COR Options History — January 2021

In January 2021, COR traded between $116.59 and $136.67. ATM implied volatility averaged 28.6%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 3.8% (HV 20d: 24.8%). Max pain ranged from $110.00 to $120.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.86.

Notable Days

  • 2021-01-19: Highest Volume — 238 contracts
  • 2021-01-08: Largest IV drop — 36.9% change
  • 2021-01-07: Highest IV Rank — 48.3%
  • 2021-01-29: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$124.68$116.59$136.67$121.95$133.90
Max Pain$118.95$110.00$120.00$110.00$120.00
ATM IV28.6%24.7%40.6%30.9%29.0%
Expected Move7.7%7.1%8.3%8.1%8.3%
HV 20d24.8%22.0%28.2%22.0%27.4%
HV 60d25.0%24.1%26.4%24.1%26.1%
IV Rank25.8%18.0%48.3%31.5%25.4%
IV Percentile48.3%25.8%86.5%64.7%53.6%
Term Structure-0.6%-5.1%4.5%0.3%2.7%
VWIV29.7%22.2%48.9%22.2%27.5%
Skew 25d4.6%-7.2%11.2%2.9%5.4%
Skew 10d5.1%-11.9%23.0%1.5%8.7%
Call IV 25d25.3%20.8%30.0%20.8%30.0%
Put IV 25d29.9%20.4%35.4%23.6%35.4%
Bid-Ask Spread %104.50102.13108.59102.13107.68
Gamma HHI0.420.320.600.600.32
Net GEX210.4K70.4K352.2K245.2K248.0K
Net DEX-3.5M-6.7M309.6K-543.3K-6.5M
Net VEX-12.0K-15.6K-4.9K-6.5K-15.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.006.600.920.00
Total Volume63.31672382324
Total OI1,079.2635551,3961,042946

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$121.95$110.0030.9%8.1%22.0%31.5%22.2%2.9%0.3%245.2K-543.3K-6.5K0.92102.13N/AN/A1211851191
2021-01-05$119.74$115.0027.5%7.6%22.6%25.4%31.6%10.2%1.3%114.0K-18.2K-5.4K2.00102.45N/AN/A1020858190
2021-01-06$116.59$115.0033.5%8.1%24.3%35.9%26.7%5.4%-0.7%70.4K309.6K-4.9K0.24103.74N/AN/A9122851205
2021-01-07$117.84$120.0040.6%7.7%24.7%48.3%33.7%-7.2%-0.3%217.3K-2.1M-12.9K0.00104.90N/AN/A1401,153217
2021-01-08$118.08$120.0025.6%7.7%23.4%22.1%29.7%5.7%-1.9%125.1K-1.9M-12.1K0.50103.34N/AN/A631,160217
2021-01-11$117.20$120.0029.7%8.3%23.4%29.3%28.4%0.6%-2.8%113.2K-1.7M-11.6K2.50102.76N/AN/A4101,158221
2021-01-12$117.33$120.0037.3%8.2%23.4%40.8%27.6%-1.8%0.7%115.1K-1.6M-11.6K0.36103.84N/AN/A1141,156230
2021-01-13$119.39$120.0025.0%7.2%24.2%18.4%26.5%6.5%0.0%302.2K-4.3M-13.8K0.00103.66N/AN/A701,155230
2021-01-14$120.83$120.0027.0%7.7%24.4%22.2%23.8%10.4%-0.3%221.0K-2.4M-11.9K0.56102.92N/AN/A18101,156230
2021-01-15$122.62$120.0027.2%7.8%24.8%22.5%25.2%-1.6%-0.1%117.6K-2.7M-11.7K0.01104.77N/AN/A16911,168228
2021-01-19$124.78$120.0025.6%7.3%24.6%19.5%23.3%8.3%-3.2%95.7K-2.6M-10.5K0.00102.86N/AN/A2380411144
2021-01-20$126.63$120.0025.4%7.3%25.0%19.2%25.5%7.5%-1.8%258.0K-4.4M-13.6K0.06104.33N/AN/A1469644144
2021-01-21$126.23$120.0025.4%7.3%25.1%19.1%48.9%1.3%-2.4%346.4K-4.5M-15.1K2.50108.05N/AN/A25785153
2021-01-22$128.89$120.0024.7%7.1%23.7%18.0%26.4%6.9%0.6%352.2K-5.5M-15.5K0.05104.88N/AN/A221786152
2021-01-25$132.45$120.0028.6%8.2%25.5%25.1%30.2%4.4%-5.1%328.3K-6.6M-14.9K0.01105.61N/AN/A1731777152
2021-01-26$136.67$120.0026.3%7.5%26.9%20.8%28.7%11.2%-2.5%224.9K-6.7M-11.2K0.07103.91N/AN/A594661153
2021-01-27$134.32$120.0028.0%8.0%28.0%23.9%0.0%4.4%4.5%229.4K-6.2M-14.6K0.02105.01N/AN/A571705155
2021-01-28$133.39$120.0026.9%7.7%28.2%21.9%47.9%6.1%-0.5%273.6K-6.4M-15.5K6.60108.59N/AN/A533757156
2021-01-29$133.90$120.0029.0%8.3%27.4%25.4%27.5%5.4%2.7%248.0K-6.5M-15.6K0.00107.68N/AN/A240758188