COR Options History — May 2012

Name: COR Options Analytics - May 2012
Creator: Options Analysis Suite

In May 2012, COR traded between $2.35 and $2.55. ATM implied volatility averaged 35.6%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 14.2% (HV 20d: 21.4%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2012-05-31: Highest Volume — 100 contracts
2012-05-24: Largest IV spike — 68.7% change
2012-05-24: Highest IV Rank — 16.8%
2012-05-24: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.45	$2.35	$2.55	$2.54	$2.38
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	35.6%	26.3%	46.8%	31.8%	27.6%
Expected Move	9.8%	7.5%	13.4%	9.1%	7.9%
HV 20d	21.4%	17.5%	28.1%	28.1%	20.4%
HV 60d	24.8%	24.1%	25.9%	24.7%	24.3%
IV Rank	9.2%	2.9%	16.8%	6.6%	3.8%
IV Percentile	29.6%	6.7%	57.9%	18.7%	9.9%
Term Structure	-1.2%	-11.4%	10.8%	-0.4%	10.8%
Skew 25d	-1.9%	-9.2%	7.0%	-1.7%	7.0%
Skew 10d	-0.4%	-7.2%	4.1%	-3.4%	-0.4%
Call IV 25d	38.7%	21.1%	55.4%	31.4%	21.1%
Put IV 25d	36.8%	21.2%	53.2%	29.7%	28.1%
Bid-Ask Spread %	126.45	88.34	157.37	103.99	100.16
Gamma HHI	0.43	0.39	0.48	0.42	0.44
Net GEX	4.2K	3.3K	6.1K	4.5K	4.6K
Net DEX	-133.7K	-159.9K	-107.0K	-152.7K	-118.8K
Net VEX	-239	-256	-205	-246	-214
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	6.818	0	100	0	100
Total OI	848.182	770	880	870	810

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
2012-05-01	$2.54	$2.50	31.8%	9.1%	28.1%	6.6%	0.0%	-1.7%	-0.4%	4.5K	-152.7K	-246	103.99	N/A	N/A	0	790	80
2012-05-02	$2.54	$2.50	30.7%	8.8%	27.1%	5.8%	0.0%	-2.7%	3.7%	4.9K	-155.9K	-235	120.19	N/A	N/A	0	790	80
2012-05-03	$2.55	$2.50	32.9%	9.4%	27.1%	7.4%	0.0%	-5.2%	-9.1%	4.2K	-157.5K	-239	120.52	N/A	N/A	0	790	80
2012-05-04	$2.52	$2.50	35.6%	8.7%	26.9%	9.2%	0.0%	-1.0%	2.4%	4.2K	-151.5K	-241	123.88	N/A	N/A	0	790	80
2012-05-07	$2.53	$2.50	37.6%	8.3%	25.5%	10.5%	0.0%	-0.5%	4.9%	4.5K	-152.9K	-232	126.16	N/A	N/A	10	790	80
2012-05-08	$2.55	$2.50	38.2%	8.5%	19.6%	11.0%	0.0%	3.6%	7.7%	4.6K	-159.9K	-205	126.64	N/A	N/A	0	800	80
2012-05-09	$2.53	$2.50	39.7%	8.6%	17.5%	12.0%	0.0%	-1.1%	2.5%	4.5K	-155.5K	-238	126.45	N/A	N/A	0	800	80
2012-05-10	$2.47	$2.50	36.4%	10.4%	19.4%	9.8%	0.0%	-4.0%	-5.8%	4.2K	-143.2K	-246	146.15	N/A	N/A	0	800	80
2012-05-11	$2.48	$2.50	39.7%	11.4%	19.4%	12.0%	0.0%	-2.6%	-6.5%	4.1K	-139.5K	-256	154.01	N/A	N/A	0	800	80
2012-05-14	$2.46	$2.50	30.5%	8.7%	19.4%	5.7%	0.0%	-5.3%	1.7%	6.1K	-135.9K	-247	91.42	N/A	N/A	0	800	80
2012-05-15	$2.47	$2.50	40.0%	11.5%	19.4%	12.2%	0.0%	-3.9%	-7.1%	4.3K	-139.7K	-246	150.44	N/A	N/A	0	800	80
2012-05-16	$2.47	$2.50	39.8%	11.4%	18.5%	12.0%	0.0%	-3.7%	-7.2%	4.4K	-140.4K	-242	149.56	N/A	N/A	0	800	80
2012-05-17	$2.39	$2.50	39.0%	11.2%	22.7%	11.5%	0.0%	-3.5%	-8.0%	4.5K	-120.6K	-253	147.72	N/A	N/A	0	800	80
2012-05-18	$2.36	$2.50	45.1%	12.9%	21.8%	15.7%	0.0%	-2.4%	-8.6%	3.4K	-107.0K	-250	152.01	N/A	N/A	0	800	80
2012-05-21	$2.38	$2.50	39.4%	11.3%	21.2%	11.8%	0.0%	5.7%	1.4%	3.3K	-109.6K	-242	157.34	N/A	N/A	30	690	80
2012-05-22	$2.38	$2.50	29.9%	8.6%	20.0%	5.3%	0.0%	0.1%	1.3%	3.8K	-114.1K	-246	88.34	N/A	N/A	0	720	80
2012-05-23	$2.40	$2.50	27.7%	7.9%	19.8%	3.8%	0.0%	0.7%	1.6%	4.5K	-118.0K	-221	100.68	N/A	N/A	0	720	80
2012-05-24	$2.40	$2.50	46.8%	13.4%	19.0%	16.8%	0.0%	-2.2%	-11.4%	3.5K	-117.7K	-244	157.37	N/A	N/A	0	720	80
2012-05-25	$2.40	$2.50	26.3%	7.5%	18.7%	2.9%	0.0%	-9.2%	2.6%	3.8K	-118.8K	-236	115.65	N/A	N/A	0	720	80
2012-05-29	$2.42	$2.50	26.9%	7.7%	19.0%	3.2%	0.0%	-7.2%	3.1%	3.8K	-122.4K	-225	91.22	N/A	N/A	10	720	80
2012-05-30	$2.35	$2.50	41.0%	11.8%	19.5%	12.9%	0.0%	-2.3%	-4.9%	3.5K	-109.4K	-254	132.06	N/A	N/A	0	730	80
2012-05-31	$2.38	$2.50	27.6%	7.9%	20.4%	3.8%	0.0%	7.0%	10.8%	4.6K	-118.8K	-214	100.16	N/A	N/A	100	730	80