COR Options History — March 2007

In March 2007, COR traded between $0.08 and $0.12. ATM implied volatility averaged 116.4%. The 30-day expected move averaged 33.4%. IV traded below realized volatility by 7.7% (HV 20d: 124.2%). Max pain ranged from $0.13 to $0.13. Net GEX was positive for 22 of 22 trading days. Put/call ratio averaged 0.02.

Notable Days

  • 2007-03-09: Highest Volume — 9,500 contracts
  • 2007-03-05: Largest IV drop — 13.0% change
  • 2007-03-07: Largest Expected Move — 38.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.11$0.08$0.12$0.08$0.11
Max Pain$0.13$0.13$0.13$0.13$0.13
ATM IV116.4%101.6%135.8%127.3%109.2%
Expected Move33.4%29.1%38.9%36.5%31.3%
HV 20d124.2%80.2%151.8%136.5%81.6%
HV 60d109.4%103.8%114.3%109.9%103.8%
VWIV116.1%102.2%134.9%134.9%107.0%
Bid-Ask Spread %61.9612.4689.2818.9177.86
Gamma HHI0.700.610.800.670.75
Net GEX1.6K6722.2K7022.0K
Net DEX-121.8K-178.7K-30.8K-65.5K-136.1K
Net VEX-1.1K-1.3K-887-949-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.120.000.00
Total Volume1,308.18209,50000
Total OI70,855.45562,48075,16062,58074,920

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$0.08$0.13127.3%36.5%136.5%0.0%0.0%0.0%0.0%702-65.5K-9490.0018.91N/AN/A0041,00021,580
2007-03-02$0.09$0.13134.5%38.5%136.4%0.0%134.9%0.0%0.0%672-79.9K-9330.0013.42N/AN/A1,040041,00021,580
2007-03-05$0.08$0.13117.0%33.6%136.7%0.0%0.0%0.0%0.0%745-30.8K-8870.0021.68N/AN/A0041,00021,580
2007-03-06$0.09$0.13129.1%37.0%136.6%0.0%129.6%0.0%0.0%723-65.8K-9300.0014.70N/AN/A100041,00021,580
2007-03-07$0.09$0.13135.8%38.9%136.3%0.0%0.0%0.0%0.0%700-81.0K-9200.0012.46N/AN/A0040,90021,580
2007-03-08$0.09$0.13121.2%34.7%135.8%0.0%121.4%0.0%0.0%796-43.6K-9190.0712.82N/AN/A2,70020040,90021,580
2007-03-09$0.10$0.13131.4%37.7%138.0%0.0%110.9%0.0%0.0%904-104.6K-1.1K0.0276.47N/AN/A9,30020042,30021,580
2007-03-12$0.12$0.13118.3%33.9%145.5%0.0%118.5%0.0%0.0%1.8K-162.9K-1.3K0.0470.64N/AN/A5,24020051,30021,580
2007-03-13$0.12$0.13112.2%32.2%145.6%0.0%110.9%0.0%0.0%2.0K-175.5K-1.3K0.0275.12N/AN/A1,2002052,86021,780
2007-03-14$0.12$0.13118.0%33.8%146.2%0.0%115.5%0.0%0.0%1.9K-178.7K-1.3K0.0079.21N/AN/A280052,76021,780
2007-03-15$0.11$0.13121.7%34.9%149.4%0.0%121.7%0.0%0.0%1.7K-143.7K-1.2K0.0083.89N/AN/A2,380052,78022,380
2007-03-16$0.11$0.13116.0%33.3%150.8%0.0%0.0%0.0%0.0%1.7K-133.7K-1.2K0.0078.94N/AN/A0052,98021,780
2007-03-19$0.12$0.13115.0%33.0%151.8%0.0%115.0%0.0%0.0%2.0K-159.1K-1.2K0.1289.28N/AN/A2,80034052,98021,780
2007-03-20$0.12$0.13108.3%31.0%151.5%0.0%0.0%0.0%0.0%2.0K-132.7K-1.2K0.0086.46N/AN/A0052,92022,120
2007-03-21$0.12$0.13102.2%29.3%151.7%0.0%102.2%0.0%0.0%2.1K-121.5K-1.2K0.0085.98N/AN/A640052,92022,120
2007-03-22$0.12$0.13114.0%32.7%93.4%0.0%114.0%0.0%0.0%2.1K-168.9K-1.2K0.0088.41N/AN/A620052,80022,120
2007-03-23$0.12$0.13104.8%30.0%84.3%0.0%0.0%0.0%0.0%2.1K-156.2K-1.2K0.0075.14N/AN/A220052,30022,120
2007-03-26$0.12$0.13107.3%30.8%81.1%0.0%107.3%0.0%0.0%2.2K-156.6K-1.2K0.0075.61N/AN/A050052,30022,120
2007-03-27$0.12$0.13101.6%29.1%81.0%0.0%0.0%0.0%0.0%2.1K-134.5K-1.1K0.0076.22N/AN/A0052,30022,420
2007-03-28$0.12$0.13109.4%31.4%80.2%0.0%0.0%0.0%0.0%2.0K-130.0K-1.1K0.0075.77N/AN/A0052,30022,420
2007-03-29$0.12$0.13106.9%30.7%81.0%0.0%107.0%0.0%0.0%2.0K-119.5K-1.1K0.0074.08N/AN/A800052,30022,420
2007-03-30$0.11$0.13109.2%31.3%81.6%0.0%0.0%0.0%0.0%2.0K-136.1K-1.1K0.0077.86N/AN/A0052,50022,420