COR Options History — September 2020

In September 2020, COR traded between $114.94 and $122.87. ATM implied volatility averaged 28.3%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 5.7% (HV 20d: 22.6%). Max pain ranged from $115.00 to $125.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.05.

Notable Days

  • 2020-09-21: Highest Volume — 401 contracts
  • 2020-09-03: Largest IV spike — 29.1% change
  • 2020-09-08: Highest IV Rank — 42.8%
  • 2020-09-01: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.23$114.94$122.87$121.62$118.41
Max Pain$115.95$115.00$125.00$125.00$115.00
ATM IV28.3%21.5%37.4%34.1%21.5%
Expected Move8.0%6.2%9.8%9.8%6.2%
HV 20d22.6%17.8%24.8%17.8%24.8%
HV 60d20.6%19.5%22.1%21.5%20.2%
IV Rank26.7%14.8%42.8%37.1%14.8%
IV Percentile56.6%28.6%85.3%78.6%28.6%
Term Structure1.9%-5.2%9.0%-3.2%4.0%
VWIV29.2%18.8%48.8%34.2%21.6%
Skew 25d6.2%-3.8%14.4%13.0%9.5%
Skew 10d14.8%-8.8%58.7%21.2%7.6%
Call IV 25d25.3%22.1%30.1%24.4%22.1%
Put IV 25d31.5%19.5%37.4%37.4%31.6%
Bid-Ask Spread %101.2195.27109.26105.01104.66
Gamma HHI0.340.240.480.470.39
Net GEX115.5K-105.4K352.6K279.2K341.3K
Net DEX-890.8K-3.3M1.2M-1.9M-3.3M
Net VEX-15.7K-23.7K-10.2K-23.7K-16.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.050.0046.000.400.54
Total Volume53.85704012120
Total OI2,318.191,6242,4302,3922,323

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$121.62$125.0034.1%9.8%17.8%37.1%34.2%13.0%-3.2%279.2K-1.9M-23.7K0.40105.01N/AN/A1561,436956
2020-09-02$122.87$125.0024.3%7.0%18.3%19.7%29.2%10.5%0.9%318.1K-2.8M-22.1K0.14103.11N/AN/A711,443962
2020-09-03$118.58$115.0031.3%8.2%21.7%32.1%32.1%7.1%0.7%178.2K-1.1M-22.3K0.5695.87N/AN/A951,447963
2020-09-04$117.02$115.0032.1%9.0%22.0%33.5%31.3%4.7%0.3%12.5K54.6K-18.8K0.8896.79N/AN/A871,443967
2020-09-08$116.31$115.0037.4%9.5%21.9%42.8%33.4%14.4%-0.9%9.0K826.4K-17.0K0.4598.15N/AN/A29131,446968
2020-09-09$116.92$115.0032.4%9.3%20.7%34.1%31.6%5.3%1.0%2.7K575.7K-15.6K0.7195.27N/AN/A751,447979
2020-09-10$114.94$115.0030.2%8.7%21.3%30.1%28.5%4.6%3.4%39.1K1.1M-16.9K0.0098.45N/AN/A201,450980
2020-09-11$116.12$115.0028.6%8.2%21.8%27.4%31.4%9.9%1.6%-105.4K1.2M-13.4K0.0099.56N/AN/A1001,450980
2020-09-14$116.27$115.0031.2%8.9%21.8%31.9%18.8%9.1%0.2%-99.3K1.2M-13.0K46.00103.92N/AN/A1461,450980
2020-09-15$118.58$115.0028.9%8.3%22.7%27.8%28.7%5.1%0.7%52.7K-106.8K-13.8K0.1499.81N/AN/A711,451951
2020-09-16$121.60$115.0024.8%7.1%24.4%20.7%25.3%3.2%5.3%228.4K-1.7M-12.3K2.88100.75N/AN/A8231,454951
2020-09-17$119.84$115.0027.1%7.8%23.5%24.7%0.0%7.5%2.5%153.9K-1.1M-12.1K0.00104.49N/AN/A001,454960
2020-09-18$118.44$115.0027.5%7.9%23.4%25.5%32.1%7.7%1.3%5.6K80.9K-11.2K0.00102.33N/AN/A041,454960
2020-09-21$117.41$115.0024.9%7.1%23.4%20.9%27.6%-3.0%9.0%-59.8K-250.4K-10.2K0.03100.67N/AN/A38912813811
2020-09-22$118.41$115.0024.4%7.0%23.3%19.9%23.3%4.6%4.0%86.4K-1.7M-14.4K0.0198.66N/AN/A25631,128823
2020-09-23$115.75$115.0030.8%8.8%24.1%31.3%25.5%6.3%-5.2%145.9K-1.2M-16.7K0.83102.15N/AN/A651,382824
2020-09-24$116.62$115.0027.1%7.8%24.3%24.6%25.8%6.5%2.1%107.4K-1.3M-14.4K3.73100.35N/AN/A371381,379826
2020-09-25$117.55$115.0024.3%7.0%24.1%19.8%35.6%5.9%2.7%114.0K-1.6M-13.9K0.14100.83N/AN/A711,363964
2020-09-28$119.29$115.0026.5%7.6%24.3%23.6%48.8%2.7%4.4%263.8K-2.5M-14.8K0.00105.31N/AN/A601,368964
2020-09-29$120.22$115.0024.0%6.9%24.4%19.3%19.3%-3.8%4.8%352.6K-3.3M-16.1K0.42109.26N/AN/A26111,368964
2020-09-30$118.41$115.0021.5%6.2%24.8%14.8%21.6%9.5%4.0%341.3K-3.3M-16.3K0.54104.66N/AN/A1371,362961