COR Options History — January 2020

In January 2020, COR traded between $110.76 and $118.99. ATM implied volatility averaged 19.2%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.5% (HV 20d: 15.7%). Max pain ranged from $105.00 to $120.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2020-01-09: Highest Volume — 67 contracts
  • 2020-01-13: Largest IV spike — 58.2% change
  • 2020-01-31: Highest IV Rank — 60.0%
  • 2020-01-31: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.09$110.76$118.99$110.76$117.29
Max Pain$109.52$105.00$120.00$120.00$110.00
ATM IV19.2%13.0%24.6%16.7%24.6%
Expected Move5.7%4.2%7.1%4.8%7.1%
HV 20d15.7%12.3%17.1%16.1%12.3%
HV 60d18.1%16.9%18.6%18.3%16.9%
IV Rank31.4%0.0%60.0%16.7%60.0%
IV Percentile41.5%0.0%88.9%9.5%88.9%
Term Structure0.2%-3.3%4.7%4.7%-1.5%
VWIV19.8%15.2%24.3%15.2%16.7%
Skew 25d4.0%-2.5%8.9%3.9%4.2%
Skew 10d5.5%-18.7%12.2%7.0%6.4%
Call IV 25d19.1%15.5%24.6%15.5%21.5%
Put IV 25d23.1%18.6%29.9%19.4%25.7%
Bid-Ask Spread %94.5185.79107.14102.2696.94
Gamma HHI0.340.240.480.270.37
Net GEX104.3K-24.6K266.1K-18.3K175.3K
Net DEX-451.4K-1.6M1.1M1.0M-1.3M
Net VEX-8.1K-9.8K-6.3K-6.5K-9.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.004.201.000.09
Total Volume27.7140673620
Total OI842.3816001,051891736

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$110.76$120.0016.7%4.8%16.1%16.7%15.2%3.9%4.7%-18.3K1.0M-6.5K1.00102.26N/AN/A1818508383
2020-01-03$111.64$120.0021.5%6.2%16.4%40.8%15.2%3.0%0.0%8.8K829.8K-7.3K1.00107.14N/AN/A44513398
2020-01-06$111.82$110.0019.1%6.2%16.4%30.1%0.0%7.7%0.1%7.1K873.4K-6.8K1.0091.72N/AN/A11515398
2020-01-07$111.11$110.0018.3%6.4%16.5%25.9%22.9%2.8%-0.8%-23.4K1.1M-6.5K0.0093.56N/AN/A023516399
2020-01-08$111.14$105.0018.0%6.0%16.5%24.2%20.8%4.5%-0.2%-24.6K1.0M-6.3K0.0085.79N/AN/A150516393
2020-01-09$111.03$105.0018.8%6.0%16.5%28.6%18.8%3.8%0.6%-22.9K1.0M-6.3K0.0086.63N/AN/A670522393
2020-01-10$113.33$105.0013.0%5.4%16.8%0.0%19.3%4.3%0.8%80.5K468.3K-7.3K0.0488.82N/AN/A251589393
2020-01-13$112.60$105.0020.6%5.5%16.9%39.1%22.6%4.3%0.1%57.3K-71.1K-7.1K4.2086.81N/AN/A521600335
2020-01-14$113.59$105.0021.5%5.6%17.1%43.6%24.3%3.8%0.3%86.9K-232.9K-7.4K0.0092.79N/AN/A051601368
2020-01-15$115.10$105.0019.1%5.5%16.9%31.3%19.0%4.5%1.2%190.9K-654.1K-7.6K0.0492.42N/AN/A472601410
2020-01-16$116.98$110.0019.8%5.7%17.1%34.8%20.1%2.7%-0.4%266.1K-1.4M-8.5K0.0395.19N/AN/A301635412
2020-01-17$117.51$110.0017.8%5.1%16.7%24.6%19.2%1.2%0.7%109.4K-1.5M-8.4K0.0296.38N/AN/A431638413
2020-01-21$117.62$110.0018.6%5.3%16.6%29.0%21.2%3.7%-0.3%122.4K-1.1M-8.3K1.7190.16N/AN/A2136326274
2020-01-22$117.53$110.0018.8%5.4%16.6%29.6%17.9%3.0%0.5%130.8K-1.1M-8.6K0.0092.41N/AN/A570343294
2020-01-23$117.28$110.0022.7%6.5%14.4%49.8%0.0%5.4%-3.3%154.5K-1.2M-9.3K0.0090.91N/AN/A20399294
2020-01-24$117.76$110.0019.6%5.6%14.4%33.7%22.1%8.9%2.4%156.3K-1.3M-9.6K0.2997.65N/AN/A72401294
2020-01-27$118.15$110.0020.3%5.8%14.3%37.3%22.1%3.3%-0.4%170.1K-1.5M-9.3K0.7194.34N/AN/A75405295
2020-01-28$118.99$110.0019.7%5.6%14.2%34.4%19.9%-2.5%-0.1%187.4K-1.6M-9.7K0.0395.25N/AN/A341410300
2020-01-29$117.83$110.0014.8%4.2%13.3%9.1%16.7%3.9%1.2%188.0K-1.4M-9.7K0.09106.40N/AN/A111434300
2020-01-30$117.81$110.0020.0%5.7%13.0%36.1%0.0%8.7%-2.2%188.5K-1.4M-9.8K0.00101.01N/AN/A00435301
2020-01-31$117.29$110.0024.6%7.1%12.3%60.0%0.0%4.2%-1.5%175.3K-1.3M-9.5K0.0096.94N/AN/A020435301