COR Options History — December 2019

In December 2019, COR traded between $110.19 and $113.61. ATM implied volatility averaged 17.8%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.7% (HV 20d: 15.1%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2019-12-27: Highest Volume — 49 contracts
  • 2019-12-26: Largest IV spike — 29.8% change
  • 2019-12-02: Highest IV Rank — 42.9%
  • 2019-12-02: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.20$110.19$113.61$112.23$112.01
Max Pain$119.29$115.00$120.00$115.00$120.00
ATM IV17.8%13.4%23.0%23.0%17.9%
Expected Move5.0%3.8%6.6%6.6%5.1%
HV 20d15.1%12.0%21.0%20.7%16.0%
HV 60d20.6%18.4%25.7%25.7%18.4%
IV Rank19.1%0.0%42.9%42.9%22.4%
IV Percentile22.8%0.0%65.1%65.1%19.0%
Term Structure3.6%-2.4%10.1%-2.4%4.9%
VWIV19.2%11.6%37.8%25.3%14.9%
Skew 25d4.3%1.1%7.7%5.5%3.9%
Skew 10d8.0%-14.2%27.4%16.0%-14.2%
Call IV 25d16.8%11.3%23.1%19.2%15.1%
Put IV 25d21.1%17.9%27.2%24.8%19.0%
Bid-Ask Spread %100.6290.83114.60105.22100.70
Gamma HHI0.340.250.510.420.25
Net GEX46.7K-54.0K194.1K102.4K18.4K
Net DEX748.4K157.4K1.3M637.8K744.1K
Net VEX-7.2K-9.6K-5.8K-8.6K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.005.000.500.00
Total Volume10.38104932
Total OI1,1068261,2881,161891

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$112.23$115.0023.0%6.6%20.7%42.9%25.3%5.5%-2.4%102.4K637.8K-8.6K0.50105.22N/AN/A21806355
2019-12-03$113.13$115.0017.0%4.9%21.0%14.2%16.6%6.4%3.7%144.5K377.9K-9.2K0.00103.44N/AN/A40804355
2019-12-04$113.49$115.0019.1%5.5%19.5%24.1%11.6%4.9%0.8%179.2K241.0K-9.6K0.00101.60N/AN/A20805355
2019-12-05$113.07$120.0022.0%5.6%17.9%38.2%0.0%1.3%-0.1%194.1K219.5K-9.4K0.00101.59N/AN/A00805355
2019-12-06$113.01$120.0020.6%4.7%12.0%31.5%15.6%7.5%5.0%190.6K244.9K-9.1K0.4094.49N/AN/A52805355
2019-12-09$113.00$120.0016.6%5.2%12.0%12.3%0.0%4.5%3.7%68.0K614.1K-7.6K0.0090.83N/AN/A100813357
2019-12-10$112.81$120.0019.0%5.0%12.0%23.7%16.5%4.8%3.1%82.0K671.2K-7.6K0.0094.37N/AN/A10823377
2019-12-11$110.80$120.0017.9%5.1%13.5%18.6%31.2%4.3%3.9%14.2K1.0M-7.2K0.29114.60N/AN/A72822377
2019-12-12$110.19$120.0021.1%6.0%13.5%33.7%19.6%2.5%1.6%-22.3K1.2M-6.8K5.0098.10N/AN/A210829377
2019-12-13$110.68$120.0018.5%5.3%13.7%21.3%14.3%3.0%2.5%-54.0K1.3M-6.0K0.0095.36N/AN/A70829387
2019-12-16$112.36$120.0018.4%5.3%13.6%20.8%19.1%3.8%2.6%-12.1K960.8K-6.0K1.5798.48N/AN/A711835387
2019-12-17$111.25$120.0018.7%5.3%13.9%22.1%15.2%5.5%1.6%-47.5K1.1M-6.1K0.25102.24N/AN/A164840398
2019-12-18$112.68$120.0014.8%4.3%14.7%4.0%16.4%3.9%5.5%11.5K851.6K-6.5K0.2497.27N/AN/A215856400
2019-12-19$113.61$120.0013.8%3.9%14.4%0.0%37.8%1.1%5.8%188.0K157.4K-6.9K0.00104.53N/AN/A30868405
2019-12-20$113.44$120.0014.8%4.2%13.3%5.0%0.0%3.9%5.3%13.7K655.4K-6.8K1.00100.95N/AN/A11883405
2019-12-23$111.14$120.0016.5%4.7%15.1%12.8%17.5%7.7%4.8%-27.5K1.1M-5.8K1.60101.95N/AN/A58461365
2019-12-24$111.90$120.0013.4%3.8%15.3%0.0%20.4%2.4%10.1%-21.1K988.2K-5.9K0.04104.68N/AN/A231466371
2019-12-26$111.78$120.0017.4%5.0%15.1%18.9%0.0%3.2%3.4%-29.8K947.6K-6.0K0.0099.11N/AN/A00481371
2019-12-27$112.72$120.0015.2%4.4%14.8%8.6%15.3%3.9%4.8%418747.1K-6.2K0.69102.83N/AN/A2920481371
2019-12-30$110.90$120.0018.7%5.4%15.8%26.1%0.0%6.0%5.3%-12.1K1.1M-6.8K5.00100.64N/AN/A15509391
2019-12-31$112.01$120.0017.9%5.1%16.0%22.4%14.9%3.9%4.9%18.4K744.1K-7.1K0.00100.70N/AN/A20508383