COR Options History — August 2011 In August 2011, COR traded between $1.39 and $1.69. ATM implied volatility averaged 47.7%. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 432.3% (HV 20d: 480.0%). Max pain ranged from $1.75 to $1.75. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2011-08-23 : Highest Volume — 300 contracts2011-08-05 : Largest IV spike — 143.8% change2011-08-11 : Largest Expected Move — 23.0%Monthly Statistics Metric Avg Min Max Open Close Price $1.58 $1.39 $1.69 $1.69 $1.61 Max Pain $1.75 $1.75 $1.75 $1.75 $1.75 ATM IV 47.7% 23.5% 111.6% 23.5% 30.2% Expected Move 11.4% 6.7% 23.0% 6.7% 8.7% HV 20d 480.0% 62.5% 892.2% 890.5% 74.2% HV 60d 515.9% 515.1% 516.5% 515.7% 516.3% Term Structure -8.6% -20.5% 6.9% 6.9% -8.8% Skew 25d 2.0% 0.1% 3.1% 2.7% 1.4% Skew 10d 4.8% 0.9% 9.1% 9.1% 1.9% Call IV 25d 24.1% 22.7% 25.6% 25.6% 23.5% Put IV 25d 26.1% 23.4% 28.3% 28.3% 24.9% Bid-Ask Spread % 140.31 118.49 178.94 137.53 124.19 Gamma HHI 0.64 0.50 1.00 1.00 0.50 Net GEX 2.8K 0 26.7K 0 2.6K Net DEX -29.3K -51.7K 3.4K 3.4K -47.6K Net VEX -110 -167 0 0 -162 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 30 0 300 0 0 Total OI 591.5 380 680 380 610
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2011-08-01 $1.69 $1.75 23.5% 6.7% 890.5% 0.0% 0.0% 0.0% 6.9% 0 3.4K 0 0.00 137.53 N/A N/A 0 0 330 50 2011-08-02 $1.64 $1.75 28.9% 8.3% 890.3% 0.0% 0.0% 0.0% -4.3% 828 -5.1K -44 0.00 140.84 N/A N/A 100 0 330 50 2011-08-03 $1.61 $1.75 25.9% 7.4% 889.2% 0.0% 0.0% 0.0% 0.2% 948 -13.9K -75 0.00 120.99 N/A N/A 0 0 430 50 2011-08-04 $1.60 $1.75 38.5% 11.0% 888.2% 0.0% 0.0% 0.0% -14.7% 926 -12.2K -71 0.00 144.84 N/A N/A 200 0 430 50 2011-08-05 $1.54 $0.00 93.9% 17.8% 888.9% 0.0% 0.0% 0.0% -13.3% 1.7K -25.9K -150 0.00 175.31 N/A N/A 0 0 630 50 2011-08-08 $1.39 $0.00 103.6% 18.0% 892.1% 0.0% 0.0% 0.0% -17.4% 1.1K -8.6K -110 0.00 158.39 N/A N/A 0 0 630 50 2011-08-09 $1.53 $0.00 101.7% 17.3% 891.5% 0.0% 0.0% 0.0% -12.9% 891 -42.5K -4 0.00 160.74 N/A N/A 0 0 630 50 2011-08-10 $1.50 $0.00 111.6% 18.7% 892.2% 0.0% 0.0% 0.0% -15.6% 26.7K -17.6K -120 0.00 172.62 N/A N/A 0 0 630 50 2011-08-11 $1.60 $0.00 80.2% 23.0% 891.8% 0.0% 0.0% 0.0% -20.5% 0 -44.8K 0 0.00 178.94 N/A N/A 0 0 630 50 2011-08-12 $1.60 $0.00 35.9% 10.3% 891.5% 0.0% 0.0% 0.0% -9.6% 1.7K -31.4K -141 0.00 118.49 N/A N/A 0 0 630 50 2011-08-15 $1.66 $0.00 32.2% 9.2% 62.5% 0.0% 0.0% 0.0% -2.8% 2.7K -51.7K -149 0.00 124.29 N/A N/A 0 0 630 50 2011-08-16 $1.64 $0.00 26.5% 7.6% 62.6% 0.0% 0.0% 0.0% -5.0% 2.6K -45.0K -152 0.00 123.12 N/A N/A 0 0 630 50 2011-08-17 $1.66 $0.00 26.8% 7.7% 62.8% 0.0% 0.0% 0.0% -3.4% 2.8K -49.6K -145 0.00 124.07 N/A N/A 0 0 630 50 2011-08-19 $1.52 $0.00 29.2% 8.4% 69.9% 0.0% 0.0% 0.0% -9.8% 1.7K -24.0K -139 0.00 126.07 N/A N/A 0 0 630 50 2011-08-22 $1.50 $0.00 32.6% 9.3% 69.9% 0.0% 0.0% 2.7% -6.0% 1.3K -26.4K -133 0.00 140.42 N/A N/A 0 0 450 0 2011-08-23 $1.58 $0.00 32.5% 9.3% 72.9% 0.0% 0.0% 3.1% -1.9% 1.8K -32.6K -127 0.00 130.99 N/A N/A 300 0 450 0 2011-08-24 $1.60 $0.00 33.2% 9.5% 72.8% 0.0% 0.0% 1.8% -11.5% 2.4K -40.8K -167 0.00 131.07 N/A N/A 0 0 600 0 2011-08-25 $1.54 $0.00 34.9% 10.0% 73.1% 0.0% 0.0% 0.1% -17.4% 2.0K -36.4K -160 0.00 133.98 N/A N/A 0 0 600 0 2011-08-26 $1.57 $0.00 32.8% 9.4% 73.5% 0.0% 0.0% 2.6% -4.4% 2.1K -34.0K -148 0.00 139.36 N/A N/A 0 0 600 0 2011-08-31 $1.61 $0.00 30.2% 8.7% 74.2% 0.0% 0.0% 1.4% -8.8% 2.6K -47.6K -162 0.00 124.19 N/A N/A 0 0 610 0
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