COR Options History — May 2020

In May 2020, COR traded between $119.83 and $127.09. ATM implied volatility averaged 31.6%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 7.7% (HV 20d: 23.9%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2020-05-29: Highest Volume — 343 contracts
  • 2020-05-07: Largest IV spike — 28.5% change
  • 2020-05-12: Highest IV Rank — 48.4%
  • 2020-05-01: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.10$119.83$127.09$121.19$124.83
Max Pain$119.75$115.00$120.00$115.00$120.00
ATM IV31.6%24.9%40.6%36.7%24.9%
Expected Move8.9%7.1%10.5%10.5%7.1%
HV 20d23.9%20.0%33.2%33.2%22.6%
HV 60d57.1%54.6%58.5%58.5%54.6%
IV Rank32.6%20.8%48.4%41.6%20.8%
IV Percentile78.5%67.5%86.9%85.7%67.5%
Term Structure0.2%-4.4%4.0%-0.8%4.0%
VWIV31.3%23.1%43.6%36.1%27.0%
Skew 25d7.5%4.1%12.8%5.5%7.8%
Skew 10d14.4%-8.3%23.6%14.7%-8.3%
Call IV 25d27.8%20.6%35.0%35.0%24.9%
Put IV 25d35.3%29.7%40.6%40.6%32.8%
Bid-Ask Spread %85.0367.41102.5989.05100.88
Gamma HHI0.320.230.410.330.30
Net GEX262.5K133.3K383.6K228.3K327.4K
Net DEX-3.5M-5.4M-2.6M-3.5M-4.5M
Net VEX-14.3K-16.0K-12.5K-15.5K-16.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.005.500.300.02
Total Volume60.6334313343
Total OI1,259.19851,4711,1851,471

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$121.19$115.0036.7%10.5%33.2%41.6%36.1%5.5%-0.8%228.3K-3.5M-15.5K0.3089.05N/AN/A103818367
2020-05-04$121.85$120.0036.4%10.2%31.2%41.1%43.6%8.5%-0.3%261.7K-3.6M-15.4K0.1067.41N/AN/A596818367
2020-05-05$120.88$120.0033.6%9.1%28.9%36.1%30.6%6.3%3.6%262.6K-3.5M-13.8K0.1478.70N/AN/A213831373
2020-05-06$122.55$120.0027.0%9.5%28.6%24.6%29.5%7.4%-0.8%305.8K-4.2M-16.0K0.2075.38N/AN/A102847375
2020-05-07$120.69$120.0034.8%9.8%29.0%38.1%30.8%8.1%0.5%262.0K-3.4M-15.2K0.0075.69N/AN/A150853380
2020-05-08$122.36$120.0033.2%9.2%24.1%35.4%27.7%8.4%1.2%320.9K-3.9M-14.8K0.0078.71N/AN/A60858380
2020-05-11$124.02$120.0037.2%8.8%20.0%42.5%33.8%4.1%1.2%362.1K-4.5M-13.4K0.9282.17N/AN/A1211860379
2020-05-12$120.89$120.0040.6%9.3%21.5%48.4%41.4%7.5%0.4%302.7K-3.3M-13.8K2.0082.96N/AN/A2040866388
2020-05-13$120.91$120.0034.3%9.8%21.1%37.4%33.6%6.1%-1.1%285.2K-3.3M-13.9K5.5079.08N/AN/A211864427
2020-05-14$120.03$120.0032.5%9.3%21.2%34.2%36.1%7.0%0.4%229.9K-2.8M-13.3K0.0077.69N/AN/A03865434
2020-05-15$119.83$120.0033.5%9.6%21.2%36.0%34.5%7.0%-0.1%242.9K-2.6M-13.0K4.2082.31N/AN/A1042865437
2020-05-18$123.00$120.0031.3%9.0%23.1%32.0%30.7%4.6%-3.8%133.3K-3.2M-13.0K0.13102.59N/AN/A405571414
2020-05-19$122.36$120.0032.5%9.3%22.1%34.2%23.1%12.8%-4.4%162.0K-3.0M-12.5K0.0189.78N/AN/A2183608419
2020-05-20$121.69$120.0030.0%8.6%21.8%29.8%29.4%11.1%-4.1%201.9K-3.0M-13.4K1.1386.53N/AN/A1517810418
2020-05-21$121.24$120.0028.5%8.2%21.5%27.2%31.8%7.4%1.7%197.9K-2.9M-13.5K0.0187.37N/AN/A1181815431
2020-05-22$121.52$120.0027.9%8.0%21.4%26.2%0.0%8.3%2.9%232.0K-3.1M-14.9K0.0090.04N/AN/A210933432
2020-05-26$121.06$120.0025.7%7.4%20.1%22.3%24.3%8.4%0.6%254.3K-3.2M-14.4K0.2588.16N/AN/A41954432
2020-05-27$123.97$120.0025.1%7.2%21.6%21.3%26.1%7.0%1.0%293.3K-3.9M-14.4K0.9192.19N/AN/A3330957433
2020-05-28$127.09$120.0025.8%7.4%23.3%22.4%24.8%6.9%2.3%383.6K-5.4M-15.6K0.1093.86N/AN/A707969463
2020-05-29$124.83$120.0024.9%7.1%22.6%20.8%27.0%7.8%4.0%327.4K-4.5M-16.0K0.02100.88N/AN/A33581,006465