COR Options History — October 2012

In October 2012, COR traded between $2.27 and $2.74. ATM implied volatility averaged 31.5%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 11.8% (HV 20d: 19.7%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2012-10-15: Highest Volume — 400 contracts
  • 2012-10-31: Largest IV spike — 94.9% change
  • 2012-10-31: Highest IV Rank — 24.0%
  • 2012-10-31: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.62$2.27$2.74$2.66$2.27
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV31.5%23.4%56.3%43.6%56.3%
Expected Move9.0%7.0%16.1%12.5%16.1%
HV 20d19.7%15.7%32.8%15.7%32.8%
HV 60d19.0%17.1%23.8%19.0%23.8%
IV Rank7.2%1.7%24.0%15.4%24.0%
IV Percentile28.0%4.4%88.5%64.3%88.5%
Term Structure0.5%-17.9%10.8%-6.8%-17.9%
VWIV23.7%18.9%28.4%28.4%18.9%
Skew 25d5.9%-10.9%19.8%-2.3%5.6%
Skew 10d7.4%-3.4%28.3%9.0%24.0%
Call IV 25d28.5%16.8%60.1%53.0%60.1%
Put IV 25d34.4%21.0%65.6%50.7%65.6%
Bid-Ask Spread %103.4826.65144.65133.87143.40
Gamma HHI0.450.390.530.440.39
Net GEX3.3K-1.5K6.4K5.7K-1.5K
Net DEX-94.7K-180.0K60.4K-127.4K60.4K
Net VEX-448-599-315-420-383
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.002.000.002.00
Total Volume22.381040000
Total OI1,329.5241,1101,7001,3001,150

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$2.66$2.5043.6%12.5%15.7%15.4%0.0%-2.3%-6.8%5.7K-127.4K-4200.00133.87N/AN/A001,080220
2012-10-02$2.62$2.5038.1%10.9%16.2%11.7%0.0%-10.9%-4.3%6.4K-127.4K-4560.00121.63N/AN/A001,080220
2012-10-03$2.68$2.5034.4%9.8%18.2%9.2%0.0%2.7%-5.9%5.8K-143.0K-3900.00122.07N/AN/A001,080220
2012-10-04$2.70$2.5041.4%11.9%18.0%13.9%0.0%4.2%-5.2%5.8K-148.3K-4420.00131.48N/AN/A001,080220
2012-10-05$2.73$0.0029.5%7.5%17.9%5.9%0.0%3.8%8.6%5.1K-171.7K-3920.00104.38N/AN/A001,080220
2012-10-08$2.73$0.0023.4%8.0%17.8%1.7%0.0%13.1%-3.0%4.1K-174.2K-3340.00120.60N/AN/A001,080220
2012-10-09$2.73$0.0025.5%7.0%17.5%3.2%0.0%10.1%10.8%4.2K-177.3K-3540.00104.56N/AN/A001,080220
2012-10-10$2.74$0.0026.9%7.2%17.4%4.1%0.0%10.5%9.6%4.1K-180.0K-3510.0080.73N/AN/A001,080220
2012-10-11$2.68$0.0027.0%7.7%19.2%4.2%0.0%9.4%6.8%5.9K-160.6K-3700.00112.43N/AN/A001,080220
2012-10-12$2.65$0.0025.0%7.2%19.4%2.8%0.0%8.4%8.7%5.9K-156.5K-3400.00106.56N/AN/A001,080220
2012-10-15$2.66$0.0025.7%7.4%19.3%3.3%0.0%7.2%7.4%5.1K-157.9K-3150.0097.58N/AN/A04001,080220
2012-10-16$2.67$0.0025.4%7.3%19.3%3.1%0.0%6.1%7.3%1.8K-123.5K-5800.0083.25N/AN/A001,080620
2012-10-17$2.65$0.0040.6%11.6%19.4%13.4%0.0%19.8%-10.1%3.1K-120.8K-5900.00144.65N/AN/A001,080620
2012-10-18$2.64$0.0034.9%10.0%17.6%9.6%0.0%18.2%3.0%4.7K-103.9K-5990.00127.26N/AN/A001,080620
2012-10-19$2.61$0.0025.8%7.4%16.7%3.4%0.0%6.0%7.8%4.8K-105.8K-5770.0082.82N/AN/A3001,080620
2012-10-22$2.60$0.0025.1%7.2%16.6%2.9%28.4%5.3%-5.5%3413.6K-5302.00108.92N/AN/A1020600510
2012-10-23$2.58$2.5028.1%8.1%16.3%5.0%0.0%4.2%1.8%-21819.9K-5430.0036.36N/AN/A00610530
2012-10-24$2.60$2.5027.5%7.9%16.5%4.5%0.0%3.2%1.3%-516.4K-5390.0026.65N/AN/A00610530
2012-10-25$2.41$2.5029.0%8.3%31.0%5.5%0.0%1.1%8.3%-45526.3K-4920.0097.46N/AN/A00610530
2012-10-26$2.33$2.5028.9%8.3%32.1%5.5%18.9%-0.9%-12.5%-1.4K53.3K-4060.0086.33N/AN/A010610530
2012-10-31$2.27$2.5056.3%16.1%32.8%24.0%0.0%5.6%-17.9%-1.5K60.4K-3830.00143.40N/AN/A00610540