COR Options History — June 2020

In June 2020, COR traded between $116.82 and $125.06. ATM implied volatility averaged 31.5%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 3.2% (HV 20d: 28.4%). Max pain ranged from $105.00 to $120.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.42.

Notable Days

  • 2020-06-23: Highest Volume — 822 contracts
  • 2020-06-11: Largest IV spike — 19.8% change
  • 2020-06-11: Highest IV Rank — 40.2%
  • 2020-06-11: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.27$116.82$125.06$125.06$120.72
Max Pain$114.32$105.00$120.00$120.00$120.00
ATM IV31.5%28.1%35.9%29.4%31.1%
Expected Move9.0%8.1%10.3%8.4%8.9%
HV 20d28.4%22.5%31.6%22.5%28.2%
HV 60d40.8%27.6%54.6%54.5%27.6%
IV Rank32.5%26.5%40.2%28.7%31.8%
IV Percentile76.4%69.4%83.3%76.2%73.4%
Term Structure1.2%-1.3%2.8%-0.3%1.2%
VWIV32.5%25.1%40.2%30.6%31.8%
Skew 25d6.8%3.8%12.5%6.6%9.7%
Skew 10d13.7%3.0%21.9%10.3%16.6%
Call IV 25d28.9%18.0%34.0%26.4%26.1%
Put IV 25d35.7%30.5%41.0%33.0%35.8%
Bid-Ask Spread %86.7878.83100.7889.0093.18
Gamma HHI0.210.160.260.260.20
Net GEX281.5K141.4K431.6K411.7K270.0K
Net DEX-3.3M-5.8M-1.2M-5.8M-2.1M
Net VEX-24.8K-32.3K-18.2K-22.4K-29.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.039.500.030.73
Total Volume141.864108228019
Total OI2,119.7271,7102,6501,7102,411

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$125.06$120.0029.4%8.4%22.5%28.7%30.6%6.6%-0.3%411.7K-5.8M-22.4K0.0389.00N/AN/A7821,245465
2020-06-02$122.78$115.0029.7%8.5%23.6%29.3%30.6%4.2%-1.3%365.6K-5.3M-22.1K0.7591.30N/AN/A32241,285466
2020-06-03$119.67$115.0028.1%8.1%25.2%26.5%25.1%12.5%0.7%267.4K-3.7M-20.1K0.19100.78N/AN/A68131,296484
2020-06-04$116.82$105.0031.9%8.7%25.9%33.1%29.8%4.7%1.2%207.6K-2.7M-18.2K0.4382.07N/AN/A2521091,326490
2020-06-05$119.33$110.0028.6%8.5%26.7%27.3%28.9%6.4%2.3%275.1K-3.7M-19.2K0.3678.83N/AN/A90321,323505
2020-06-08$119.66$110.0034.2%8.5%26.2%37.2%30.5%6.4%0.8%286.6K-3.9M-19.1K0.1080.57N/AN/A147151,341532
2020-06-09$122.95$110.0028.6%8.5%27.6%27.4%37.2%6.6%1.2%431.6K-5.8M-21.3K1.3378.92N/AN/A21281,417539
2020-06-10$122.09$110.0030.0%8.6%26.1%29.8%29.2%5.2%1.1%411.2K-5.4M-20.5K1.3394.04N/AN/A15201,413540
2020-06-11$117.40$115.0035.9%10.3%29.7%40.2%37.7%6.6%-0.8%258.0K-3.2M-19.9K2.8681.48N/AN/A14401,421560
2020-06-12$118.26$115.0034.0%9.7%29.8%36.8%35.6%7.2%1.1%258.4K-3.4M-19.9K1.0583.40N/AN/A22231,420575
2020-06-15$121.31$115.0035.5%10.2%31.2%39.5%35.6%7.0%2.5%384.5K-5.1M-21.5K0.3981.31N/AN/A74291,432567
2020-06-16$120.18$115.0033.3%9.5%29.8%35.6%31.6%6.7%2.8%351.5K-4.4M-19.8K4.8689.15N/AN/A1095301,467593
2020-06-17$122.43$115.0034.4%9.9%30.6%37.6%34.2%7.7%0.3%358.0K-3.8M-31.6K0.2484.02N/AN/A2971,5211,106
2020-06-18$119.84$115.0034.4%9.9%31.5%37.6%40.2%7.5%-0.4%257.2K-2.3M-32.3K2.3385.22N/AN/A371,5341,112
2020-06-19$120.65$115.0030.6%8.8%31.6%30.9%33.6%4.9%2.6%381.3K-2.6M-30.2K0.8985.09N/AN/A46411,5331,117
2020-06-22$120.38$115.0031.9%9.2%31.6%33.2%33.0%8.3%0.9%141.4K-1.8M-29.5K1.1787.11N/AN/A24281,089979
2020-06-23$120.23$115.0030.8%8.8%31.5%31.2%27.6%6.3%1.5%147.6K-1.8M-29.4K0.7988.38N/AN/A4583641,112991
2020-06-24$119.26$115.0029.8%8.6%30.3%29.5%31.3%7.1%2.4%177.4K-1.4M-29.8K0.3587.95N/AN/A51181,331993
2020-06-25$119.36$115.0029.0%8.3%28.7%28.0%30.0%4.9%2.2%182.0K-1.5M-28.9K1.0887.86N/AN/A26281,331998
2020-06-26$118.81$115.0030.9%8.9%28.1%31.4%33.2%3.8%2.6%168.0K-1.2M-29.1K0.4589.05N/AN/A113511,3501,025
2020-06-29$118.80$120.0031.7%9.1%28.1%32.8%37.8%8.3%2.0%201.1K-1.3M-31.3K9.5090.44N/AN/A2191,3421,057
2020-06-30$120.72$120.0031.1%8.9%28.2%31.8%31.8%9.7%1.2%270.0K-2.1M-29.9K0.7393.18N/AN/A1181,3441,067