COR Options History — August 2012 In August 2012, COR traded between $2.61 and $2.76. ATM implied volatility averaged 37.9%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 17.7% (HV 20d: 20.2%). Max pain ranged from $2.25 to $2.25. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.00.
Notable Days 2012-08-06 : Highest Volume — 140 contracts2012-08-14 : Largest IV spike — 148.3% change2012-08-14 : Highest IV Rank — 52.3%2012-08-30 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $2.69 $2.61 $2.76 $2.61 $2.72 Max Pain $2.25 $2.25 $2.25 $2.25 $2.25 ATM IV 37.9% 20.8% 99.0% 36.1% 46.9% Expected Move 8.8% 6.0% 14.1% 10.3% 13.4% HV 20d 20.2% 17.2% 23.5% 22.5% 17.9% HV 60d 25.6% 23.2% 26.7% 26.5% 23.2% IV Rank 10.9% 0.0% 52.3% 9.5% 17.6% IV Percentile 38.7% 0.0% 94.4% 43.3% 71.8% Term Structure 1.4% -16.8% 11.5% -7.2% -12.2% Skew 25d 1.0% -9.5% 12.4% -9.5% 0.0% Skew 10d 1.8% -2.0% 9.5% 0.2% 1.6% Call IV 25d 32.0% 18.6% 55.6% 44.2% 48.4% Put IV 25d 33.0% 19.2% 57.5% 34.7% 48.4% Bid-Ask Spread % 116.60 85.27 142.56 122.58 123.44 Gamma HHI 0.89 0.84 0.95 0.95 0.85 Net GEX 3.1K 2.3K 4.3K 4.1K 2.3K Net DEX -114.6K -148.8K -81.4K -117.4K -100.6K Net VEX -270 -336 -218 -336 -218 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 7.826 0 140 0 0 Total OI 769.565 670 860 860 670
Daily Data (23 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 2012-08-01 $2.61 $2.25 36.1% 10.3% 22.5% 9.5% 0.0% -9.5% -7.2% 4.1K -117.4K -336 0.00 122.58 N/A N/A 0 0 720 140 2012-08-02 $2.63 $2.25 24.5% 7.0% 22.7% 1.6% 0.0% -3.7% 1.6% 4.3K -119.5K -335 0.00 115.91 N/A N/A 0 0 720 140 2012-08-03 $2.67 $2.25 42.6% 12.2% 23.5% 13.7% 0.0% 1.9% -1.9% 3.8K -127.5K -330 0.00 123.78 N/A N/A 0 0 720 140 2012-08-06 $2.66 $0.00 45.9% 10.0% 23.5% 15.9% 0.0% 0.8% -14.8% 4.1K -127.4K -311 0.00 142.56 N/A N/A 140 0 720 140 2012-08-07 $2.69 $0.00 44.2% 10.3% 22.8% 14.8% 0.0% 2.2% -2.7% 3.5K -128.8K -303 0.00 142.15 N/A N/A 0 0 700 140 2012-08-08 $2.72 $0.00 50.9% 10.7% 22.9% 19.4% 0.0% 0.8% -3.3% 3.3K -134.3K -288 0.00 139.29 N/A N/A 0 0 700 140 2012-08-09 $2.71 $0.00 33.6% 7.1% 22.5% 7.5% 0.0% 8.6% 10.8% 3.0K -139.1K -276 0.00 108.24 N/A N/A 0 0 700 140 2012-08-10 $2.69 $0.00 62.5% 10.4% 21.7% 27.3% 0.0% -0.4% 8.5% 3.0K -123.0K -308 0.00 136.34 N/A N/A 40 0 700 140 2012-08-13 $2.67 $0.00 39.9% 7.2% 21.5% 11.8% 0.0% 8.7% 10.2% 3.4K -130.7K -278 0.00 105.71 N/A N/A 0 0 700 140 2012-08-14 $2.66 $0.00 99.0% 10.1% 21.3% 52.3% 0.0% -4.5% -4.2% 3.7K -119.5K -296 0.00 140.24 N/A N/A 0 0 700 140 2012-08-15 $2.70 $0.00 41.4% 7.1% 20.4% 12.9% 0.0% 6.3% 11.5% 2.8K -134.3K -276 0.00 106.87 N/A N/A 0 0 700 140 2012-08-16 $2.74 $0.00 30.5% 8.8% 17.8% 5.4% 0.0% 3.3% 7.7% 3.0K -137.3K -267 0.00 121.87 N/A N/A 0 0 700 140 2012-08-17 $2.76 $0.00 38.7% 11.1% 17.9% 11.0% 0.0% 3.0% -16.8% 2.4K -148.8K -246 0.00 137.82 N/A N/A 0 0 700 140 2012-08-20 $2.72 $0.00 22.6% 6.5% 17.2% 0.0% 0.0% -1.8% 6.2% 2.5K -97.9K -247 0.00 103.32 N/A N/A 0 0 530 140 2012-08-21 $2.71 $0.00 22.5% 6.5% 17.3% 0.0% 0.0% -2.1% 6.6% 2.5K -96.7K -244 0.00 102.23 N/A N/A 0 0 530 140 2012-08-22 $2.69 $0.00 20.8% 6.0% 17.4% 0.0% 0.0% 1.3% 11.1% 2.7K -90.0K -251 0.00 90.19 N/A N/A 0 0 530 140 2012-08-23 $2.64 $0.00 27.2% 7.8% 18.8% 4.3% 0.0% -8.7% 9.3% 2.8K -81.4K -263 0.00 109.44 N/A N/A 0 0 530 140 2012-08-24 $2.68 $0.00 25.8% 7.4% 18.7% 3.4% 0.0% 12.4% 2.6% 3.2K -87.3K -243 0.00 104.29 N/A N/A 0 0 530 140 2012-08-27 $2.73 $0.00 23.4% 6.7% 19.9% 1.7% 0.0% 5.9% 1.8% 3.1K -100.4K -221 0.00 97.63 N/A N/A 0 0 530 140 2012-08-28 $2.72 $0.00 22.3% 6.4% 19.9% 1.0% 0.0% 0.6% 9.1% 2.7K -98.1K -227 0.00 88.48 N/A N/A 0 0 530 140 2012-08-29 $2.73 $0.00 21.7% 6.2% 18.2% 0.6% 0.0% -0.6% 10.0% 2.6K -100.4K -223 0.00 85.27 N/A N/A 0 0 530 140 2012-08-30 $2.70 $0.00 49.1% 14.1% 18.6% 19.1% 0.0% -1.5% -12.1% 2.8K -94.2K -234 0.00 134.15 N/A N/A 0 0 530 140 2012-08-31 $2.72 $0.00 46.9% 13.4% 17.9% 17.6% 0.0% 0.0% -12.2% 2.3K -100.6K -218 0.00 123.44 N/A N/A 0 0 530 140
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