COR Options History — December 2011

In December 2011, COR traded between $1.63 and $1.81. ATM implied volatility averaged 56.3%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 20.7% (HV 20d: 35.6%). Max pain ranged from $1.50 to $1.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.08.

Notable Days

2011-12-15: Highest Volume — 120 contracts
2011-12-13: Largest IV spike — 124.7% change
2011-12-14: Highest IV Rank — 63.2%
2011-12-02: Largest Expected Move — 27.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.74	$1.63	$1.81	$1.63	$1.78
Max Pain	$1.52	$1.50	$1.75	$1.75	$1.50
ATM IV	56.3%	33.2%	131.3%	92.8%	41.9%
Expected Move	14.7%	11.2%	27.6%	26.6%	12.0%
HV 20d	35.6%	25.9%	49.4%	49.4%	25.9%
HV 60d	57.0%	44.0%	60.2%	60.2%	44.0%
IV Rank	19.8%	6.4%	63.2%	40.9%	11.4%
IV Percentile	32.6%	15.5%	85.1%	48.9%	25.2%
Term Structure	-5.8%	-42.0%	13.8%	-34.8%	1.9%
VWIV	46.4%	36.6%	66.3%	48.5%	42.8%
Skew 25d	5.3%	-5.1%	44.8%	-3.9%	-5.1%
Skew 10d	7.3%	-13.1%	66.3%	-13.1%	0.6%
Call IV 25d	43.0%	32.7%	51.2%	46.3%	39.8%
Put IV 25d	48.3%	34.6%	87.1%	42.4%	34.7%
Bid-Ask Spread %	124.96	84.18	173.61	165.11	94.91
Gamma HHI	0.64	0.45	0.86	0.51	0.65
Net GEX	3.3K	1.1K	8.0K	2.0K	1.3K
Net DEX	-128.6K	-176.5K	-85.1K	-85.1K	-109.6K
Net VEX	-383	-486	-257	-486	-294
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.00	0.57	0.00	0.00
Total Volume	26.19	0	120	0	0
Total OI	1,915.238	1,620	2,150	1,930	1,650

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
2011-12-01	$1.63	$1.75	92.8%	26.6%	49.4%	40.9%	0.0%	-3.9%	-34.8%	2.0K	-85.1K	-486	0.00	165.11	N/A	N/A	0	0	1,290	640
2011-12-02	$1.66	$1.75	96.3%	27.6%	42.9%	42.9%	0.0%	-0.4%	-35.2%	2.0K	-95.8K	-479	0.00	156.66	N/A	N/A	0	0	1,290	640
2011-12-05	$1.69	$1.50	97.5%	18.0%	43.5%	43.6%	0.0%	1.1%	-42.0%	2.3K	-105.1K	-455	0.00	173.61	N/A	N/A	0	0	1,290	640
2011-12-06	$1.70	$1.50	37.2%	11.9%	43.5%	8.7%	0.0%	11.7%	8.5%	4.0K	-113.1K	-426	0.00	96.07	N/A	N/A	100	0	1,290	640
2011-12-07	$1.72	$1.50	43.1%	12.0%	43.7%	12.1%	0.0%	41.2%	-1.9%	5.1K	-130.8K	-419	0.00	101.74	N/A	N/A	0	0	1,390	640
2011-12-08	$1.70	$1.50	34.6%	12.1%	34.0%	7.2%	48.5%	1.8%	-1.7%	5.1K	-123.5K	-452	0.00	84.18	N/A	N/A	10	0	1,390	640
2011-12-09	$1.76	$1.50	40.8%	11.9%	35.5%	10.8%	0.0%	44.8%	-1.6%	6.2K	-150.1K	-378	0.00	103.08	N/A	N/A	0	0	1,380	640
2011-12-12	$1.72	$1.50	33.2%	16.0%	35.3%	6.4%	66.3%	3.0%	-26.8%	6.7K	-121.2K	-449	0.00	96.58	N/A	N/A	100	0	1,380	640
2011-12-13	$1.70	$1.50	74.6%	13.8%	34.6%	30.4%	46.1%	1.2%	-5.7%	4.7K	-126.7K	-453	0.00	134.28	N/A	N/A	60	0	1,480	640
2011-12-14	$1.70	$1.50	131.3%	14.7%	32.9%	63.2%	0.0%	1.1%	-11.4%	3.9K	-128.7K	-468	0.00	161.67	N/A	N/A	0	0	1,510	640
2011-12-15	$1.74	$1.50	46.2%	13.2%	33.4%	13.9%	38.0%	1.9%	-0.9%	5.4K	-154.7K	-408	0.00	132.94	N/A	N/A	120	0	1,510	640
2011-12-16	$1.78	$1.50	41.8%	12.0%	34.0%	11.4%	0.0%	2.7%	-1.4%	8.0K	-176.5K	-370	0.00	100.13	N/A	N/A	0	0	1,460	640
2011-12-19	$1.74	$1.50	41.3%	11.8%	35.1%	11.1%	0.0%	-1.7%	13.8%	2.0K	-126.1K	-374	0.00	156.33	N/A	N/A	0	0	1,140	640
2011-12-20	$1.80	$1.50	39.1%	11.2%	35.9%	9.8%	36.6%	-0.5%	3.2%	1.9K	-155.8K	-257	0.57	110.49	N/A	N/A	70	40	1,140	640
2011-12-21	$1.78	$1.50	47.8%	13.7%	36.0%	14.8%	0.0%	4.0%	9.0%	1.9K	-141.1K	-330	0.00	129.72	N/A	N/A	0	0	1,170	680
2011-12-22	$1.79	$1.50	50.3%	14.4%	33.4%	16.3%	0.0%	2.7%	4.9%	1.9K	-141.8K	-337	0.00	128.63	N/A	N/A	0	0	1,170	680
2011-12-23	$1.81	$1.50	55.2%	15.8%	33.4%	19.1%	0.0%	2.8%	-7.3%	1.8K	-140.1K	-351	0.00	156.08	N/A	N/A	0	0	1,170	680
2011-12-27	$1.81	$1.50	42.8%	12.3%	28.6%	11.9%	42.8%	-4.5%	0.0%	1.8K	-151.2K	-297	0.00	99.56	N/A	N/A	20	0	1,170	680
2011-12-28	$1.81	$1.50	42.4%	12.2%	28.1%	11.7%	0.0%	1.8%	-2.5%	1.1K	-114.2K	-267	0.00	101.83	N/A	N/A	0	30	940	680
2011-12-29	$1.80	$1.50	51.5%	14.8%	27.8%	17.0%	0.0%	5.5%	9.9%	1.3K	-108.4K	-302	0.00	140.57	N/A	N/A	0	0	940	710
2011-12-30	$1.78	$1.50	41.9%	12.0%	25.9%	11.4%	0.0%	-5.1%	1.9%	1.3K	-109.6K	-294	0.00	94.91	N/A	N/A	0	0	940	710