1%86.7K-775.0K-25.3K0.00108.73N/AN/A20961608
2019-11-04$118.48$110.0024.3%6.0%18.2%23.5%0.0%7.4%-1.1%130.7K-784.8K-26.1K6.0095.81N/AN/A16961608
2019-11-05$115.73$110.0026.3%5.8%19.6%28.1%17.4%-4.4%-1.4%-11.3K712.7K-23.3K3.18115.25N/AN/A1135962614
2019-11-06$118.01$110.0020.4%6.8%20.9%14.7%0.0%1.9%-3.4%-19.3K-58.4K-24.7K0.4397.25N/AN/A2310968647
2019-11-07$113.64$110.0026.2%6.7%24.8%27.9%20.7%13.8%-3.0%-33.1K1.2M-23.7K0.50102.67N/AN/A4824987653
2019-11-08$113.78$110.0021.0%5.7%24.4%16.1%0.0%4.7%0.5%-79.8K1.5M-23.1K1.0099.99N/AN/A111,021667
2019-11-11$114.03$110.0025.5%5.8%24.4%26.4%21.0%5.3%-0.6%-96.2K1.4M-22.8K3.0096.00N/AN/A391,022667
2019-11-12$113.53$115.0021.5%6.0%24.3%17.1%19.8%3.8%-0.9%-116.0K1.6M-22.5K1.0092.45N/AN/A881,024664
2019-11-13$113.57$115.0019.0%5.4%23.5%17.0%17.8%4.6%1.4%-147.3K1.6M-22.4K0.0093.96N/AN/A401,028666
2019-11-14$113.49$115.0019.6%5.6%22.7%26.7%0.0%3.3%-0.5%-144.0K1.7M-21.6K0.0097.46N/AN/A801,029666
2019-11-15$115.28$115.0018.5%5.3%23.4%21.4%17.1%3.8%1.7%-176.3K990.9K-22.1K0.0098.22N/AN/A501,029666
2019-11-18$115.24$115.0018.6%5.3%23.4%21.8%17.3%4.5%0.9%21.7K626.2K-21.6K0.0995.13N/AN/A222573586
2019-11-19$115.71$115.0016.3%4.7%23.5%11.1%15.4%3.8%2.8%29.6K434.1K-22.1K0.0097.30N/AN/A4401585587
2019-11-20$114.21$115.0017.8%5.1%23.6%18.3%21.3%5.4%-0.9%264.2K41.7K-24.8K0.95109.34N/AN/A2682551,017588
2019-11-21$112.49$115.0018.6%5.3%24.0%22.1%17.3%4.6%2.2%190.4K-59.4K-12.2K1.6498.21N/AN/A1423778340
2019-11-22$111.84$115.0018.8%5.4%23.0%22.6%17.5%2.2%1.0%129.1K492.8K-10.1K0.38103.65N/AN/A3714769344
2019-11-25$111.68$115.0018.3%5.3%22.9%20.6%0.0%3.9%2.5%94.1K638.3K-9.2K0.00103.44N/AN/A40800355
2019-11-26$112.50$115.0018.3%5.3%22.5%20.7%17.7%2.4%2.4%146.5K410.1K-9.7K0.0099.94N/AN/A20799355
2019-11-27$113.79$115.0019.5%5.6%23.1%26.1%15.5%4.4%-0.9%221.7K-4.8K-10.7K0.75101.92N/AN/A43801355
2019-11-29$113.17$115.0017.2%4.9%22.0%15.1%0.0%5.6%1.2%194.2K166.3K-10.4K0.00102.73N/AN/A20804355