COR Options History — February 2007

In February 2007, COR traded between $0.06 and $0.09. ATM implied volatility averaged 136.6%. The 30-day expected move averaged 41.0%. IV traded above realized volatility by 55.4% (HV 20d: 81.2%). Max pain ranged from $0.13 to $0.13. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 2.88.

Notable Days

  • 2007-02-23: Highest Volume — 7,600 contracts
  • 2007-02-05: Largest IV drop — 100.0% change
  • 2007-02-07: Largest Expected Move — 55.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.06$0.06$0.09$0.06$0.09
Max Pain$0.13$0.13$0.13$0.13$0.13
ATM IV136.6%86.4%194.9%187.4%127.2%
Expected Move41.0%27.3%55.9%53.7%36.5%
HV 20d81.2%25.8%136.2%84.2%136.2%
Term Structure-75.7%-107.2%-39.0%-82.2%-107.2%
VWIV129.9%114.5%144.9%137.4%127.3%
Bid-Ask Spread %28.157.47157.817.4716.24
Gamma HHI0.790.561.001.000.67
Net GEX16607980703
Net DEX106.2K-95.8K208.6K198.0K-66.8K
Net VEX-251-98200-964
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.880.0025.000.000.00
Total Volume950.52607,600080
Total OI84,907.36856,540104,480101,78062,580

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$0.06$0.13187.4%53.7%84.2%0.0%0.0%0.0%-82.2%0198.0K00.007.47N/AN/A0066,42035,360
2007-02-02$0.06$0.13193.5%55.5%84.2%0.0%0.0%0.0%-39.0%0198.0K00.007.47N/AN/A1,180066,42035,360
2007-02-05$0.06$0.130.0%0.0%84.3%0.0%0.0%0.0%0.0%0199.8K00.00157.81N/AN/A3,960067,60035,360
2007-02-06$0.06$0.13182.3%52.3%80.5%0.0%0.0%0.0%-74.6%0198.0K00.008.16N/AN/A200068,92035,360
2007-02-07$0.06$0.13194.9%55.9%80.6%0.0%0.0%0.0%-107.2%0194.5K00.007.54N/AN/A0069,12035,360
2007-02-08$0.06$0.1386.4%0.0%81.5%0.0%0.0%0.0%0.0%0199.8K00.007.47N/AN/A0069,12035,360
2007-02-09$0.06$0.1387.1%0.0%81.7%0.0%0.0%0.0%0.0%0201.6K00.008.16N/AN/A0069,12035,360
2007-02-12$0.06$0.1395.2%27.3%82.6%0.0%0.0%0.0%0.0%0208.6K00.0047.84N/AN/A0069,12035,360
2007-02-13$0.06$0.13100.1%28.7%83.1%0.0%0.0%0.0%0.0%0135.2K00.0047.84N/AN/A0069,12023,720
2007-02-14$0.06$0.13124.1%35.6%27.6%0.0%0.0%0.0%0.0%0135.2K00.0027.57N/AN/A200069,12023,720
2007-02-15$0.06$0.13131.2%37.6%26.4%0.0%0.0%0.0%0.0%0136.4K00.0031.34N/AN/A020069,12023,720
2007-02-16$0.06$0.13160.8%46.1%25.9%0.0%0.0%0.0%0.0%0136.8K00.0034.34N/AN/A046069,12023,800
2007-02-20$0.06$0.13133.0%38.1%25.9%0.0%0.0%0.0%0.0%0121.3K00.0030.04N/AN/A0035,44021,100
2007-02-21$0.06$0.13135.8%38.9%25.8%0.0%0.0%0.0%0.0%0121.3K00.0031.34N/AN/A0035,44021,100
2007-02-22$0.08$0.13137.3%39.4%127.7%0.0%137.4%0.0%0.0%446-58.8K-8670.7712.03N/AN/A1,3001,00035,44021,100
2007-02-23$0.09$0.13125.2%35.9%133.1%0.0%125.4%0.0%0.0%610-81.2K-9690.169.69N/AN/A6,5601,04036,26020,580
2007-02-26$0.09$0.13114.5%32.8%135.2%0.0%114.5%0.0%0.0%798-63.5K-98225.0019.59N/AN/A401,00040,32021,180
2007-02-27$0.09$0.13143.0%41.0%135.4%0.0%144.9%0.0%0.0%605-95.8K-9820.0022.86N/AN/A840040,36022,180
2007-02-28$0.09$0.13127.2%36.5%136.2%0.0%127.3%0.0%0.0%703-66.8K-9640.0016.24N/AN/A80041,00021,580