COR Options History — November 2020

In November 2020, COR traded between $120.47 and $128.87. ATM implied volatility averaged 24.6%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 2.6% (HV 20d: 27.2%). Max pain ranged from $115.00 to $125.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.68.

Notable Days

  • 2020-11-17: Highest Volume — 855 contracts
  • 2020-11-24: Largest IV drop — 14.6% change
  • 2020-11-02: Highest IV Rank — 32.1%
  • 2020-11-02: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$125.49$120.47$128.87$120.63$125.04
Max Pain$122.00$115.00$125.00$125.00$125.00
ATM IV24.6%19.9%31.3%31.3%22.1%
Expected Move7.1%5.7%9.0%9.0%6.3%
HV 20d27.2%18.1%30.9%18.1%28.9%
HV 60d23.9%21.2%25.2%21.2%23.6%
IV Rank20.3%12.1%32.1%32.1%15.9%
IV Percentile36.0%19.4%67.9%67.9%25.4%
Term Structure-0.8%-5.4%4.3%0.3%0.9%
VWIV23.9%16.0%32.0%32.0%21.8%
Skew 25d5.7%-3.1%13.5%-0.2%7.1%
Skew 10d9.4%1.4%21.4%4.7%11.2%
Call IV 25d22.2%14.5%34.6%27.3%21.9%
Put IV 25d27.9%18.2%38.4%27.1%29.0%
Bid-Ask Spread %108.36101.71113.60110.63110.71
Gamma HHI0.450.370.530.450.39
Net GEX378.9K216.0K611.8K216.0K406.6K
Net DEX-3.3M-6.3M729.0K-481.4K-2.9M
Net VEX-12.6K-17.1K-7.9K-11.7K-16.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.0021.300.131.75
Total Volume93.2518559162
Total OI1,157.251,0121,3301,0661,304

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$120.63$125.0031.3%9.0%18.1%32.1%0.0%-0.2%0.3%216.0K-481.4K-11.7K0.13110.63N/AN/A81775291
2020-11-03$122.52$125.0028.7%8.2%18.9%27.5%0.0%3.7%4.3%237.4K-1.3M-12.3K3.00112.37N/AN/A26775291
2020-11-04$125.99$125.0025.9%7.4%21.5%22.7%32.0%13.5%-1.7%345.6K-3.1M-12.8K0.00113.60N/AN/A120780295
2020-11-05$126.71$115.0024.3%7.0%20.6%19.8%0.0%5.1%2.6%336.4K-3.5M-12.6K0.08110.67N/AN/A262779295
2020-11-06$127.30$115.0024.9%6.9%20.5%20.8%0.0%3.7%1.9%336.4K-3.9M-12.4K0.00111.49N/AN/A02782295
2020-11-09$121.09$115.0026.8%7.0%25.9%24.2%0.0%6.7%1.1%253.6K-246.4K-9.2K0.00111.73N/AN/A30782295
2020-11-10$120.47$115.0023.4%7.9%25.9%18.3%0.0%9.8%-1.5%245.9K729.0K-7.9K0.00106.49N/AN/A20781295
2020-11-11$125.34$115.0026.9%7.7%30.0%24.3%0.0%5.2%-5.4%318.5K-2.7M-10.5K0.00101.71N/AN/A10781295
2020-11-12$126.42$115.0026.4%7.6%30.1%23.4%24.1%4.6%-0.8%450.6K-3.6M-10.1K0.24102.49N/AN/A10525781295
2020-11-13$128.87$125.0022.9%6.6%30.9%17.3%23.0%9.4%-1.3%611.8K-6.3M-9.5K0.04107.95N/AN/A281846315
2020-11-16$127.43$125.0025.1%7.2%30.8%21.2%16.0%-3.1%-0.2%544.4K-5.0M-9.7K0.11108.44N/AN/A182850312
2020-11-17$127.56$125.0021.6%6.2%30.8%15.1%29.6%4.4%-4.4%486.2K-4.4M-9.8K0.01106.59N/AN/A8487861314
2020-11-18$128.21$125.0024.6%7.0%30.5%20.3%24.9%10.6%-3.6%455.7K-5.9M-13.4K0.04103.01N/AN/A1406956311
2020-11-19$127.74$125.0022.8%6.5%30.5%17.2%25.3%-1.9%-1.7%359.0K-5.9M-14.0K4.80107.28N/AN/A524984316
2020-11-20$127.53$125.0025.5%7.3%30.5%21.9%26.6%1.9%-3.5%441.1K-5.7M-14.9K0.03105.93N/AN/A311989341
2020-11-23$126.73$125.0024.9%7.2%30.4%20.9%24.5%1.1%-2.0%484.1K-4.8M-14.9K21.30105.84N/AN/A10213884128
2020-11-24$124.30$125.0021.3%6.1%30.6%14.5%18.0%8.5%1.8%323.5K-1.8M-16.3K0.17107.78N/AN/A6511888340
2020-11-25$124.74$125.0019.9%5.7%29.7%12.1%0.0%12.3%-0.7%326.7K-2.3M-16.6K0.24112.46N/AN/A7217897341
2020-11-27$125.26$125.0022.5%6.5%29.6%16.6%20.6%11.1%-1.3%398.4K-2.8M-17.1K0.00110.01N/AN/A90963342
2020-11-30$125.04$125.0022.1%6.3%28.9%15.9%21.8%7.1%0.9%406.6K-2.9M-16.5K1.75110.71N/AN/A59103962342