COR Options History — August 2020

In August 2020, COR traded between $120.42 and $128.58. ATM implied volatility averaged 26.0%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 8.5% (HV 20d: 17.5%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.83.

Notable Days

  • 2020-08-03: Highest Volume — 542 contracts
  • 2020-08-26: Largest IV drop — 27.3% change
  • 2020-08-28: Highest IV Rank — 28.3%
  • 2020-08-28: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$123.72$120.42$128.58$127.90$122.55
Max Pain$124.05$120.00$125.00$120.00$125.00
ATM IV26.0%19.8%29.1%26.1%25.3%
Expected Move7.5%5.7%8.4%7.5%7.3%
HV 20d17.5%16.3%19.2%17.6%17.9%
HV 60d23.2%21.5%24.1%24.1%21.5%
IV Rank22.8%11.8%28.3%23.0%21.5%
IV Percentile53.7%27.0%64.7%55.2%49.6%
Term Structure1.7%-0.3%6.2%0.8%2.1%
VWIV25.5%20.3%30.1%26.0%30.1%
Skew 25d6.5%-0.1%9.2%6.1%6.7%
Skew 10d15.4%6.9%25.8%12.3%17.5%
Call IV 25d23.6%20.2%27.3%24.2%24.4%
Put IV 25d30.1%23.3%34.0%30.4%31.1%
Bid-Ask Spread %90.2982.4698.2593.0494.13
Gamma HHI0.440.340.580.460.51
Net GEX377.4K136.7K617.4K547.0K318.6K
Net DEX-3.4M-7.3M-1.1M-6.4M-3.3M
Net VEX-25.0K-33.8K-19.9K-33.8K-24.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.0024.8124.810.76
Total Volume75.952954254230
Total OI2,328.812,0042,4332,3922,370

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$127.90$120.0026.1%7.5%17.6%23.0%26.0%6.1%0.8%547.0K-6.4M-33.8K24.8193.04N/AN/A215211,405987
2020-08-04$128.58$120.0025.2%7.2%17.6%21.3%27.6%6.8%1.6%605.6K-7.3M-31.0K0.4290.64N/AN/A24101,409836
2020-08-05$128.02$120.0024.6%7.1%17.6%20.3%23.5%6.9%1.5%617.4K-7.2M-30.0K0.0096.16N/AN/A1501,418845
2020-08-06$126.74$120.0026.6%7.6%17.6%23.8%25.8%4.2%1.2%608.0K-6.3M-30.5K4.1185.94N/AN/A18741,418845
2020-08-07$125.83$125.0026.6%7.4%17.1%23.9%24.2%6.2%0.7%568.2K-4.8M-29.6K0.0982.71N/AN/A5351,428916
2020-08-10$124.90$125.0027.6%7.9%17.1%25.5%28.9%6.8%1.2%512.9K-4.4M-28.7K0.6483.03N/AN/A1171,426920
2020-08-11$121.90$125.0027.6%8.2%19.2%25.6%25.6%4.4%-0.3%326.3K-2.3M-25.6K0.6686.20N/AN/A56371,422924
2020-08-12$122.00$125.0027.8%8.0%18.9%26.0%27.1%7.8%2.1%296.6K-2.3M-24.7K0.9582.46N/AN/A21201,420954
2020-08-13$122.14$125.0027.9%8.0%17.0%26.1%23.0%8.4%0.4%321.1K-2.4M-25.5K0.1488.24N/AN/A2131,420972
2020-08-14$122.39$125.0027.2%7.8%16.3%24.9%25.1%8.6%0.8%302.8K-2.6M-25.5K0.1083.17N/AN/A2121,415974
2020-08-17$123.80$125.0026.4%7.6%16.5%23.5%29.2%5.6%-0.2%424.4K-3.1M-23.6K1.0085.34N/AN/A991,416984
2020-08-18$124.82$125.0023.5%6.7%16.7%18.3%25.3%7.9%3.9%516.3K-3.6M-22.2K0.5390.27N/AN/A1791,415992
2020-08-19$121.87$125.0025.0%7.2%17.3%21.0%26.1%7.1%3.3%245.0K-1.8M-21.8K1.2892.42N/AN/A18231,416990
2020-08-20$123.11$125.0024.3%7.0%17.8%19.8%24.2%8.7%1.4%357.4K-2.2M-21.2K0.4091.45N/AN/A1041,4181,009
2020-08-21$122.03$125.0027.0%7.8%17.9%24.6%20.3%-0.1%2.1%166.1K-2.0M-19.9K0.2194.43N/AN/A94201,4201,013
2020-08-24$120.42$125.0027.0%7.7%17.8%24.5%27.5%6.7%1.5%136.7K-1.1M-20.3K1.4493.05N/AN/A34491,111893
2020-08-25$121.78$125.0027.2%7.8%18.1%24.9%20.9%6.3%1.8%165.2K-1.3M-20.3K0.0392.28N/AN/A25281,135932
2020-08-26$122.11$125.0019.8%5.7%16.7%11.8%20.5%3.0%6.2%234.4K-1.7M-20.2K0.1198.25N/AN/A3641,375938
2020-08-27$123.47$125.0024.7%7.1%17.2%20.4%24.4%8.4%2.1%404.0K-3.0M-23.3K0.0095.37N/AN/A2001,414942
2020-08-28$121.67$125.0029.1%8.4%17.6%28.3%30.0%9.2%2.0%252.1K-2.0M-22.2K0.8097.44N/AN/A541,426942
2020-08-31$122.55$125.0025.3%7.3%17.9%21.5%30.1%6.7%2.1%318.6K-3.3M-24.9K0.7694.13N/AN/A17131,427943