COR Options History — March 2020

In March 2020, COR traded between $92.69 and $115.38. ATM implied volatility averaged 55.7%, placing in the 88.7% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 9.1% (HV 20d: 64.7%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 4.65.

Notable Days

  • 2020-03-23: Highest Volume — 564 contracts
  • 2020-03-12: Largest IV spike — 35.6% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.74$92.69$115.38$108.73$115.38
Max Pain$114.32$110.00$115.00$115.00$115.00
ATM IV55.7%29.0%70.0%29.0%55.2%
Expected Move15.6%8.3%20.1%8.3%15.8%
HV 20d64.7%39.5%88.9%41.7%87.1%
HV 60d40.7%26.7%55.5%26.7%55.5%
IV Rank88.7%61.9%100.0%61.9%74.0%
IV Percentile98.6%94.8%100.0%96.8%94.8%
Term Structure-10.8%-23.2%-3.5%-3.5%-7.8%
VWIV58.9%29.7%85.5%29.7%53.2%
Skew 25d10.0%0.7%29.8%5.3%16.2%
Skew 10d25.9%4.9%48.2%16.7%16.6%
Call IV 25d50.9%24.8%67.7%32.0%53.4%
Put IV 25d60.9%36.5%87.3%37.3%69.6%
Bid-Ask Spread %89.1179.44100.8299.0094.92
Gamma HHI0.250.140.330.240.29
Net GEX51.1K-68.1K146.8K35.0K65.1K
Net DEX-3.6K-2.0M1.5M388.5K-2.0M
Net VEX-10.5K-14.8K-7.1K-7.5K-13.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.650.0046.000.571.87
Total Volume65.273056411178
Total OI1,279.6368701,5061,1271,492

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$108.73$115.0029.0%8.3%41.7%61.9%29.7%5.3%-3.5%35.0K388.5K-7.5K0.5799.00N/AN/A74727400
2020-03-03$108.29$115.0032.8%9.4%41.5%76.8%0.0%0.7%-4.3%48.1K514.7K-7.1K0.0099.23N/AN/A00730401
2020-03-04$111.81$115.0030.5%8.8%43.0%68.0%36.6%11.8%-4.5%146.8K-234.3K-8.1K1.33100.82N/AN/A34730401
2020-03-05$110.84$115.0035.6%8.8%42.8%87.6%0.0%5.3%-4.4%133.7K-176.0K-8.1K0.0092.46N/AN/A10729401
2020-03-06$109.03$115.0044.0%10.0%39.5%100.0%0.0%10.4%-7.1%76.6K207.4K-8.1K0.00100.81N/AN/A02730401
2020-03-09$103.74$115.0051.0%11.8%42.9%100.0%0.0%2.0%-4.7%22.6K628.1K-8.6K0.0093.85N/AN/A100769402
2020-03-10$109.73$115.0046.8%12.1%47.2%89.1%45.3%11.8%-10.9%77.8K4.8K-8.7K0.7188.82N/AN/A2820769403
2020-03-11$106.94$115.0051.3%14.7%47.9%100.0%50.6%6.9%-12.7%68.1K5.7K-10.1K1.0084.88N/AN/A11796408
2020-03-12$96.82$115.0069.5%19.9%58.9%100.0%63.2%17.5%-23.2%30.3K728.3K-9.5K2.5090.06N/AN/A25796407
2020-03-13$104.88$115.0061.2%17.5%66.5%85.2%62.1%19.5%-17.1%44.6K232.7K-9.7K2.8887.98N/AN/A1646799408
2020-03-16$100.87$115.0064.1%18.4%67.1%90.4%68.8%16.0%-19.3%53.8K4.6K-11.2K11.0084.97N/AN/A444815427
2020-03-17$107.18$115.0065.8%18.9%71.2%93.3%61.5%6.8%-15.4%81.3K-178.4K-10.8K0.0181.23N/AN/A1901813469
2020-03-18$105.45$115.0070.0%20.1%71.4%100.0%45.3%29.8%-17.4%104.0K-279.1K-12.3K46.0085.98N/AN/A146967470
2020-03-19$106.81$115.0068.9%19.8%71.5%98.1%74.1%16.5%-14.0%106.1K-399.2K-11.7K0.0084.10N/AN/A09967449
2020-03-20$103.10$115.0059.7%17.1%72.3%81.9%62.6%1.9%-9.5%14.8K541.0K-11.5K8.0084.61N/AN/A2161,008457
2020-03-23$92.69$115.0067.8%19.4%80.7%96.2%85.5%5.5%-8.9%-8.9K1.2M-8.7K10.0680.72N/AN/A51513479391
2020-03-24$95.02$110.0066.4%19.0%81.6%93.7%67.9%6.7%-7.3%-68.1K1.5M-10.1K0.7179.44N/AN/A3424516895
2020-03-25$103.55$110.0065.2%18.7%88.3%91.6%68.9%10.1%-11.2%-5.5K202.9K-14.8K0.0285.58N/AN/A421549911
2020-03-26$102.00$110.0066.9%19.2%85.2%94.6%60.4%4.5%-15.2%-6.5K121.2K-13.7K0.2491.47N/AN/A5112591915
2020-03-27$110.12$115.0061.8%17.7%88.9%85.7%61.1%7.8%-7.3%44.5K-1.3M-13.6K0.2484.22N/AN/A389556927
2020-03-30$113.33$115.0061.0%17.5%87.0%84.2%63.9%6.1%-12.2%59.6K-1.8M-13.0K1.2285.20N/AN/A911550931
2020-03-31$115.38$115.0055.2%15.8%87.1%74.0%53.2%16.2%-7.8%65.1K-2.0M-13.9K1.8794.92N/AN/A62116559933