COR Options History — January 2012

In January 2012, COR traded between $1.82 and $2.03. ATM implied volatility averaged 40.6%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 21.1% (HV 20d: 19.5%). Max pain ranged from $1.50 to $2.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.13.

Notable Days

2012-01-27: Highest Volume — 300 contracts
2012-01-06: Largest IV spike — 105.2% change
2012-01-06: Highest IV Rank — 30.3%
2012-01-03: Largest Expected Move — 18.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.92	$1.82	$2.03	$1.82	$2.00
Max Pain	$1.84	$1.50	$2.00	$1.50	$2.00
ATM IV	40.6%	29.8%	74.5%	64.2%	38.0%
Expected Move	11.5%	8.5%	18.4%	18.4%	10.9%
HV 20d	19.5%	13.6%	26.5%	26.5%	14.7%
HV 60d	38.6%	32.8%	41.8%	41.8%	32.8%
IV Rank	10.7%	4.4%	30.3%	24.3%	9.2%
IV Percentile	22.4%	8.7%	42.9%	38.2%	21.2%
Term Structure	1.6%	-14.4%	19.0%	-14.4%	1.5%
VWIV	36.7%	19.5%	45.7%	38.3%	38.0%
Skew 25d	3.9%	-8.3%	22.2%	3.1%	4.8%
Skew 10d	6.7%	-13.7%	16.6%	8.8%	7.0%
Call IV 25d	40.2%	23.8%	54.3%	53.0%	30.2%
Put IV 25d	44.1%	30.3%	64.5%	56.1%	35.1%
Bid-Ask Spread %	103.16	60.55	147.60	147.60	71.87
Gamma HHI	0.48	0.33	0.68	0.68	0.38
Net GEX	2.5K	1.1K	5.7K	1.2K	5.7K
Net DEX	-92.9K	-122.0K	-71.3K	-109.5K	-121.4K
Net VEX	-335	-402	-283	-306	-390
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	1.25	0.27	0.00
Total Volume	86	0	300	140	240
Total OI	1,568.5	1,320	1,890	1,650	1,890

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
2012-01-03	$1.82	$1.50	64.2%	18.4%	26.5%	24.3%	0.0%	3.1%	-14.4%	1.2K	-109.5K	-306	0.27	147.60	N/A	N/A	110	30	940	710
2012-01-04	$1.82	$1.50	41.7%	12.0%	26.1%	11.3%	0.0%	-2.6%	-1.0%	1.5K	-73.6K	-307	0.00	96.08	N/A	N/A	0	0	750	710
2012-01-05	$1.85	$1.50	36.3%	10.4%	26.4%	8.2%	0.0%	0.4%	5.4%	2.5K	-80.0K	-283	0.00	106.56	N/A	N/A	100	0	750	710
2012-01-06	$1.85	$1.75	74.5%	13.0%	26.2%	30.3%	0.0%	2.6%	0.3%	1.5K	-82.9K	-351	0.00	143.70	N/A	N/A	0	0	850	710
2012-01-09	$1.86	$1.75	29.9%	11.7%	25.4%	4.5%	0.0%	1.3%	-0.4%	1.9K	-90.3K	-317	0.00	86.93	N/A	N/A	0	0	850	710
2012-01-10	$1.85	$1.75	33.9%	11.5%	23.2%	6.8%	0.0%	3.1%	0.4%	2.0K	-91.9K	-312	0.00	95.73	N/A	N/A	100	0	850	710
2012-01-11	$1.89	$1.75	35.9%	11.0%	22.4%	8.0%	0.0%	4.3%	-0.9%	1.7K	-79.6K	-297	0.00	99.64	N/A	N/A	0	0	750	710
2012-01-12	$1.89	$1.75	38.4%	11.0%	21.3%	9.4%	38.3%	4.3%	-0.7%	1.6K	-79.3K	-297	0.00	89.45	N/A	N/A	40	0	750	710
2012-01-13	$1.89	$1.75	36.6%	10.5%	21.4%	8.4%	0.0%	3.8%	1.6%	1.9K	-81.1K	-302	0.00	87.39	N/A	N/A	0	0	790	710
2012-01-17	$1.90	$1.75	38.8%	11.1%	20.6%	9.7%	38.7%	22.2%	-0.6%	1.5K	-88.7K	-292	1.25	88.15	N/A	N/A	80	100	790	710
2012-01-18	$1.92	$2.00	39.8%	11.4%	19.8%	10.2%	0.0%	6.6%	-2.0%	1.4K	-82.3K	-354	0.00	128.80	N/A	N/A	0	40	870	810
2012-01-19	$1.93	$2.00	34.0%	9.7%	17.5%	6.9%	0.0%	9.5%	3.3%	1.8K	-88.0K	-335	0.00	130.13	N/A	N/A	50	0	870	780
2012-01-20	$1.95	$2.00	29.8%	8.5%	14.2%	4.4%	19.5%	6.5%	19.0%	1.1K	-87.0K	-334	0.00	104.29	N/A	N/A	170	0	820	780
2012-01-23	$1.95	$2.00	37.3%	10.7%	13.6%	8.8%	37.3%	-3.0%	0.5%	2.1K	-71.3K	-338	0.00	86.98	N/A	N/A	220	0	800	520
2012-01-24	$1.97	$2.00	40.0%	11.5%	13.7%	10.4%	40.0%	4.4%	9.0%	3.2K	-93.2K	-382	0.00	123.71	N/A	N/A	10	0	970	520
2012-01-25	$2.00	$2.00	35.9%	10.3%	13.9%	8.0%	35.7%	1.7%	4.2%	3.7K	-101.0K	-362	0.00	97.44	N/A	N/A	130	0	980	520
2012-01-26	$2.00	$2.00	45.9%	13.1%	14.1%	13.7%	0.0%	11.4%	8.3%	4.5K	-112.9K	-374	0.00	143.40	N/A	N/A	0	0	1,070	520
2012-01-27	$2.03	$2.00	40.1%	11.5%	14.4%	10.4%	45.7%	-8.3%	-0.4%	4.3K	-122.0K	-356	0.00	74.77	N/A	N/A	300	0	1,070	520
2012-01-30	$2.00	$2.00	41.8%	12.0%	15.5%	11.4%	0.0%	1.5%	-1.5%	5.5K	-122.0K	-402	0.00	60.55	N/A	N/A	0	0	1,370	520
2012-01-31	$2.00	$2.00	38.0%	10.9%	14.7%	9.2%	38.0%	4.8%	1.5%	5.7K	-121.4K	-390	0.00	71.87	N/A	N/A	240	0	1,370	520