COR Options History — December 2020

In December 2020, COR traded between $118.35 and $126.05. ATM implied volatility averaged 22.5%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 0.2% (HV 20d: 22.7%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.16.

Notable Days

  • 2020-12-22: Highest Volume — 480 contracts
  • 2020-12-10: Largest IV spike — 40.5% change
  • 2020-12-10: Highest IV Rank — 30.1%
  • 2020-12-10: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.27$118.35$126.05$125.03$125.29
Max Pain$122.95$120.00$125.00$125.00$125.00
ATM IV22.5%15.0%30.2%22.2%15.0%
Expected Move6.4%4.3%8.6%6.4%4.3%
HV 20d22.7%17.5%31.0%28.6%19.6%
HV 60d23.8%23.2%24.5%23.4%23.5%
IV Rank16.6%3.5%30.1%16.1%3.5%
IV Percentile25.6%0.8%61.5%25.8%0.8%
Term Structure3.9%-1.0%7.5%4.1%6.6%
VWIV23.5%12.1%46.3%12.1%18.8%
Skew 25d5.8%-2.8%10.7%5.5%1.4%
Skew 10d9.3%-10.0%46.4%-0.9%9.8%
Call IV 25d21.7%17.3%30.7%26.9%17.7%
Put IV 25d27.4%17.0%33.7%32.4%19.2%
Bid-Ask Spread %104.3197.09112.22109.20108.73
Gamma HHI0.540.390.740.390.74
Net GEX427.8K242.5K609.8K377.4K519.7K
Net DEX-931.4K-3.6M1.1M-3.6M-1.6M
Net VEX-13.0K-20.2K-6.8K-17.8K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.0011.000.080.17
Total Volume85.27314801437
Total OI1,564.2271,0401,9181,4021,049

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$125.03$125.0022.2%6.4%28.6%16.1%12.1%5.5%4.1%377.4K-3.6M-17.8K0.08109.20N/AN/A132111,008394
2020-12-02$120.69$125.0027.8%8.0%31.0%26.0%33.1%2.5%-1.0%311.8K-149.5K-14.5K0.02112.22N/AN/A34781,089399
2020-12-03$121.49$125.0026.6%7.6%29.2%23.9%16.8%10.0%3.4%478.7K-1.3M-18.9K0.06101.32N/AN/A5431,423407
2020-12-04$122.73$125.0024.5%5.8%29.4%20.1%20.3%9.2%7.5%532.7K-1.4M-18.6K0.00101.49N/AN/A401,457408
2020-12-07$122.89$125.0021.3%6.2%29.3%14.5%28.5%7.6%7.2%609.8K-3.0M-20.2K11.0097.09N/AN/A2221,458408
2020-12-08$122.29$125.0024.7%7.5%23.2%20.6%0.0%8.3%4.2%561.2K-1.7M-17.9K0.00102.69N/AN/A021,457419
2020-12-09$119.47$125.0021.5%6.2%24.7%14.8%25.9%2.4%5.6%328.7K738.1K-12.6K0.67101.62N/AN/A27181,457420
2020-12-10$118.52$125.0030.2%8.6%19.7%30.1%28.2%3.7%-0.8%318.2K298.1K-14.1K0.2599.82N/AN/A2051,482431
2020-12-11$118.75$120.0025.5%7.3%19.3%21.9%27.4%4.0%2.5%328.4K391.9K-14.1K5.67101.40N/AN/A3171,478435
2020-12-14$118.35$120.0026.3%7.5%17.5%23.2%23.8%9.7%1.4%303.3K987.5K-12.3K0.33103.60N/AN/A1241,478439
2020-12-15$119.41$125.0026.3%7.5%17.8%23.2%27.8%8.5%1.7%331.1K864.3K-12.1K1.25104.17N/AN/A451,476440
2020-12-16$120.03$125.0024.8%7.1%18.0%20.6%23.5%7.8%1.0%383.7K602.5K-12.3K0.20102.60N/AN/A511,474444
2020-12-17$122.38$125.0023.4%6.7%19.5%18.3%25.1%10.7%4.7%546.7K-1.5M-13.8K3.00101.32N/AN/A4121,471442
2020-12-18$121.80$120.0026.4%7.6%19.6%23.4%18.5%8.0%2.4%348.9K1.1M-11.8K0.02106.50N/AN/A20441,471440
2020-12-21$121.72$120.0023.4%6.7%19.6%18.2%22.8%5.7%3.9%242.5K-769.2K-8.5K0.17105.77N/AN/A61841199
2020-12-22$125.53$120.0018.1%5.2%22.7%8.9%20.1%2.3%5.5%463.0K-2.2M-10.8K0.00104.22N/AN/A4791850198
2020-12-23$126.05$120.0018.6%5.3%21.7%9.7%19.8%-2.8%5.0%604.9K-2.6M-11.8K0.03106.40N/AN/A3069940198
2020-12-24$124.65$120.0017.7%5.1%22.0%8.1%46.3%3.2%6.5%522.3K-2.1M-11.1K0.00107.46N/AN/A01956192
2020-12-28$125.09$120.0016.2%4.7%22.0%5.6%16.3%8.2%4.6%538.2K-1.6M-9.0K0.25106.07N/AN/A41956191
2020-12-29$124.85$120.0017.1%4.9%22.0%7.1%18.4%7.0%6.3%465.6K-1.3M-8.0K0.07104.40N/AN/A675956190
2020-12-30$123.03$125.0017.5%5.0%22.6%7.9%19.5%4.3%4.0%295.1K-658.0K-6.8K0.04106.68N/AN/A572903189
2020-12-31$125.29$125.0015.0%4.3%19.6%3.5%18.8%1.4%6.6%519.7K-1.6M-8.5K0.17108.73N/AN/A61858191