COR Options History — April 2020

In April 2020, COR traded between $110.76 and $124.61. ATM implied volatility averaged 42.7%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 21.1% (HV 20d: 63.8%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.37.

Notable Days

  • 2020-04-09: Highest Volume — 221 contracts
  • 2020-04-21: Largest IV spike — 14.4% change
  • 2020-04-01: Highest IV Rank — 79.9%
  • 2020-04-01: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.18$110.76$124.61$111.97$121.72
Max Pain$113.33$110.00$115.00$115.00$115.00
ATM IV42.7%34.4%58.5%58.5%35.4%
Expected Move12.1%9.9%16.8%16.8%10.1%
HV 20d63.8%33.4%87.7%87.2%33.4%
HV 60d57.6%55.8%58.5%55.8%58.5%
IV Rank52.1%37.5%79.9%79.9%39.2%
IV Percentile89.5%84.5%94.8%94.8%84.5%
Term Structure-2.3%-6.4%3.7%-0.6%-1.8%
VWIV44.2%35.9%60.1%60.1%40.6%
Skew 25d9.8%6.4%13.2%8.3%11.9%
Skew 10d19.3%1.5%33.4%30.4%16.9%
Call IV 25d39.2%27.5%58.3%58.3%30.2%
Put IV 25d49.0%38.3%66.6%66.6%42.0%
Bid-Ask Spread %81.7767.2297.8185.8491.21
Gamma HHI0.310.270.390.270.30
Net GEX158.1K46.1K265.2K46.1K236.0K
Net DEX-3.0M-4.7M-1.4M-1.5M-3.6M
Net VEX-15.5K-16.9K-13.6K-16.8K-14.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.008.584.335.89
Total Volume5272211662
Total OI1,512.6198721,9211,6641,221

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$111.97$115.0058.5%16.8%87.2%79.9%60.1%8.3%-0.6%46.1K-1.5M-16.8K4.3385.84N/AN/A3136201,044
2020-04-02$113.84$110.0055.4%14.3%87.3%74.4%54.0%6.4%-3.6%65.7K-1.8M-15.7K0.3467.22N/AN/A35126201,052
2020-04-03$110.76$110.0049.5%13.9%87.7%64.0%44.9%9.7%-4.7%56.0K-1.4M-16.1K8.5869.72N/AN/A121036531,064
2020-04-06$115.05$110.0046.9%13.4%86.5%59.5%45.9%10.0%-6.4%95.6K-2.2M-15.7K0.6770.14N/AN/A18126631,153
2020-04-07$113.70$110.0046.0%12.4%84.5%58.0%0.0%8.0%-4.0%83.9K-1.9M-15.5K0.4678.53N/AN/A24116721,159
2020-04-08$115.47$110.0041.5%11.9%84.0%50.0%38.9%11.5%3.7%120.3K-2.3M-15.3K0.0183.05N/AN/A8316851,166
2020-04-09$121.12$110.0042.3%12.1%75.8%51.4%38.6%9.2%-4.5%178.9K-3.8M-15.7K0.0280.12N/AN/A21656801,167
2020-04-13$116.76$115.0042.8%12.3%73.1%52.3%46.9%10.5%-0.7%144.6K-2.7M-15.3K0.5082.94N/AN/A1477301,170
2020-04-14$118.95$115.0042.0%12.0%71.3%50.9%0.0%12.8%-0.6%214.4K-3.5M-15.1K0.0079.12N/AN/A1407211,174
2020-04-15$117.70$115.0042.3%12.1%68.8%51.3%46.2%7.4%-3.4%174.5K-3.0M-14.4K4.3379.94N/AN/A6267251,174
2020-04-16$118.69$115.0041.0%11.7%68.3%49.1%41.0%8.6%-1.8%232.5K-3.4M-14.7K0.8077.96N/AN/A547281,189
2020-04-17$118.95$115.0042.2%12.1%68.3%51.2%39.1%11.3%-4.5%115.0K-3.1M-13.6K1.1683.18N/AN/A19227291,192
2020-04-20$118.92$110.0040.9%11.7%66.6%49.0%42.6%9.4%-1.5%113.9K-2.6M-14.5K0.2177.68N/AN/A5211533339
2020-04-21$116.89$115.0046.8%13.4%52.5%59.3%47.8%13.2%-5.3%112.0K-2.4M-15.0K0.0079.20N/AN/A1680581347
2020-04-22$118.57$115.0040.8%11.7%52.3%48.7%43.4%6.7%-1.3%160.5K-3.0M-16.2K0.1781.43N/AN/A549722347
2020-04-23$120.05$115.0037.4%10.7%44.2%42.8%39.5%7.8%1.4%193.6K-3.4M-16.8K0.2087.71N/AN/A153776354
2020-04-24$120.57$115.0036.3%10.4%43.4%40.9%0.0%11.4%1.1%204.2K-3.7M-16.9K0.1084.89N/AN/A101786354
2020-04-27$123.08$115.0034.4%9.9%35.6%37.5%38.3%7.4%-1.7%242.8K-4.0M-16.5K0.3585.86N/AN/A176796355
2020-04-28$124.42$115.0038.7%11.1%34.6%45.0%35.9%10.7%-6.3%264.9K-4.5M-16.3K0.1797.81N/AN/A61805354
2020-04-29$124.61$115.0036.3%10.4%34.2%40.9%51.4%12.6%-2.8%265.2K-4.7M-15.3K0.5093.71N/AN/A84810355
2020-04-30$121.72$115.0035.4%10.1%33.4%39.2%40.6%11.9%-1.8%236.0K-3.6M-14.9K5.8991.21N/AN/A953818403