COR Options History — June 2012

In June 2012, COR traded between $2.32 and $2.58. ATM implied volatility averaged 37.9%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 7.8% (HV 20d: 30.2%). Max pain ranged from $1.75 to $2.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2012-06-05: Highest Volume — 300 contracts
  • 2012-06-11: Largest IV spike — 158.0% change
  • 2012-06-11: Highest IV Rank — 38.1%
  • 2012-06-01: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.44$2.32$2.58$2.33$2.58
Max Pain$1.79$1.75$2.50$2.50$1.75
ATM IV37.9%23.5%78.0%53.9%25.7%
Expected Move9.6%7.4%15.5%15.5%7.4%
HV 20d30.2%21.2%33.8%21.3%31.7%
HV 60d26.5%24.3%27.8%24.4%27.4%
IV Rank10.8%1.0%38.1%21.7%2.5%
IV Percentile33.5%1.6%79.4%67.9%5.6%
Term Structure-0.7%-19.3%7.1%-19.3%3.8%
VWIV32.5%23.3%48.2%30.1%31.0%
Skew 25d-0.6%-9.8%9.8%2.1%0.4%
Skew 10d3.5%-3.3%22.8%-1.3%0.8%
Call IV 25d36.5%27.6%64.2%64.2%34.2%
Put IV 25d35.9%22.6%66.4%66.4%34.6%
Bid-Ask Spread %107.5477.13153.54153.54118.31
Gamma HHI0.530.380.930.470.93
Net GEX6.7K4.1K10.7K4.1K9.5K
Net DEX-162.8K-238.4K-106.3K-109.1K-210.1K
Net VEX-396-570-204-234-503
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.006.000.000.00
Total Volume67.143030000
Total OI1,308.5718101,8808101,460

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$2.33$2.5053.9%15.5%21.3%21.7%0.0%2.1%-19.3%4.1K-109.1K-2340.00153.54N/AN/A0073080
2012-06-04$2.32$1.7559.1%10.3%21.2%25.2%0.0%2.6%1.1%4.2K-106.3K-2310.00131.64N/AN/A0073080
2012-06-05$2.37$1.7526.4%9.3%22.7%2.9%30.1%0.8%2.9%4.8K-115.2K-2040.0079.94N/AN/A300073080
2012-06-06$2.47$1.7536.8%9.5%27.9%10.0%23.3%3.9%1.6%6.5K-169.8K-2710.4383.86N/AN/A70301,03080
2012-06-07$2.42$1.7523.5%7.6%28.8%1.0%0.0%2.8%3.7%6.3K-163.6K-3106.0086.65N/AN/A201201,030110
2012-06-08$2.46$1.7530.3%8.7%28.3%5.5%0.0%-5.2%1.4%5.8K-146.1K-3440.00108.87N/AN/A001,010230
2012-06-11$2.37$1.7578.0%10.5%31.5%38.1%48.2%-9.8%-14.6%4.6K-123.0K-3910.00117.81N/AN/A17001,010230
2012-06-12$2.40$1.7534.6%8.7%32.1%8.5%0.0%-2.0%2.8%6.0K-128.1K-3490.00109.21N/AN/A1001,010230
2012-06-13$2.39$1.7561.1%9.5%32.1%26.6%0.0%9.8%6.7%5.5K-124.3K-3640.00136.51N/AN/A001,010230
2012-06-14$2.42$1.7532.3%9.3%32.5%7.0%0.0%1.6%2.2%5.7K-134.4K-3540.0081.94N/AN/A001,010230
2012-06-15$2.45$1.7532.5%9.3%30.2%7.1%0.0%1.8%2.5%5.4K-146.0K-3500.1389.94N/AN/A80101,010230
2012-06-18$2.48$1.7532.1%9.2%30.1%6.8%0.0%-6.1%-0.2%6.2K-169.8K-3690.0078.65N/AN/A001,090220
2012-06-19$2.56$1.7532.1%9.2%31.4%6.8%0.0%0.1%-0.4%6.7K-197.0K-3170.0086.05N/AN/A26001,090220
2012-06-20$2.49$1.7530.7%8.8%33.2%5.8%0.0%-3.4%0.3%7.3K-211.7K-5050.00123.53N/AN/A001,350220
2012-06-21$2.46$1.7532.2%9.2%33.5%6.9%0.0%-5.6%-0.3%7.6K-197.2K-5080.0077.13N/AN/A10001,350220
2012-06-22$2.46$1.7542.1%12.1%33.5%13.6%0.0%-4.5%-8.7%7.2K-207.3K-5630.00141.31N/AN/A001,450220
2012-06-25$2.44$1.7529.4%8.4%33.6%5.0%30.1%-7.8%1.2%9.1K-201.0K-4970.0077.27N/AN/A21001,450220
2012-06-26$2.47$1.7530.9%8.9%33.8%6.0%31.0%1.8%-1.1%10.7K-238.4K-5700.00112.84N/AN/A3001,660220
2012-06-27$2.49$1.7531.7%9.1%32.2%6.6%0.0%4.3%7.1%8.7K-152.1K-5310.00124.54N/AN/A001,240220
2012-06-28$2.52$1.7541.3%11.8%32.2%13.1%0.0%0.0%-7.8%7.9K-167.8K-5410.00138.77N/AN/A001,240220
2012-06-29$2.58$1.7525.7%7.4%31.7%2.5%0.0%0.4%3.8%9.5K-210.1K-5030.00118.31N/AN/A001,240220