COR Options History — November 2011

In November 2011, COR traded between $1.55 and $1.70. ATM implied volatility averaged 73.5%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 18.3% (HV 20d: 55.2%). Max pain ranged from $1.50 to $1.75. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.02.

Notable Days

  • 2011-11-22: Highest Volume — 280 contracts
  • 2011-11-14: Largest IV spike — 233.4% change
  • 2011-11-02: Highest IV Rank — 84.9%
  • 2011-11-02: Largest Expected Move — 48.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.63$1.55$1.70$1.55$1.68
Max Pain$1.71$1.50$1.75$1.50$1.75
ATM IV73.5%31.8%168.8%57.0%40.5%
Expected Move18.9%9.1%48.4%16.3%11.6%
HV 20d55.2%48.6%68.7%68.7%48.6%
HV 60d63.5%59.9%69.8%68.4%59.9%
IV Rank29.7%5.6%84.9%20.2%10.6%
IV Percentile40.2%13.0%95.2%29.1%21.6%
Term Structure-9.8%-58.4%15.8%-8.7%14.9%
VWIV27.4%27.4%27.4%27.4%27.4%
Skew 25d13.4%-3.2%68.3%6.3%11.9%
Skew 10d16.4%-1.7%48.5%3.2%9.7%
Call IV 25d52.9%28.4%91.0%39.9%35.1%
Put IV 25d66.2%32.2%152.8%46.3%47.0%
Bid-Ask Spread %136.4293.31175.48112.59122.21
Gamma HHI0.450.340.630.420.54
Net GEX709-1.4K3.5K-8533.5K
Net DEX-67.4K-102.2K-25.7K-33.6K-102.2K
Net VEX-491-581-405-567-405
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.120.000.00
Total Volume19.0480280050
Total OI2,138.0951,5902,3102,3101,880

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$1.55$1.5057.0%16.3%68.7%20.2%0.0%6.3%-8.7%-853-33.6K-5670.00112.59N/AN/A001,0401,270
2011-11-02$1.59$1.50168.8%48.4%53.9%84.9%0.0%68.3%-58.4%-312-25.7K-5810.00175.48N/AN/A001,0401,270
2011-11-03$1.70$1.5089.5%25.7%51.9%39.0%0.0%-3.2%-28.0%-281-66.9K-5520.00147.65N/AN/A001,0401,270
2011-11-04$1.69$1.7591.8%18.5%51.0%40.3%0.0%28.2%-11.8%-235-69.1K-5480.00159.88N/AN/A001,0401,270
2011-11-07$1.70$1.75103.4%19.0%48.9%47.0%0.0%4.8%-11.7%-199-72.6K-5360.00161.28N/AN/A001,0401,270
2011-11-08$1.70$1.75105.8%19.2%48.6%48.4%0.0%4.6%-12.1%-192-74.0K-5310.00160.75N/AN/A001,0401,270
2011-11-09$1.58$1.75131.7%20.9%56.7%63.4%0.0%1.6%-14.3%-333-28.9K-5530.00156.84N/AN/A001,0401,270
2011-11-10$1.59$1.7547.8%13.7%56.3%14.9%0.0%3.7%-1.2%-1.2K-53.7K-5110.00103.40N/AN/A001,0401,270
2011-11-11$1.64$1.7541.3%11.9%56.8%11.1%0.0%5.1%-3.1%-192-68.1K-4870.00107.19N/AN/A001,0401,270
2011-11-14$1.60$1.75137.9%39.5%57.7%67.0%0.0%61.8%-36.0%-1.4K-63.4K-4940.00174.40N/AN/A001,0401,270
2011-11-15$1.65$1.7546.1%13.2%57.8%13.9%0.0%5.9%-2.3%728-83.6K-4610.0093.31N/AN/A001,0401,270
2011-11-16$1.64$1.7574.5%21.4%57.7%30.3%0.0%5.5%-18.0%943-78.3K-4630.00164.68N/AN/A001,0401,270
2011-11-17$1.64$1.7545.7%13.1%57.2%13.6%0.0%3.3%-1.6%269-79.1K-4510.00101.90N/AN/A001,0401,270
2011-11-18$1.66$1.7577.6%22.2%57.2%32.1%0.0%5.3%-18.4%1.1K-82.8K-4570.00166.63N/AN/A4001,0401,270
2011-11-21$1.63$1.7544.9%12.9%56.3%13.2%0.0%1.6%-1.4%1.5K-69.8K-4320.00105.00N/AN/A00980610
2011-11-22$1.62$1.7536.2%10.4%56.2%8.1%27.4%3.8%1.9%1.6K-68.7K-4330.12119.02N/AN/A25030980610
2011-11-23$1.57$1.7540.6%11.6%57.5%10.7%0.0%11.4%3.6%2.5K-57.8K-4730.00108.43N/AN/A001,230640
2011-11-25$1.57$1.7589.8%25.8%51.2%39.2%0.0%39.9%-26.6%1.7K-63.0K-4870.00167.47N/AN/A001,230640
2011-11-28$1.66$1.7541.0%11.7%54.5%10.9%0.0%6.9%15.8%3.1K-91.6K-4420.00120.73N/AN/A2001,230640
2011-11-29$1.64$1.7531.8%9.1%54.5%5.6%0.0%3.9%12.4%3.3K-81.7K-4490.00135.95N/AN/A1001,250640
2011-11-30$1.68$1.7540.5%11.6%48.6%10.6%0.0%11.9%14.9%3.5K-102.2K-4050.00122.21N/AN/A5001,240640