COR Options History — March 2012

In March 2012, COR traded between $2.20 and $2.41. ATM implied volatility averaged 38.8%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 13.2% (HV 20d: 25.6%). Max pain ranged from $1.50 to $2.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2012-03-26: Highest Volume — 100 contracts
2012-03-15: Largest IV drop — 31.4% change
2012-03-12: Highest IV Rank — 18.9%
2012-03-16: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.31	$2.20	$2.41	$2.20	$2.36
Max Pain	$1.59	$1.50	$2.50	$2.50	$1.50
ATM IV	38.8%	30.3%	54.8%	32.7%	35.8%
Expected Move	10.0%	8.7%	13.1%	9.4%	10.3%
HV 20d	25.6%	22.7%	29.3%	23.8%	24.9%
HV 60d	21.3%	19.9%	22.2%	21.8%	21.2%
IV Rank	9.6%	4.7%	18.9%	6.1%	7.9%
IV Percentile	25.2%	10.4%	46.6%	14.2%	22.3%
Term Structure	-4.3%	-21.4%	1.4%	0.9%	-8.1%
VWIV	49.6%	32.9%	66.2%	66.2%	32.9%
Skew 25d	2.2%	-3.0%	7.8%	-3.0%	0.8%
Skew 10d	10.1%	-1.6%	18.7%	-1.6%	10.4%
Call IV 25d	33.1%	24.5%	45.7%	32.7%	34.9%
Put IV 25d	35.3%	24.4%	49.7%	29.7%	35.7%
Bid-Ask Spread %	121.21	83.87	138.27	110.67	126.15
Gamma HHI	0.47	0.37	0.64	0.39	0.58
Net GEX	3.4K	2.8K	4.2K	3.3K	3.4K
Net DEX	-169.9K	-201.0K	-139.6K	-139.6K	-154.9K
Net VEX	-310	-353	-205	-324	-306
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	19.091	0	100	80	0
Total OI	1,436.818	1,320	1,500	1,390	1,320

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Call OI	Put OI
2012-03-01	$2.20	$2.50	32.7%	9.4%	23.8%	6.1%	0.0%	-3.0%	0.9%	3.3K	-139.6K	-324	110.67	N/A	N/A	80	950	440
2012-03-02	$2.22	$2.50	37.9%	10.9%	23.8%	9.1%	0.0%	7.8%	-1.8%	3.2K	-150.3K	-332	137.57	N/A	N/A	0	980	440
2012-03-05	$2.27	$1.50	41.2%	10.0%	22.7%	11.0%	0.0%	1.8%	-1.6%	3.6K	-158.8K	-287	111.15	N/A	N/A	50	980	440
2012-03-06	$2.23	$1.50	41.8%	10.1%	23.5%	11.4%	0.0%	4.0%	-1.7%	3.4K	-159.7K	-353	117.02	N/A	N/A	0	1,030	440
2012-03-07	$2.28	$1.50	42.5%	10.4%	24.0%	11.8%	0.0%	3.3%	-2.5%	3.5K	-165.0K	-322	116.22	N/A	N/A	0	1,030	440
2012-03-08	$2.25	$1.50	44.4%	9.6%	24.8%	12.9%	0.0%	0.2%	-3.9%	3.3K	-163.3K	-349	120.11	N/A	N/A	0	1,030	440
2012-03-09	$2.23	$1.50	46.2%	9.5%	25.1%	13.9%	0.0%	-0.1%	0.8%	3.5K	-156.4K	-344	83.87	N/A	N/A	0	1,030	440
2012-03-12	$2.22	$1.50	54.8%	9.9%	25.1%	18.9%	0.0%	1.8%	-3.4%	3.4K	-155.2K	-338	119.05	N/A	N/A	0	1,030	440
2012-03-13	$2.23	$1.50	43.8%	10.7%	23.4%	12.6%	0.0%	3.4%	-4.7%	3.5K	-155.6K	-337	119.11	N/A	N/A	0	1,030	440
2012-03-14	$2.28	$1.50	51.3%	10.6%	24.2%	16.9%	0.0%	4.0%	-4.6%	3.8K	-165.3K	-310	120.39	N/A	N/A	90	1,030	440
2012-03-15	$2.28	$1.50	35.2%	10.1%	24.2%	7.6%	0.0%	3.9%	-3.8%	3.7K	-167.3K	-304	122.58	N/A	N/A	0	1,020	440
2012-03-16	$2.28	$1.50	45.8%	13.1%	24.2%	13.7%	0.0%	4.0%	-21.4%	4.2K	-162.4K	-310	138.27	N/A	N/A	0	1,020	440
2012-03-19	$2.39	$1.50	41.0%	11.8%	28.8%	10.9%	0.0%	4.6%	-9.3%	2.8K	-196.3K	-205	137.01	N/A	N/A	50	990	440
2012-03-20	$2.41	$1.50	30.7%	8.8%	27.7%	4.9%	66.2%	4.3%	-3.6%	3.4K	-195.3K	-322	123.75	N/A	N/A	30	1,040	440
2012-03-21	$2.41	$1.50	30.3%	8.7%	27.4%	4.7%	0.0%	0.9%	-1.2%	3.1K	-198.4K	-284	122.28	N/A	N/A	0	1,010	440
2012-03-22	$2.36	$1.50	33.5%	9.6%	29.2%	6.6%	32.9%	-1.1%	1.4%	3.2K	-189.5K	-297	120.69	N/A	N/A	20	1,010	440
2012-03-23	$2.40	$1.50	31.6%	9.1%	29.3%	5.5%	0.0%	3.7%	-4.4%	3.4K	-193.8K	-285	123.64	N/A	N/A	0	1,010	440
2012-03-26	$2.39	$1.50	32.3%	9.3%	28.4%	5.9%	0.0%	1.0%	-5.9%	3.1K	-193.7K	-288	125.10	N/A	N/A	100	1,010	440
2012-03-27	$2.39	$1.50	32.4%	9.3%	27.7%	5.9%	0.0%	0.6%	-5.3%	3.6K	-201.0K	-307	122.64	N/A	N/A	0	1,060	440
2012-03-28	$2.38	$1.50	33.8%	9.7%	26.2%	6.8%	0.0%	4.5%	-5.8%	3.4K	-157.4K	-305	124.49	N/A	N/A	0	880	440
2012-03-29	$2.37	$1.50	34.2%	9.8%	24.8%	7.0%	0.0%	-2.2%	-5.0%	3.3K	-158.0K	-303	124.86	N/A	N/A	0	880	440
2012-03-30	$2.36	$1.50	35.8%	10.3%	24.9%	7.9%	0.0%	0.8%	-8.1%	3.4K	-154.9K	-306	126.15	N/A	N/A	0	880	440