COR Options History — February 2012

In February 2012, COR traded between $2.04 and $2.21. ATM implied volatility averaged 43.5%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 25.7% (HV 20d: 17.8%). Max pain ranged from $2.00 to $2.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.01.

Notable Days

2012-02-06: Highest Volume — 220 contracts
2012-02-22: Largest IV spike — 86.3% change
2012-02-22: Highest IV Rank — 23.5%
2012-02-22: Largest Expected Move — 18.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.14	$2.04	$2.21	$2.04	$2.13
Max Pain	$2.19	$2.00	$2.50	$2.00	$2.50
ATM IV	43.5%	26.4%	62.7%	49.0%	31.4%
Expected Move	12.9%	8.5%	18.0%	14.0%	9.0%
HV 20d	17.8%	14.1%	22.5%	14.1%	22.5%
HV 60d	25.1%	21.2%	30.6%	30.1%	21.2%
IV Rank	12.4%	2.5%	23.5%	15.5%	5.4%
IV Percentile	29.5%	3.5%	45.6%	37.0%	11.0%
Term Structure	-4.1%	-26.4%	17.9%	12.8%	2.4%
VWIV	36.1%	25.8%	65.3%	35.6%	26.5%
Skew 25d	6.0%	-8.4%	42.2%	42.2%	-1.1%
Skew 10d	15.5%	-10.9%	57.2%	54.9%	0.5%
Call IV 25d	43.4%	28.1%	58.0%	28.1%	30.0%
Put IV 25d	49.3%	24.8%	70.4%	70.4%	28.9%
Bid-Ask Spread %	131.03	84.48	160.18	137.93	96.61
Gamma HHI	0.40	0.30	0.57	0.36	0.38
Net GEX	5.3K	2.3K	7.4K	5.9K	3.1K
Net DEX	-171.2K	-222.7K	-113.5K	-139.8K	-132.0K
Net VEX	-381	-439	-318	-424	-329
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.01	0.00	0.10	0.00	0.00
Total Volume	58	0	220	50	0
Total OI	1,808.5	1,280	2,080	1,950	1,390

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
2012-02-01	$2.04	$2.00	49.0%	14.0%	14.1%	15.5%	35.6%	42.2%	12.8%	5.9K	-139.8K	-424	0.00	137.93	N/A	N/A	50	0	1,430	520
2012-02-02	$2.04	$2.00	44.9%	12.9%	14.1%	13.2%	27.5%	2.7%	17.9%	5.6K	-139.5K	-439	0.00	154.08	N/A	N/A	100	0	1,430	520
2012-02-03	$2.10	$0.00	47.0%	13.5%	16.3%	14.4%	0.0%	2.5%	-6.8%	6.3K	-175.2K	-432	0.00	159.23	N/A	N/A	40	0	1,480	520
2012-02-06	$2.10	$0.00	26.4%	11.3%	16.6%	2.5%	0.0%	0.7%	-0.1%	6.3K	-169.5K	-384	0.10	85.07	N/A	N/A	200	20	1,440	520
2012-02-07	$2.12	$0.00	28.3%	11.2%	16.7%	3.6%	0.0%	2.5%	-0.1%	6.9K	-193.6K	-427	0.00	86.80	N/A	N/A	0	0	1,540	540
2012-02-08	$2.13	$0.00	32.0%	11.0%	16.4%	5.7%	0.0%	3.7%	-0.9%	7.3K	-199.9K	-411	0.00	90.71	N/A	N/A	30	0	1,540	540
2012-02-09	$2.13	$0.00	47.5%	13.6%	16.0%	14.7%	0.0%	2.9%	-11.2%	7.2K	-194.0K	-420	0.00	158.83	N/A	N/A	100	0	1,530	540
2012-02-10	$2.12	$0.00	50.1%	14.4%	15.9%	16.2%	0.0%	3.8%	-8.6%	7.1K	-193.7K	-427	0.00	158.45	N/A	N/A	0	0	1,530	540
2012-02-13	$2.18	$0.00	45.6%	13.1%	17.2%	13.6%	0.0%	-8.4%	-13.3%	7.4K	-222.7K	-380	0.00	149.77	N/A	N/A	100	0	1,530	540
2012-02-14	$2.18	$0.00	47.6%	13.6%	17.5%	14.8%	0.0%	1.5%	-10.0%	7.3K	-222.5K	-390	0.00	158.37	N/A	N/A	0	0	1,530	540
2012-02-15	$2.17	$0.00	48.4%	13.9%	17.6%	15.2%	0.0%	0.3%	-10.6%	7.3K	-219.7K	-385	0.00	160.18	N/A	N/A	60	0	1,530	540
2012-02-16	$2.17	$0.00	38.4%	11.0%	17.8%	9.4%	0.0%	-1.0%	11.2%	6.7K	-213.2K	-364	0.00	103.12	N/A	N/A	140	0	1,530	540
2012-02-17	$2.17	$0.00	49.5%	14.2%	17.9%	15.8%	0.0%	2.6%	-0.5%	2.3K	-194.0K	-355	0.00	158.48	N/A	N/A	10	0	1,480	540
2012-02-21	$2.13	$0.00	33.7%	9.7%	19.5%	6.7%	25.8%	5.1%	-1.5%	2.5K	-117.7K	-341	0.00	92.31	N/A	N/A	10	0	840	440
2012-02-22	$2.12	$2.50	62.7%	18.0%	19.7%	23.5%	65.3%	31.5%	-26.4%	2.7K	-113.5K	-361	0.00	144.03	N/A	N/A	110	0	850	440
2012-02-23	$2.13	$2.00	52.6%	15.1%	19.4%	17.6%	0.0%	3.8%	-17.5%	4.0K	-140.0K	-318	0.00	138.65	N/A	N/A	80	0	960	440
2012-02-24	$2.15	$2.00	29.8%	8.5%	19.7%	4.4%	0.0%	-7.7%	1.5%	4.1K	-146.7K	-350	0.00	84.48	N/A	N/A	0	0	1,040	440
2012-02-27	$2.21	$2.00	51.6%	14.8%	20.7%	17.1%	26.5%	25.8%	-5.1%	3.5K	-156.6K	-355	0.00	151.58	N/A	N/A	110	0	1,040	440
2012-02-28	$2.18	$2.50	54.4%	15.6%	20.7%	18.7%	0.0%	5.9%	-14.7%	2.9K	-141.1K	-333	0.00	151.88	N/A	N/A	0	0	950	440
2012-02-29	$2.13	$2.50	31.4%	9.0%	22.5%	5.4%	0.0%	-1.1%	2.4%	3.1K	-132.0K	-329	0.00	96.61	N/A	N/A	0	0	950	440