COR Options History — September 2011 In September 2011, COR traded between $1.39 and $1.61. ATM implied volatility averaged 45.7%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 13.3% (HV 20d: 59.0%). Max pain ranged from $1.75 to $1.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2011-09-28 : Highest Volume — 100 contracts2011-09-27 : Largest IV spike — 223.1% change2011-09-28 : Highest IV Rank — 46.2%2011-09-28 : Largest Expected Move — 29.2%Monthly Statistics Metric Avg Min Max Open Close Price $1.51 $1.39 $1.61 $1.59 $1.44 Max Pain $1.75 $1.75 $1.75 $1.75 $1.75 ATM IV 45.7% 25.9% 102.0% 34.6% 66.6% Expected Move 11.8% 7.2% 29.2% 9.9% 19.1% HV 20d 59.0% 47.2% 77.2% 74.2% 53.1% HV 60d 516.3% 516.0% 516.6% 516.3% 516.6% IV Rank 14.4% 2.2% 46.2% 4.4% 25.7% IV Percentile 21.5% 4.5% 50.0% 11.9% 31.9% Term Structure -5.7% -30.3% 6.8% -8.4% -30.3% Skew 25d 2.3% -5.6% 8.3% 2.1% 3.2% Skew 10d 10.1% 0.9% 37.8% 0.9% 25.1% Call IV 25d 38.2% 21.7% 90.0% 21.7% 88.7% Put IV 25d 40.5% 23.1% 98.3% 23.8% 92.0% Bid-Ask Spread % 141.49 110.42 200.00 124.22 172.09 Gamma HHI 0.60 0.49 1.00 0.50 0.54 Net GEX 1.6K 262 2.4K 2.2K 1.7K Net DEX -27.8K -43.2K -1.1K -43.2K -34.7K Net VEX -122 -169 -7 -163 -169 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 7.619 0 100 0 0 Total OI 600.952 300 770 610 770
Daily Data (21 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 2011-09-01 $1.59 $0.00 34.6% 9.9% 74.2% 0.0% 0.0% 2.1% -8.4% 2.2K -43.2K -163 0.00 124.22 N/A N/A 0 0 610 0 2011-09-02 $1.51 $0.00 31.8% 9.1% 75.7% 0.0% 0.0% 3.6% -2.8% 1.7K -30.2K -143 0.00 128.83 N/A N/A 0 0 610 0 2011-09-06 $1.52 $1.75 29.7% 8.4% 75.5% 4.4% 0.0% 2.3% -1.1% 1.7K -28.5K -135 0.00 110.42 N/A N/A 0 0 610 0 2011-09-07 $1.58 $1.75 42.3% 7.6% 77.2% 11.7% 0.0% 1.2% 1.3% 2.2K -36.9K -145 0.00 130.68 N/A N/A 0 0 610 0 2011-09-08 $1.58 $1.75 40.5% 7.2% 75.8% 10.6% 0.0% 0.9% 3.1% 2.2K -36.1K -140 0.00 126.30 N/A N/A 0 0 610 0 2011-09-09 $1.51 $1.75 44.8% 8.4% 67.8% 13.1% 0.0% 3.4% -0.2% 1.8K -30.7K -135 0.00 138.57 N/A N/A 0 0 610 0 2011-09-12 $1.52 $1.75 49.6% 10.9% 58.8% 15.9% 0.0% 0.0% -14.2% 351 -1.1K -8 0.00 200.00 N/A N/A 0 0 300 0 2011-09-13 $1.51 $1.75 39.6% 8.4% 58.5% 10.1% 0.0% 2.6% -0.7% 1.6K -26.5K -125 0.00 114.73 N/A N/A 0 0 610 0 2011-09-14 $1.53 $1.75 57.7% 8.5% 54.1% 20.6% 0.0% 2.8% -0.9% 1.8K -29.6K -130 0.00 125.28 N/A N/A 0 0 610 0 2011-09-15 $1.56 $1.75 27.7% 7.9% 54.5% 3.2% 0.0% 3.3% 2.7% 1.9K -32.3K -129 0.00 123.82 N/A N/A 0 0 610 0 2011-09-16 $1.61 $1.75 25.9% 7.4% 53.5% 2.2% 0.0% 3.0% 1.0% 2.4K -39.6K -136 0.00 123.02 N/A N/A 0 0 610 0 2011-09-19 $1.53 $1.75 33.4% 9.6% 56.2% 6.5% 0.0% 0.0% -6.4% 262 -1.9K -7 0.00 200.00 N/A N/A 0 0 310 0 2011-09-20 $1.52 $1.75 30.4% 8.7% 56.0% 4.8% 0.0% 3.6% -0.7% 1.7K -28.8K -122 0.00 123.40 N/A N/A 0 0 610 0 2011-09-21 $1.46 $1.75 85.0% 24.4% 48.4% 36.4% 0.0% 1.1% -20.1% 1.3K -33.9K -145 0.00 191.67 N/A N/A 0 10 610 0 2011-09-22 $1.39 $1.75 26.5% 7.6% 51.2% 2.5% 0.0% -1.1% -2.4% 1.0K -13.7K -91 0.00 119.20 N/A N/A 0 0 610 10 2011-09-23 $1.42 $1.75 31.5% 9.0% 47.3% 5.4% 0.0% 4.6% -3.8% 1.2K -13.3K -91 0.00 125.17 N/A N/A 0 0 610 10 2011-09-26 $1.42 $1.75 30.0% 8.6% 47.2% 4.6% 0.0% -5.6% 6.8% 982 -15.6K -95 0.00 119.56 N/A N/A 0 0 610 10 2011-09-27 $1.50 $1.75 97.0% 27.8% 50.5% 43.3% 0.0% 8.3% -22.9% 1.5K -37.1K -145 0.00 173.95 N/A N/A 50 0 610 10 2011-09-28 $1.45 $1.75 102.0% 29.2% 51.7% 46.2% 0.0% 3.1% -25.9% 1.3K -36.2K -154 0.00 172.99 N/A N/A 100 0 660 10 2011-09-29 $1.49 $1.75 33.0% 9.5% 51.9% 6.3% 0.0% 1.5% 6.5% 2.0K -34.2K -162 0.00 127.29 N/A N/A 0 0 760 10 2011-09-30 $1.44 $1.75 66.6% 19.1% 53.1% 25.7% 0.0% 3.2% -30.3% 1.7K -34.7K -169 0.00 172.09 N/A N/A 0 0 760 10
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