COR Options History — March 2021

In March 2021, COR traded between $108.44 and $123.06. ATM implied volatility averaged 25.7%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 5.2% (HV 20d: 30.8%). Max pain ranged from $115.00 to $125.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 6.40.

Notable Days

  • 2021-03-05: Highest Volume — 813 contracts
  • 2021-03-25: Largest IV spike — 48.8% change
  • 2021-03-08: Highest IV Rank — 40.8%
  • 2021-03-08: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.25$108.44$123.06$118.50$120.42
Max Pain$120.00$115.00$125.00$125.00$120.00
ATM IV25.7%15.2%37.4%22.1%23.1%
Expected Move7.1%4.4%10.5%6.3%6.6%
HV 20d30.8%24.7%33.1%30.8%24.7%
HV 60d29.8%27.4%31.0%27.5%30.8%
IV Rank19.7%0.3%40.8%12.8%18.5%
IV Percentile31.0%0.4%84.9%6.3%12.3%
Term Structure0.9%-14.0%9.9%9.9%-0.6%
VWIV24.4%17.8%30.0%24.1%25.5%
Skew 25d5.6%-2.2%13.7%1.1%6.6%
Skew 10d7.6%-4.0%24.6%2.7%11.2%
Call IV 25d23.5%18.1%29.7%23.7%19.8%
Put IV 25d29.1%20.6%36.5%24.8%26.4%
Bid-Ask Spread %100.1892.06107.72106.97104.52
Gamma HHI0.320.260.530.350.53
Net GEX-136.2K-334.2K369.1K-281.5K369.1K
Net DEX2.0M-5.4M5.5M1.7M-2.4M
Net VEX-16.8K-22.0K-9.6K-14.1K-20.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.400.0053.200.5821.00
Total Volume153.3481281319198
Total OI1,6581,3662,1421,3661,732

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$118.50$125.0022.1%6.3%30.8%12.8%24.1%1.1%9.9%-281.5K1.7M-14.1K0.58106.97N/AN/A127665701
2021-03-02$114.70$125.0032.6%9.3%27.8%31.9%28.7%6.2%-14.0%-202.2K3.3M-12.3K2.00107.56N/AN/A2142676706
2021-03-03$108.44$120.0033.1%9.5%32.3%32.9%20.8%13.7%-7.1%-147.2K5.1M-9.6K1.91107.72N/AN/A4382694730
2021-03-04$109.62$115.0034.7%8.4%33.1%35.8%30.0%6.1%2.1%-165.7K5.5M-11.5K0.14103.22N/AN/A375711803
2021-03-05$111.32$115.0034.7%8.8%31.0%35.7%24.2%8.2%-2.1%-210.2K4.4M-13.1K53.20100.89N/AN/A15798736808
2021-03-08$112.47$120.0037.4%10.5%29.5%40.8%24.2%9.4%-6.7%-164.0K4.5M-14.5K15.0898.65N/AN/A12181746800
2021-03-09$112.82$120.0034.0%7.5%29.0%34.5%28.4%7.6%-0.1%-196.7K4.6M-15.5K0.71101.35N/AN/A75743844
2021-03-10$114.15$120.0024.4%7.0%29.3%17.1%28.5%6.1%0.7%-204.6K4.1M-16.4K0.0093.68N/AN/A830748844
2021-03-11$115.00$120.0027.0%7.7%29.6%21.7%27.7%6.8%2.2%-196.1K3.4M-18.8K0.8092.06N/AN/A1512817844
2021-03-12$115.99$120.0027.6%7.9%29.7%22.8%29.0%9.9%0.6%-213.1K2.9M-19.0K0.6794.35N/AN/A96818856
2021-03-15$117.45$120.0025.4%7.3%30.2%19.0%27.3%8.6%1.1%-247.9K2.4M-17.7K0.0797.15N/AN/A1138822856
2021-03-16$119.30$120.0026.7%7.6%30.4%21.2%25.8%5.8%-0.5%-193.2K930.9K-18.2K0.6896.83N/AN/A2215836854
2021-03-17$115.88$120.0025.0%7.2%31.9%18.1%25.1%-2.2%2.7%-215.1K3.0M-17.7K1.86100.59N/AN/A713832858
2021-03-18$114.63$120.0023.4%6.7%32.1%15.2%25.2%7.0%2.6%-241.0K3.7M-16.4K0.6797.10N/AN/A128838854
2021-03-19$115.68$120.0024.0%6.9%32.2%16.6%23.3%7.3%3.7%-334.2K3.1M-15.9K0.3398.86N/AN/A248844854
2021-03-22$117.47$120.0022.9%6.6%32.2%14.8%22.4%4.1%3.0%-207.9K1.7M-16.1K1.1497.41N/AN/A2124651739
2021-03-23$119.01$120.0020.6%5.9%32.6%10.5%20.1%-0.3%1.9%-243.6K756.3K-16.3K0.1899.68N/AN/A39471656756
2021-03-24$118.70$120.0015.2%4.4%31.9%0.3%20.3%4.0%4.6%-127.1K592.3K-18.6K1.60103.62N/AN/A58985792
2021-03-25$118.92$120.0022.6%6.5%31.8%14.6%22.0%0.9%-2.8%-79.3K415.7K-18.1K0.02102.37N/AN/A3689988800
2021-03-26$121.81$120.0018.5%5.3%33.0%6.7%18.5%1.1%8.2%84.3K-3.2M-22.0K1.38102.81N/AN/A47651,332804
2021-03-29$123.06$120.0017.9%5.1%31.4%6.1%17.8%4.4%5.7%282.4K-5.4M-21.6K0.0297.64N/AN/A33471,332810
2021-03-30$118.32$120.0017.7%5.1%32.4%5.9%21.7%6.4%5.8%1.3K191.4K-21.7K43.2599.14N/AN/A83461,203816
2021-03-31$120.42$120.0023.1%6.6%24.7%18.5%25.5%6.6%-0.6%369.1K-2.4M-20.3K21.00104.52N/AN/A91891,209523