COR Options History — April 2012 In April 2012, COR traded between $2.26 and $2.51. ATM implied volatility averaged 30.0%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 2.7% (HV 20d: 27.4%). Max pain ranged from $1.50 to $2.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-04-26 : Highest Volume — 110 contracts2012-04-05 : Largest IV spike — 56.7% change2012-04-10 : Highest IV Rank — 15.9%2012-04-05 : Largest Expected Move — 11.2%Monthly Statistics Metric Avg Min Max Open Close Price $2.40 $2.26 $2.51 $2.40 $2.49 Max Pain $1.83 $1.50 $2.50 $1.50 $2.50 ATM IV 30.0% 22.6% 49.6% 34.1% 29.1% Expected Move 8.2% 6.5% 11.2% 9.8% 8.4% HV 20d 27.4% 23.8% 31.2% 24.4% 28.0% HV 60d 24.1% 21.2% 25.5% 21.2% 25.2% IV Rank 4.9% 0.3% 15.9% 6.9% 4.8% IV Percentile 12.9% 0.4% 49.6% 20.3% 11.5% Term Structure 3.4% -15.9% 14.5% -6.4% 1.0% VWIV 38.4% 38.4% 38.4% 38.4% 38.4% Skew 25d 3.4% -9.1% 11.2% 3.3% -4.3% Skew 10d 1.7% -6.7% 13.6% 13.6% -6.7% Call IV 25d 28.6% 20.3% 43.2% 33.8% 40.7% Put IV 25d 32.0% 21.3% 38.3% 37.1% 36.4% Bid-Ask Spread % 126.06 102.33 134.12 125.45 134.12 Gamma HHI 0.53 0.41 0.59 0.57 0.41 Net GEX 3.7K 2.7K 4.7K 3.3K 4.7K Net DEX -151.5K -175.4K -107.3K -162.2K -141.4K Net VEX -276 -306 -216 -291 -263 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 24.5 0 110 0 0 Total OI 1,179.5 730 1,360 1,320 870
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 2012-04-02 $2.40 $1.50 34.1% 9.8% 24.4% 6.9% 0.0% 3.3% -6.4% 3.3K -162.2K -291 0.00 125.45 N/A N/A 0 0 880 440 2012-04-03 $2.36 $1.50 28.6% 8.2% 24.5% 3.7% 0.0% -2.0% -5.6% 3.4K -155.8K -298 0.00 102.33 N/A N/A 0 0 880 440 2012-04-04 $2.35 $1.50 24.9% 7.2% 23.8% 1.6% 0.0% 2.2% 5.3% 3.7K -152.9K -295 0.00 106.29 N/A N/A 0 0 880 440 2012-04-05 $2.40 $1.50 39.1% 11.2% 23.8% 9.8% 0.0% 1.3% -8.2% 3.7K -161.9K -270 0.00 127.50 N/A N/A 0 0 880 440 2012-04-09 $2.35 $0.00 32.9% 8.5% 24.9% 6.3% 0.0% -0.2% 2.9% 3.7K -154.8K -285 0.00 127.88 N/A N/A 100 0 880 440 2012-04-10 $2.26 $0.00 49.6% 10.4% 29.1% 15.9% 0.0% -5.7% -15.9% 3.5K -147.1K -306 0.00 129.85 N/A N/A 100 0 920 440 2012-04-11 $2.33 $0.00 41.5% 8.6% 31.1% 11.2% 0.0% 4.1% 2.0% 4.6K -149.7K -288 0.00 133.71 N/A N/A 0 0 920 440 2012-04-12 $2.38 $0.00 25.8% 7.4% 31.2% 2.5% 0.0% 9.8% 13.4% 4.1K -162.9K -289 0.00 128.74 N/A N/A 0 0 920 440 2012-04-13 $2.38 $0.00 23.9% 6.9% 31.2% 1.2% 0.0% 11.2% 13.8% 3.6K -166.5K -296 0.00 105.26 N/A N/A 0 0 920 440 2012-04-16 $2.39 $0.00 24.9% 7.1% 31.2% 1.9% 0.0% 8.5% 13.6% 3.7K -168.4K -283 0.00 128.65 N/A N/A 0 0 920 440 2012-04-17 $2.39 $0.00 22.6% 6.5% 26.3% 0.3% 0.0% 7.0% 13.8% 3.5K -172.9K -273 0.00 128.08 N/A N/A 10 0 920 440 2012-04-18 $2.36 $0.00 32.6% 9.3% 26.6% 7.1% 0.0% 9.6% -0.9% 3.8K -163.2K -284 0.00 129.53 N/A N/A 0 0 920 440 2012-04-19 $2.38 $0.00 25.4% 7.3% 26.8% 2.2% 0.0% 9.1% 11.5% 3.8K -165.7K -284 0.00 128.73 N/A N/A 0 0 920 440 2012-04-20 $2.43 $0.00 22.8% 6.5% 26.5% 0.4% 0.0% 7.0% 10.8% 3.7K -175.4K -260 0.00 127.91 N/A N/A 80 0 920 440 2012-04-23 $2.38 $0.00 25.8% 7.4% 26.7% 2.5% 0.0% 8.2% 4.9% 2.9K -107.3K -267 0.00 130.20 N/A N/A 30 0 650 80 2012-04-24 $2.43 $0.00 30.3% 8.7% 27.5% 5.6% 0.0% 6.8% 5.4% 3.6K -121.3K -216 0.00 130.46 N/A N/A 0 0 680 80 2012-04-25 $2.45 $0.00 23.8% 6.8% 27.7% 1.2% 0.0% 6.2% 14.5% 2.9K -121.7K -266 0.00 131.78 N/A N/A 10 0 680 80 2012-04-26 $2.49 $0.00 32.1% 9.2% 28.1% 6.8% 38.4% -9.1% -7.0% 2.7K -131.5K -244 0.00 131.98 N/A N/A 110 0 680 80 2012-04-27 $2.51 $2.50 30.7% 8.8% 27.9% 5.9% 0.0% -5.7% -1.8% 4.4K -147.1K -260 0.00 132.88 N/A N/A 50 0 790 80 2012-04-30 $2.49 $2.50 29.1% 8.4% 28.0% 4.8% 0.0% -4.3% 1.0% 4.7K -141.4K -263 0.00 134.12 N/A N/A 0 0 790 80
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