COR Options History — July 2011

Name: COR Options Analytics - July 2011
Creator: Options Analysis Suite

In July 2011, COR traded between $1.68 and $1.77. ATM implied volatility averaged 27.5%. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 860.9% (HV 20d: 888.4%). Max pain ranged from $1.75 to $1.75. Net GEX was positive for 9 of 10 trading days. Term structure was in contango for 8 of 10 days. Put/call ratio averaged 0.00.

Notable Days

2011-07-18: Highest Volume — 150 contracts
2011-07-19: Largest IV spike — 54.3% change
2011-07-19: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.73	$1.68	$1.77	$1.74	$1.68
Max Pain	$1.75	$1.75	$1.75	$1.75	$1.75
ATM IV	27.5%	22.1%	44.8%	29.0%	24.0%
Expected Move	7.9%	6.3%	12.8%	8.3%	6.9%
HV 20d	888.4%	887.1%	890.2%	887.4%	890.2%
HV 60d	515.5%	515.2%	515.8%	515.8%	515.7%
Term Structure	-0.7%	-34.1%	7.0%	-0.6%	7.0%
VWIV	38.2%	24.2%	62.4%	62.4%	27.8%
Bid-Ask Spread %	122.39	108.27	132.85	111.75	124.16
Gamma HHI	0.99	0.94	1.00	1.00	1.00
Net GEX	1.3K	0	2.0K	0	864
Net DEX	-16.8K	-31.0K	0	0	-5.3K
Net VEX	-63	-89	0	0	-44
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	38	0	150	150	0
Total OI	285	0	380	0	380

Daily Data (10 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-07-18	$1.74	$0.00	29.0%	8.3%	887.4%	0.0%	0.0%	0.0%	-0.6%	0	0	0	111.75	N/A	N/A	150	0	0	0
2011-07-19	$1.75	$0.00	44.8%	12.8%	888.6%	0.0%	62.4%	0.0%	-34.1%	738	-13.2K	-53	128.09	N/A	N/A	100	0	150	0
2011-07-20	$1.75	$1.75	26.9%	7.7%	889.1%	0.0%	0.0%	0.0%	1.6%	1.8K	-21.4K	-73	113.25	N/A	N/A	0	0	250	0
2011-07-21	$1.75	$1.75	24.3%	7.0%	888.1%	0.0%	24.2%	0.0%	4.0%	1.8K	-22.2K	-72	122.23	N/A	N/A	0	50	250	0
2011-07-22	$1.74	$1.75	27.2%	7.8%	888.0%	0.0%	27.8%	0.0%	1.7%	1.4K	-16.0K	-81	108.27	N/A	N/A	80	0	250	50
2011-07-25	$1.75	$1.75	28.0%	8.0%	887.2%	0.0%	0.0%	0.0%	1.2%	2.0K	-27.2K	-89	128.54	N/A	N/A	0	0	330	50
2011-07-26	$1.77	$1.75	23.6%	6.8%	887.1%	0.0%	0.0%	0.0%	6.0%	1.9K	-31.0K	-87	132.85	N/A	N/A	0	0	330	50
2011-07-27	$1.72	$1.75	25.2%	7.2%	888.6%	0.0%	0.0%	0.0%	3.0%	2.0K	-24.8K	-85	125.26	N/A	N/A	0	0	330	50
2011-07-28	$1.69	$1.75	22.1%	6.3%	890.0%	0.0%	0.0%	0.0%	3.4%	847	-7.3K	-49	129.54	N/A	N/A	0	0	330	50
2011-07-29	$1.68	$1.75	24.0%	6.9%	890.2%	0.0%	0.0%	0.0%	7.0%	864	-5.3K	-44	124.16	N/A	N/A	0	0	330	50