COR Options History — January 2007

In January 2007, COR traded between $0.05 and $0.07. ATM implied volatility averaged 138.2%. The 30-day expected move averaged 39.6%. IV traded above realized volatility by 46.8% (HV 20d: 91.4%). Max pain ranged from $0.13 to $0.13. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-01-12: Highest Volume — 7,000 contracts
  • 2007-01-17: Largest IV spike — 26.8% change
  • 2007-01-31: Largest Expected Move — 54.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.06$0.05$0.07$0.06$0.06
Max Pain$0.13$0.13$0.13$0.13$0.13
ATM IV138.2%97.4%189.2%102.9%189.2%
Expected Move39.6%27.9%54.2%29.5%54.2%
HV 20d91.4%86.5%97.1%97.1%86.5%
Term Structure-49.3%-98.5%17.6%17.6%-98.5%
Bid-Ask Spread %8.297.359.638.727.47
Gamma HHI1.001.001.001.001.00
Net GEX00000
Net DEX221.5K189.2K258.4K248.7K198.0K
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume62307,00000
Total OI98,30696,960101,78096,960101,780

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$0.06$0.13102.9%29.5%0.0%0.0%0.0%0.0%17.6%0248.7K00.008.72N/AN/A0058,10038,860
2007-01-04$0.06$0.13103.5%29.7%0.0%0.0%0.0%0.0%16.7%0246.8K00.008.72N/AN/A0058,10038,860
2007-01-05$0.06$0.13111.4%31.9%0.0%0.0%0.0%0.0%-35.0%0242.9K00.009.63N/AN/A0058,10038,860
2007-01-08$0.07$0.1397.4%27.9%0.0%0.0%0.0%0.0%-35.1%0258.4K00.008.22N/AN/A0058,10038,860
2007-01-09$0.07$0.13104.8%30.0%0.0%0.0%0.0%0.0%-36.4%0256.5K00.008.93N/AN/A0058,10038,860
2007-01-10$0.07$0.13104.5%30.0%0.0%0.0%0.0%0.0%-38.2%0252.6K00.008.22N/AN/A0058,10038,860
2007-01-11$0.07$0.13114.6%32.8%0.0%0.0%0.0%0.0%-39.4%0252.6K00.008.72N/AN/A0058,10038,860
2007-01-12$0.07$0.13109.0%31.2%0.0%0.0%0.0%0.0%2.0%0256.5K00.008.52N/AN/A7,000058,10038,860
2007-01-16$0.07$0.13116.2%33.3%0.0%0.0%0.0%0.0%-4.1%0258.4K00.008.93N/AN/A0062,20038,860
2007-01-17$0.05$0.13147.3%42.2%0.0%0.0%0.0%0.0%-58.8%0207.9K00.007.35N/AN/A01,20062,20038,860
2007-01-18$0.05$0.13133.8%38.4%0.0%0.0%0.0%0.0%-45.9%0204.0K00.008.00N/AN/A0062,20038,860
2007-01-19$0.05$0.13152.2%43.6%0.0%0.0%0.0%0.0%-62.9%0189.2K00.008.00N/AN/A0062,20035,360
2007-01-22$0.05$0.13160.6%46.0%0.0%0.0%0.0%0.0%-70.0%0189.2K00.008.00N/AN/A0062,20035,360
2007-01-23$0.05$0.13164.7%47.2%0.0%0.0%0.0%0.0%-83.9%0190.9K00.008.00N/AN/A160062,20035,360
2007-01-24$0.06$0.13169.9%48.7%0.0%0.0%0.0%0.0%-73.6%0194.5K00.008.93N/AN/A100062,32035,360
2007-01-25$0.06$0.13162.9%46.7%97.1%0.0%0.0%0.0%-75.2%0198.0K00.007.47N/AN/A0062,42035,360
2007-01-26$0.06$0.13165.4%47.4%93.8%0.0%0.0%0.0%-79.0%0196.2K00.007.47N/AN/A0062,42035,360
2007-01-29$0.05$0.13175.1%50.2%90.9%0.0%0.0%0.0%-91.9%0192.7K00.007.47N/AN/A4,000062,42035,360
2007-01-30$0.06$0.13178.2%51.1%88.7%0.0%0.0%0.0%-94.6%0196.2K00.008.93N/AN/A0066,42035,360
2007-01-31$0.06$0.13189.2%54.2%86.5%0.0%0.0%0.0%-98.5%0198.0K00.007.47N/AN/A0066,42035,360