COR Options History — September 2012 In September 2012, COR traded between $2.56 and $2.75. ATM implied volatility averaged 43.2%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 26.3% (HV 20d: 16.8%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2012-09-13 : Highest Volume — 500 contracts2012-09-11 : Largest IV spike — 172.8% change2012-09-11 : Highest IV Rank — 79.9%2012-09-11 : Largest Expected Move — 23.3%Monthly Statistics Metric Avg Min Max Open Close Price $2.67 $2.56 $2.75 $2.74 $2.69 Max Pain $2.50 $2.50 $2.50 $2.50 $2.50 ATM IV 43.2% 21.3% 139.1% 22.8% 45.7% Expected Move 11.0% 6.1% 23.3% 6.5% 13.1% HV 20d 16.8% 15.4% 18.3% 17.9% 15.4% HV 60d 20.3% 18.8% 22.9% 22.9% 18.9% IV Rank 15.1% 0.4% 79.9% 1.3% 16.8% IV Percentile 43.9% 0.4% 98.8% 2.4% 67.9% Term Structure -6.0% -40.1% 8.6% 0.2% -19.5% VWIV 61.8% 31.6% 92.1% 31.6% 92.1% Skew 25d 2.9% -2.6% 13.3% 4.6% -2.0% Skew 10d 6.6% -3.4% 44.4% 2.8% 11.9% Call IV 25d 38.5% 21.7% 89.6% 21.7% 49.7% Put IV 25d 41.4% 23.1% 102.8% 26.3% 47.8% Bid-Ask Spread % 111.94 80.96 147.04 89.42 129.54 Gamma HHI 0.62 0.44 0.88 0.88 0.44 Net GEX 4.7K 1.7K 7.2K 3.2K 5.5K Net DEX -111.1K -153.6K -81.7K -103.4K -141.0K Net VEX -352 -488 -196 -196 -488 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 36.316 0 500 0 10 Total OI 1,006.842 670 1,290 670 1,290
Daily Data (19 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 2012-09-04 $2.74 $0.00 22.8% 6.5% 17.9% 1.3% 0.0% 4.6% 0.2% 3.2K -103.4K -196 0.00 89.42 N/A N/A 0 0 530 140 2012-09-05 $2.72 $0.00 56.2% 16.1% 17.7% 23.9% 0.0% 0.1% -17.2% 2.5K -95.8K -222 0.00 139.54 N/A N/A 0 0 530 140 2012-09-06 $2.75 $0.00 56.6% 16.2% 17.8% 24.2% 0.0% 4.3% -16.5% 2.5K -101.8K -207 0.00 137.20 N/A N/A 30 0 530 140 2012-09-07 $2.72 $2.50 26.8% 9.1% 18.3% 4.0% 0.0% 1.5% 1.4% 3.0K -105.2K -217 0.00 84.24 N/A N/A 0 0 560 140 2012-09-10 $2.70 $2.50 51.0% 11.0% 18.1% 20.4% 0.0% 7.7% -4.3% 2.9K -98.7K -232 0.00 105.94 N/A N/A 0 0 560 140 2012-09-11 $2.68 $2.50 139.1% 23.3% 18.1% 79.9% 0.0% 13.3% -40.1% 1.7K -81.7K -251 0.00 147.04 N/A N/A 0 0 560 140 2012-09-12 $2.67 $2.50 66.8% 12.0% 18.1% 31.1% 0.0% 0.7% -15.1% 2.7K -87.2K -233 0.00 134.34 N/A N/A 0 0 560 140 2012-09-13 $2.65 $2.50 30.2% 8.7% 17.4% 6.3% 0.0% 7.1% 2.6% 3.6K -94.6K -217 0.00 90.51 N/A N/A 500 0 560 140 2012-09-14 $2.65 $2.50 40.0% 11.5% 16.4% 13.0% 0.0% -1.3% -13.8% 5.4K -114.4K -464 0.00 131.31 N/A N/A 0 0 1,060 140 2012-09-17 $2.63 $2.50 28.5% 8.2% 16.1% 5.2% 0.0% 3.7% 2.4% 6.8K -117.7K -439 0.00 86.12 N/A N/A 0 0 1,060 140 2012-09-18 $2.64 $2.50 31.8% 9.1% 15.4% 7.4% 31.6% 6.3% -0.8% 6.1K -117.8K -436 0.00 89.97 N/A N/A 40 0 1,060 140 2012-09-19 $2.62 $2.50 29.9% 8.6% 15.5% 6.2% 0.0% 4.8% 1.2% 6.4K -119.5K -440 0.00 92.22 N/A N/A 0 0 1,060 140 2012-09-20 $2.56 $2.50 36.2% 10.4% 17.0% 10.4% 0.0% -1.3% -2.8% 6.1K -93.8K -432 0.00 116.06 N/A N/A 0 0 1,060 140 2012-09-21 $2.62 $2.50 33.2% 9.5% 17.7% 8.4% 0.0% 1.4% 6.5% 7.2K -119.9K -420 0.00 126.27 N/A N/A 0 80 1,060 140 2012-09-24 $2.63 $2.50 26.6% 7.6% 16.6% 3.9% 0.0% -2.6% 5.9% 7.1K -121.9K -452 0.00 116.87 N/A N/A 0 0 1,060 220 2012-09-25 $2.66 $2.50 30.9% 8.9% 15.4% 6.8% 0.0% 6.4% -2.1% 6.3K -122.1K -457 0.00 80.96 N/A N/A 0 0 1,060 220 2012-09-26 $2.66 $2.50 46.3% 13.3% 15.4% 17.3% 92.1% -0.6% -10.7% 5.3K -120.8K -469 0.00 142.38 N/A N/A 30 0 1,060 220 2012-09-27 $2.68 $2.50 21.3% 6.1% 15.6% 0.4% 0.0% 1.2% 8.6% 5.8K -153.6K -413 0.00 86.86 N/A N/A 0 0 1,070 220 2012-09-28 $2.69 $2.50 45.7% 13.1% 15.4% 16.8% 0.0% -2.0% -19.5% 5.5K -141.0K -488 0.00 129.54 N/A N/A 10 0 1,070 220
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