COR Options History — July 2012

In July 2012, COR traded between $2.59 and $2.78. ATM implied volatility averaged 32.4%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 7.4% (HV 20d: 25.1%). Max pain ranged from $1.75 to $2.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2012-07-16: Highest Volume — 110 contracts
  • 2012-07-03: Largest IV spike — 102.5% change
  • 2012-07-03: Highest IV Rank — 22.4%
  • 2012-07-03: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.67$2.59$2.78$2.64$2.67
Max Pain$2.18$1.75$2.25$1.75$2.25
ATM IV32.4%22.8%54.9%27.1%37.7%
Expected Move8.9%6.5%15.7%7.8%10.8%
HV 20d25.1%22.5%32.0%32.0%22.5%
HV 60d25.9%24.9%27.5%27.5%26.2%
IV Rank7.0%0.5%22.4%3.4%10.6%
IV Percentile27.2%1.2%76.6%10.7%46.8%
Term Structure2.3%-11.7%13.5%-0.3%-11.7%
Skew 25d2.6%-11.4%13.4%2.6%-4.2%
Skew 10d3.8%-8.1%19.3%3.7%4.8%
Call IV 25d29.7%18.3%56.4%34.9%40.6%
Put IV 25d32.3%20.7%69.8%37.5%36.3%
Bid-Ask Spread %108.9889.79145.02117.46119.33
Gamma HHI0.960.900.990.950.93
Net GEX5.3K3.0K8.3K8.3K3.7K
Net DEX-197.1K-271.4K-103.1K-233.9K-127.8K
Net VEX-379-468-322-458-331
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume18.095011000
Total OI1,208.5718401,4801,460860

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$2.64$1.7527.1%7.8%32.0%3.4%0.0%2.6%-0.3%8.3K-233.9K-4580.00117.46N/AN/A001,240220
2012-07-03$2.69$1.7554.9%15.7%31.9%22.4%0.0%13.4%1.7%6.0K-229.7K-4680.00134.20N/AN/A2001,240220
2012-07-05$2.70$1.7538.5%11.0%28.9%11.1%0.0%-0.3%-10.1%6.8K-258.3K-4460.00116.52N/AN/A10001,260220
2012-07-06$2.69$2.2525.4%7.3%27.4%2.2%0.0%10.2%12.8%6.3K-253.2K-4120.00100.38N/AN/A0101,210220
2012-07-09$2.70$2.2541.6%8.5%26.9%13.3%0.0%8.4%4.0%6.7K-248.6K-4230.0099.69N/AN/A0101,210230
2012-07-10$2.65$2.2550.0%7.9%23.3%19.0%0.0%8.3%9.8%7.3K-232.4K-4280.00117.05N/AN/A001,210220
2012-07-11$2.65$2.2525.1%8.7%23.1%2.1%0.0%8.2%4.1%7.3K-244.7K-4060.0099.59N/AN/A001,210220
2012-07-12$2.68$2.2525.8%7.4%22.8%2.5%0.0%8.5%11.1%5.8K-255.2K-3810.00104.20N/AN/A001,210220
2012-07-13$2.73$2.2527.0%7.7%23.2%3.3%0.0%8.8%9.3%4.6K-271.4K-3600.00108.48N/AN/A10001,210220
2012-07-16$2.76$2.2528.2%8.1%23.0%4.2%0.0%5.3%13.5%3.5K-254.9K-3400.00101.25N/AN/A11001,130220
2012-07-17$2.78$2.2525.6%7.4%22.9%2.4%0.0%-7.4%2.9%3.4K-244.8K-3220.0097.01N/AN/A001,060220
2012-07-18$2.71$2.2527.3%7.8%23.6%3.5%0.0%-4.5%0.7%5.0K-229.7K-3330.00106.66N/AN/A001,060220
2012-07-19$2.63$2.2540.4%11.6%24.2%12.5%0.0%-0.2%-9.0%7.1K-186.3K-3900.00145.02N/AN/A001,060220
2012-07-20$2.64$2.2526.8%7.7%23.5%3.2%0.0%-11.4%9.9%7.8K-195.3K-3660.00114.17N/AN/A001,060220
2012-07-23$2.59$2.2529.7%8.5%25.0%5.2%0.0%1.8%0.1%4.1K-103.1K-3620.00105.54N/AN/A00700140
2012-07-24$2.60$2.2530.5%8.8%24.7%5.7%0.0%4.2%-0.3%3.9K-107.1K-3580.0091.56N/AN/A00700140
2012-07-25$2.59$2.2527.9%8.0%24.6%3.9%0.0%4.5%4.5%4.2K-103.1K-3560.0089.79N/AN/A00700140
2012-07-26$2.61$2.2544.1%12.6%24.6%15.0%0.0%-1.8%-10.8%3.0K-105.5K-3600.00137.37N/AN/A00700140
2012-07-27$2.66$2.2522.8%6.5%25.0%0.5%0.0%2.2%5.1%3.8K-122.9K-3270.0093.19N/AN/A300700140
2012-07-30$2.67$2.2524.9%7.1%23.6%1.9%0.0%-1.4%1.7%3.6K-131.2K-3310.0090.19N/AN/A00720140
2012-07-31$2.67$2.2537.7%10.8%22.5%10.6%0.0%-4.2%-11.7%3.7K-127.8K-3310.00119.33N/AN/A00720140