COR Options History — June 2021

In June 2021, COR traded between $121.58 and $138.10. ATM implied volatility averaged 21.2%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 3.3% (HV 20d: 24.5%). Max pain ranged from $115.00 to $130.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2021-06-07: Highest Volume — 543 contracts
  • 2021-06-11: Largest IV spike — 75.5% change
  • 2021-06-14: Highest IV Rank — 53.3%
  • 2021-06-14: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$131.84$121.58$138.10$121.58$134.64
Max Pain$120.23$115.00$130.00$120.00$130.00
ATM IV21.2%13.2%26.5%25.5%24.6%
Expected Move5.8%3.8%7.6%7.3%7.0%
HV 20d24.5%14.1%28.8%14.3%28.3%
HV 60d21.7%19.4%23.1%19.4%20.8%
IV Rank35.9%9.4%53.3%50.0%47.0%
IV Percentile22.8%0.8%55.2%46.0%43.7%
Term Structure1.7%-9.5%13.3%0.3%-0.0%
VWIV20.2%15.9%24.7%18.6%21.2%
Skew 25d3.6%-4.2%11.0%10.2%10.1%
Skew 10d10.3%-3.6%58.7%16.9%17.4%
Call IV 25d19.1%9.6%27.1%17.0%22.7%
Put IV 25d22.8%15.0%32.8%27.2%32.8%
Bid-Ask Spread %101.7997.03107.97106.95103.25
Gamma HHI0.300.180.540.230.25
Net GEX328.0K148.3K730.0K148.3K168.8K
Net DEX-4.4M-9.2M-1.5M-1.5M-2.2M
Net VEX-10.8K-14.9K-6.4K-7.4K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.003.440.050.44
Total Volume135.04505432600
Total OI1,207.4098581,668869868

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$121.58$120.0025.5%7.3%14.3%50.0%18.6%10.2%0.3%148.3K-1.5M-7.4K0.05106.95N/AN/A24812558311
2021-06-02$123.78$120.0019.0%5.4%14.1%28.4%19.5%-2.3%-9.5%336.1K-3.1M-9.8K0.33107.97N/AN/A4615749309
2021-06-03$125.61$120.0017.0%5.0%14.2%21.7%18.7%11.0%2.4%374.1K-3.9M-9.2K0.16100.38N/AN/A17028743303
2021-06-04$125.97$120.0024.2%3.9%14.1%45.8%15.9%2.0%7.3%344.3K-2.9M-6.4K0.22103.86N/AN/A6314634300
2021-06-07$132.82$115.0023.6%5.9%22.6%43.6%21.7%5.7%-2.7%283.2K-5.1M-7.4K0.11101.80N/AN/A48855619298
2021-06-08$134.82$115.0024.0%5.1%22.7%45.1%15.9%3.1%0.6%535.6K-6.7M-9.5K0.0297.03N/AN/A16031,039335
2021-06-09$136.00$115.0018.6%5.3%21.7%27.2%21.8%6.6%0.8%693.9K-7.3M-13.2K0.0599.80N/AN/A7741,102334
2021-06-10$138.10$120.0013.2%3.8%21.5%9.4%20.2%1.3%5.4%730.0K-9.2M-13.8K0.78101.48N/AN/A78611,151336
2021-06-11$132.65$120.0023.2%6.7%27.5%42.5%21.1%3.0%0.8%307.4K-5.3M-12.5K1.23102.90N/AN/A30371,201394
2021-06-14$134.72$120.0026.5%7.6%27.7%53.3%24.7%2.5%-4.8%603.6K-7.1M-14.5K2.3597.52N/AN/A34801,210376
2021-06-15$134.27$120.0022.2%6.4%27.5%39.2%22.2%0.9%-1.3%470.6K-5.9M-14.9K1.10100.71N/AN/A10111,209446
2021-06-16$133.53$120.0023.0%6.6%27.7%41.8%19.0%1.2%0.8%510.7K-6.3M-14.1K0.08100.59N/AN/A6451,215453
2021-06-17$131.65$120.0017.3%5.0%28.5%23.0%18.4%5.9%5.5%379.5K-4.5M-11.9K1.14100.83N/AN/A781,154456
2021-06-18$132.16$120.0023.5%6.7%28.5%43.3%23.0%8.0%-0.5%158.4K-4.5M-11.0K0.79101.28N/AN/A33261,152457
2021-06-21$132.36$120.0022.4%6.4%28.3%39.7%21.6%-1.4%0.6%158.4K-2.9M-10.6K3.44102.19N/AN/A931627365
2021-06-22$132.34$120.0018.1%5.2%28.3%25.4%22.2%2.2%5.2%158.5K-3.0M-9.9K0.00100.33N/AN/A100632364
2021-06-23$132.02$120.0020.2%5.8%28.3%32.6%18.6%-0.5%3.3%173.2K-3.1M-10.5K1.3198.84N/AN/A95124638344
2021-06-24$130.74$120.0020.8%6.0%28.8%34.4%17.2%-4.2%4.3%149.4K-2.6M-11.5K0.07104.28N/AN/A141638374
2021-06-25$132.83$120.0021.0%6.0%28.4%35.1%17.7%3.3%13.3%173.4K-3.1M-10.9K1.17105.11N/AN/A67642375
2021-06-28$134.60$120.0018.7%5.4%28.2%27.6%24.2%7.5%3.6%210.5K-3.7M-9.0K0.0099.65N/AN/A4052637357
2021-06-29$133.31$130.0020.6%5.9%28.7%34.0%21.2%3.9%2.4%148.3K-1.9M-10.3K0.44102.68N/AN/A278122503355
2021-06-30$134.64$130.0024.6%7.0%28.3%47.0%0.0%10.1%-0.0%168.8K-2.2M-9.7K0.00103.25N/AN/A00513355