COR Options History — October 2011

In October 2011, COR traded between $1.30 and $1.67. ATM implied volatility averaged 79.3%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded above realized volatility by 2.9% (HV 20d: 76.4%). Max pain ranged from $1.50 to $1.75. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2011-10-04: Highest Volume — 1,410 contracts
  • 2011-10-10: Largest IV spike — 256.4% change
  • 2011-10-11: Highest IV Rank — 72.0%
  • 2011-10-06: Largest Expected Move — 34.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.47$1.30$1.67$1.30$1.67
Max Pain$1.55$1.50$1.75$1.75$1.50
ATM IV79.3%39.6%146.6%60.9%87.5%
Expected Move21.4%11.5%34.8%17.5%25.1%
HV 20d76.4%60.6%80.1%60.6%73.9%
HV 60d268.9%64.8%517.3%517.2%67.2%
IV Rank33.1%10.1%72.0%22.5%37.8%
IV Percentile44.2%22.8%89.4%30.3%42.1%
Term Structure-23.0%-99.2%20.6%-28.6%-45.4%
VWIV69.5%49.4%127.7%49.4%50.8%
Skew 25d-11.6%-49.8%15.8%-9.1%15.8%
Skew 10d4.3%-40.4%66.1%-1.5%15.0%
Call IV 25d72.3%33.5%128.7%41.3%55.2%
Put IV 25d60.7%32.2%108.0%32.2%71.1%
Bid-Ask Spread %142.6186.11172.95160.43164.00
Gamma HHI0.460.340.760.760.36
Net GEX-772-1.7K1.6K1.2K-221
Net DEX7.3K-56.9K42.1K-10.2K-56.9K
Net VEX-508-590-87-87-572
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.004.640.500.00
Total Volume9501,410300
Total OI2,128.57702,3707702,310

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$1.30$1.7560.9%17.5%60.6%22.5%49.4%-9.1%-28.6%1.2K-10.2K-870.50160.43N/AN/A201076010
2011-10-04$1.47$1.75114.9%32.9%76.6%53.7%0.0%-37.0%-58.1%1.6K-40.7K-1804.64161.63N/AN/A2501,16078020
2011-10-05$1.38$1.75120.2%34.4%78.0%56.7%0.0%-44.7%-71.8%-13016.6K-5383.00158.82N/AN/A10301,0301,180
2011-10-06$1.44$1.75121.5%34.8%79.8%57.5%127.7%-49.8%-99.2%-42720.8K-5650.00153.63N/AN/A0101,0301,190
2011-10-07$1.39$1.5039.6%15.8%79.0%10.1%0.0%10.2%-5.7%-1.2K42.1K-5110.0086.11N/AN/A001,0301,180
2011-10-10$1.43$1.50141.2%24.7%79.8%68.9%0.0%2.5%-28.7%-34115.8K-5510.00172.95N/AN/A01001,0301,180
2011-10-11$1.42$1.50146.6%25.3%79.8%72.0%0.0%4.1%-28.9%-42321.5K-5810.00172.59N/AN/A001,0301,280
2011-10-12$1.45$1.5047.3%15.6%80.1%14.6%0.0%11.9%-7.9%-1.3K32.7K-5580.0094.71N/AN/A001,0301,280
2011-10-13$1.45$1.5064.7%18.5%79.8%24.6%0.0%-44.4%-31.6%-1.0K31.5K-5620.00147.95N/AN/A001,0301,280
2011-10-14$1.47$1.5050.6%14.5%79.1%16.5%50.3%-4.0%-4.3%-1.4K33.9K-5430.00104.88N/AN/A2001,0301,280
2011-10-17$1.44$1.5050.7%14.5%77.3%16.6%50.8%-8.0%-4.3%-1.7K37.7K-5310.00103.09N/AN/A4001,0501,280
2011-10-18$1.47$1.5051.1%14.6%77.9%16.8%0.0%-4.0%-4.8%-1.6K28.2K-5350.00109.73N/AN/A001,0901,280
2011-10-19$1.45$1.5066.6%19.1%76.7%25.7%0.0%-29.6%5.1%-1.7K26.3K-5370.00150.46N/AN/A001,0901,280
2011-10-20$1.45$1.5081.1%23.3%74.6%34.2%0.0%-22.9%-19.2%-1.1K24.5K-5410.00164.74N/AN/A001,0901,280
2011-10-21$1.51$1.5078.8%22.6%75.7%32.8%0.0%-36.4%-20.2%-1.4K6.9K-5470.00160.06N/AN/A001,0901,280
2011-10-25$1.50$1.5070.6%20.2%75.8%28.1%0.0%1.7%12.8%-1.6K9.4K-5240.00147.98N/AN/A15007901,270
2011-10-26$1.51$1.5067.1%19.2%73.2%26.0%0.0%8.5%20.6%-1.6K-1.6K-5740.00148.20N/AN/A009401,270
2011-10-27$1.62$1.5040.3%11.5%75.8%10.5%0.0%12.8%2.5%-731-43.9K-5350.00125.96N/AN/A10009401,270
2011-10-28$1.64$1.5084.5%24.2%75.4%36.1%0.0%-9.2%-41.6%-233-48.8K-5900.00164.21N/AN/A001,0401,270
2011-10-31$1.67$1.5087.5%25.1%73.9%37.8%0.0%15.8%-45.4%-221-56.9K-5720.00164.00N/AN/A001,0401,270