COR Options History — July 2020

In July 2020, COR traded between $118.64 and $128.92. ATM implied volatility averaged 29.8%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 6.9% (HV 20d: 22.9%). Max pain ranged from $120.00 to $120.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.00.

Notable Days

  • 2020-07-20: Highest Volume — 561 contracts
  • 2020-07-13: Largest IV spike — 25.7% change
  • 2020-07-13: Highest IV Rank — 41.9%
  • 2020-07-14: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$123.87$118.64$128.92$125.46$128.64
Max Pain$120.00$120.00$120.00$120.00$120.00
ATM IV29.8%23.8%36.9%25.6%24.4%
Expected Move8.6%6.8%9.8%7.3%7.0%
HV 20d22.9%17.7%29.9%29.9%17.7%
HV 60d25.0%24.2%27.7%27.7%24.3%
IV Rank29.4%18.9%41.9%22.0%20.0%
IV Percentile67.7%48.8%84.9%61.1%49.6%
Term Structure0.2%-3.6%6.9%6.3%1.1%
VWIV30.2%22.1%35.6%28.4%24.5%
Skew 25d7.6%3.2%12.7%3.2%6.3%
Skew 10d16.2%9.0%26.7%11.9%14.6%
Call IV 25d27.6%22.9%31.3%25.9%23.1%
Put IV 25d35.2%29.1%38.7%29.1%29.4%
Bid-Ask Spread %84.7072.0698.2998.2992.29
Gamma HHI0.310.210.460.250.45
Net GEX361.3K45.9K539.5K507.8K539.5K
Net DEX-3.7M-7.0M-230.6K-4.9M-7.0M
Net VEX-29.9K-34.6K-24.1K-32.2K-32.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.008.000.750.08
Total Volume111.565619128
Total OI2,352.4551,5952,5622,4152,381

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$125.46$120.0025.6%7.3%29.9%22.0%28.4%3.2%6.3%507.8K-4.9M-32.2K0.7598.29N/AN/A52391,3491,066
2020-07-02$124.48$120.0023.8%6.8%28.5%18.9%23.6%8.0%6.9%463.6K-4.0M-30.6K0.1095.77N/AN/A96101,3631,072
2020-07-06$123.68$120.0027.5%9.0%27.8%25.5%32.2%5.9%-0.3%448.7K-3.5M-29.2K0.2879.29N/AN/A325901,3541,076
2020-07-07$123.37$120.0027.4%9.1%27.9%25.1%0.0%4.7%-0.3%388.1K-3.0M-28.1K0.6774.27N/AN/A81541,3481,080
2020-07-08$122.84$120.0027.3%9.0%26.2%25.1%31.3%7.6%0.7%393.2K-2.9M-29.0K2.3079.90N/AN/A10231,3501,116
2020-07-09$124.46$120.0031.0%9.0%26.5%31.6%32.2%7.5%1.3%481.8K-4.1M-28.0K0.3574.96N/AN/A34121,3561,133
2020-07-10$122.86$120.0029.3%8.6%22.6%28.7%30.8%8.3%1.1%396.2K-3.1M-28.2K2.0073.32N/AN/A241,3881,140
2020-07-13$121.86$120.0036.9%9.5%22.8%41.9%35.6%8.6%0.1%324.9K-2.2M-27.1K1.6776.21N/AN/A9151,3891,144
2020-07-14$122.42$120.0036.6%9.8%21.0%41.3%29.7%9.4%-1.4%329.7K-2.5M-25.0K0.0173.73N/AN/A11911,3861,150
2020-07-15$121.23$120.0032.4%9.3%21.0%34.1%32.7%7.5%0.4%257.4K-1.9M-27.0K0.1772.06N/AN/A395691,3951,148
2020-07-16$118.64$120.0032.4%9.3%21.2%34.0%35.2%6.9%0.2%121.9K-230.6K-24.9K8.0082.63N/AN/A3241,3901,151
2020-07-17$120.41$120.0032.5%9.3%20.6%34.1%33.3%5.8%-1.9%254.5K-1.5M-25.2K0.8386.44N/AN/A18151,4001,162
2020-07-20$121.46$120.0031.0%8.9%20.7%31.5%26.3%9.9%-2.7%45.9K-864.9K-24.1K0.0688.41N/AN/A52932660935
2020-07-21$121.72$120.0032.7%9.4%20.7%34.6%30.7%4.6%-3.6%252.5K-2.8M-32.2K0.0985.23N/AN/A5351,167961
2020-07-22$124.24$120.0028.3%8.1%21.9%26.8%29.8%6.0%0.1%329.2K-4.1M-32.7K0.1889.21N/AN/A3461,220966
2020-07-23$123.83$120.0029.1%8.3%21.7%28.3%29.0%6.6%-0.8%320.4K-3.9M-33.0K0.2187.79N/AN/A1941,234963
2020-07-24$124.28$120.0030.3%8.7%21.7%30.4%22.1%9.7%-2.4%334.1K-4.1M-33.1K0.0089.24N/AN/A1301,250967
2020-07-27$125.79$120.0031.0%8.9%21.8%31.6%34.2%12.7%-2.3%380.7K-5.0M-32.6K0.1089.17N/AN/A4041,261967
2020-07-28$126.63$120.0031.3%9.0%21.8%32.1%33.3%9.9%-1.3%418.9K-5.6M-33.5K3.2587.10N/AN/A4131,300969
2020-07-29$128.92$120.0029.7%8.5%22.0%29.3%33.9%6.9%1.6%432.1K-6.9M-34.0K0.0196.47N/AN/A13711,303978
2020-07-30$127.90$120.0024.3%7.0%17.9%19.7%24.4%10.6%1.5%527.8K-6.4M-34.6K0.9491.71N/AN/A16151,389977
2020-07-31$128.64$120.0024.4%7.0%17.7%20.0%24.5%6.3%1.1%539.5K-7.0M-32.6K0.0892.29N/AN/A2621,394987