COR Options History — December 2021

In December 2021, COR traded between $169.85 and $170.28. ATM implied volatility averaged 2.4%, placing in the 1.5% IV rank vs the trailing year. The 30-day expected move averaged 0.9%. IV traded below realized volatility by 9.2% (HV 20d: 11.6%). Max pain ranged from $170.00 to $180.00. Net GEX was positive for 1 of 18 trading days. Term structure was in contango for 9 of 18 days. Put/call ratio averaged 0.16.

Notable Days

  • 2021-12-27: Highest Volume — 4,225 contracts
  • 2021-12-15: Largest IV spike — 70.6% change
  • 2021-12-15: Highest IV Rank — 7.8%
  • 2021-12-09: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$170.02$169.85$170.28$169.97$169.85
Max Pain$178.33$170.00$180.00$170.00$180.00
ATM IV2.4%0.6%5.1%2.7%0.6%
Expected Move0.9%0.2%2.2%0.8%0.2%
HV 20d11.6%3.0%23.1%23.1%3.0%
HV 60d22.4%20.0%24.1%24.1%20.0%
IV Rank1.5%0.0%7.8%0.0%0.1%
IV Percentile1.1%0.0%4.0%0.0%0.4%
Term Structure-0.3%-6.5%4.4%2.6%-3.5%
VWIV8.0%0.9%20.8%2.6%0.9%
Skew 25d1.9%-22.9%62.0%0.9%1.3%
Skew 10d9.4%-26.4%114.3%1.6%4.3%
Call IV 25d6.1%2.7%31.1%5.7%3.6%
Put IV 25d8.0%2.1%64.7%6.6%4.9%
Bid-Ask Spread %104.6787.79111.7594.28101.95
Gamma HHI0.720.330.960.650.72
Net GEX-3.0M-7.3M257.2K-2.4M257.2K
Net DEX3.4M2.0M4.6M3.8M2.0M
Net VEX-22.3K-32.9K-12.7K-24.1K-25.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.091.030.101.03
Total Volume3,019.1672,2144,2253,7124,225
Total OI2,220.8891,5472,5002,3161,920

Daily Data (18 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$169.97$170.002.7%0.8%23.1%0.0%2.6%0.9%2.6%-2.4M3.8M-24.1K0.1094.28N/AN/A3,3733398101,506
2021-12-02$169.96$170.002.8%0.8%20.6%0.0%13.1%2.5%-1.2%-1.5M4.6M-30.0K0.09102.98N/AN/A3,3623138321,540
2021-12-03$170.00$170.002.9%0.8%20.5%0.3%10.0%3.7%4.0%-1.2M4.2M-32.9K0.10102.74N/AN/A3,3613218321,548
2021-12-06$170.01$180.002.8%1.4%20.6%0.2%4.2%-1.9%-3.7%-3.0M3.2M-22.1K0.09105.71N/AN/A3,3402988321,567
2021-12-07$170.28$180.003.6%1.4%19.4%1.9%5.3%-3.0%-2.3%-2.1M2.4M-23.3K0.09108.85N/AN/A3,3383118321,569
2021-12-08$170.08$180.002.7%0.4%18.4%0.0%10.7%3.1%3.1%-2.8M3.4M-24.9K0.09105.07N/AN/A3,3352918331,588
2021-12-09$170.00$180.001.4%2.2%18.4%0.0%9.9%-3.7%-2.2%-4.7M4.2M-20.2K0.11101.75N/AN/A2,4492728331,593
2021-12-10$170.07$180.001.8%1.5%18.1%0.9%9.1%-1.1%-2.3%-4.5M2.8M-20.9K0.11110.99N/AN/A2,4482708471,609
2021-12-13$170.19$180.002.6%1.4%16.4%2.4%5.7%-2.1%-2.2%-6.1M2.6M-17.3K0.11110.02N/AN/A2,4572718471,612
2021-12-14$170.08$180.003.0%1.4%5.6%3.3%10.0%-3.5%-2.9%-4.3M3.5M-23.4K0.12110.30N/AN/A2,4432858551,623
2021-12-15$170.08$180.005.1%1.5%3.7%7.8%11.7%-2.3%-6.5%-4.0M4.1M-19.2K0.11107.58N/AN/A2,4452818561,643
2021-12-16$170.09$180.003.5%1.0%3.7%4.5%5.9%-1.0%4.4%-7.3M2.9M-20.5K0.12111.75N/AN/A2,4402858561,644
2021-12-17$170.11$180.003.2%0.9%3.5%3.7%5.0%-0.1%3.1%-3.2M3.3M-19.8K0.12107.72N/AN/A2,3262788561,642
2021-12-20$169.96$180.001.7%0.5%3.5%0.6%2.7%0.6%3.4%-1.9M3.1M-22.1K0.12108.13N/AN/A1,9842304801,067
2021-12-21$169.88$180.001.4%0.4%3.5%0.0%1.5%62.0%1.2%-3.4M4.0M-12.7K0.12107.62N/AN/A2,0022414821,076
2021-12-22$169.89$180.000.6%0.2%3.4%0.0%20.8%-22.9%0.0%-918.6K4.1M-16.8K0.1287.79N/AN/A2,1252574941,080
2021-12-23$169.91$180.000.8%0.2%3.1%0.6%14.5%1.0%0.0%-685.4K2.7M-26.2K0.1398.83N/AN/A2,0762736551,117
2021-12-27$169.85$180.000.6%0.2%3.0%0.1%0.9%1.3%-3.5%257.2K2.0M-25.0K1.03101.95N/AN/A2,0862,1397701,150