COR Options History — December 2012 In December 2012, COR traded between $2.57 and $2.78. ATM implied volatility averaged 27.4%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 4.7% (HV 20d: 22.7%). Max pain ranged from $2.00 to $2.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-12-27 : Highest Volume — 150 contracts2012-12-11 : Largest IV spike — 95.2% change2012-12-11 : Highest IV Rank — 16.7%2012-12-28 : Largest Expected Move — 9.2%Monthly Statistics Metric Avg Min Max Open Close Price $2.66 $2.57 $2.78 $2.58 $2.77 Max Pain $2.20 $2.00 $2.25 $2.00 $2.25 ATM IV 27.4% 19.3% 40.5% 23.5% 20.2% Expected Move 7.9% 5.8% 9.2% 6.7% 5.8% HV 20d 22.7% 10.9% 34.5% 34.5% 11.4% HV 60d 30.9% 30.5% 31.1% 31.1% 30.5% IV Rank 6.4% 0.0% 16.7% 2.3% 0.8% IV Percentile 23.4% 0.0% 67.9% 4.8% 0.4% Term Structure 1.5% -7.7% 13.6% 5.6% -1.5% Skew 25d 1.1% -7.3% 8.8% 1.9% 0.9% Skew 10d 1.5% -3.1% 8.3% 8.2% 1.4% Call IV 25d 27.1% 17.2% 43.7% 23.3% 19.4% Put IV 25d 28.3% 17.5% 36.4% 25.3% 20.3% Bid-Ask Spread % 86.73 31.69 130.34 31.69 43.79 Gamma HHI 0.41 0.37 0.50 0.39 0.43 Net GEX 1.1K 74 3.8K 331 2.2K Net DEX -110.0K -153.3K -80.3K -89.8K -137.6K Net VEX -652 -746 -328 -742 -594 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 15 0 150 0 0 Total OI 1,997.5 1,870 2,050 2,010 2,040
Daily Data (20 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 2012-12-03 $2.58 $2.00 23.5% 6.7% 34.5% 2.3% 0.0% 1.9% 5.6% 331 -89.8K -742 0.00 31.69 N/A N/A 0 0 1,230 780 2012-12-04 $2.57 $2.00 24.7% 7.1% 33.7% 3.3% 0.0% -2.5% 13.6% 322 -80.3K -746 0.00 114.03 N/A N/A 0 0 1,230 780 2012-12-05 $2.57 $2.00 31.5% 9.0% 33.7% 9.0% 0.0% -7.3% -1.1% 423 -85.5K -734 0.00 129.76 N/A N/A 0 0 1,230 780 2012-12-06 $2.60 $2.00 29.5% 8.4% 33.6% 7.3% 0.0% 5.2% 0.2% 592 -91.8K -741 0.00 46.55 N/A N/A 0 0 1,230 780 2012-12-07 $2.58 $2.25 31.9% 7.9% 32.4% 9.4% 0.0% -4.7% -1.9% 599 -90.7K -734 0.00 117.24 N/A N/A 0 0 1,230 780 2012-12-10 $2.58 $2.25 20.8% 8.5% 31.8% 0.0% 0.0% 2.0% -1.3% 195 -89.5K -708 0.00 42.85 N/A N/A 0 0 1,230 780 2012-12-11 $2.59 $2.25 40.5% 8.1% 31.7% 16.7% 0.0% -1.9% -0.6% 382 -89.6K -687 0.00 130.34 N/A N/A 0 0 1,230 780 2012-12-12 $2.59 $2.25 19.3% 8.4% 31.0% 0.0% 0.0% 2.4% -1.4% 74 -92.7K -674 0.00 47.82 N/A N/A 0 0 1,230 780 2012-12-13 $2.60 $2.25 27.8% 8.0% 29.0% 7.1% 0.0% -1.1% 0.7% 244 -91.5K -672 0.00 126.29 N/A N/A 0 0 1,230 780 2012-12-14 $2.60 $2.25 29.4% 8.4% 28.7% 8.4% 0.0% -2.5% -2.6% 268 -95.9K -676 0.00 110.74 N/A N/A 20 0 1,230 780 2012-12-17 $2.62 $2.25 26.4% 7.6% 22.5% 5.9% 0.0% 2.9% 3.1% 258 -98.9K -653 0.00 111.47 N/A N/A 0 0 1,230 780 2012-12-18 $2.67 $2.25 24.6% 7.0% 14.2% 4.4% 0.0% 7.7% 6.3% 375 -111.8K -625 0.00 59.61 N/A N/A 0 0 1,230 780 2012-12-19 $2.71 $2.25 30.0% 8.6% 14.2% 9.0% 0.0% -1.2% -0.1% 1.5K -130.8K -632 0.00 115.27 N/A N/A 0 0 1,230 780 2012-12-20 $2.73 $2.25 25.3% 7.2% 13.8% 5.0% 0.0% 8.8% 9.3% 1.8K -135.1K -624 0.00 62.61 N/A N/A 10 0 1,230 780 2012-12-21 $2.76 $2.25 23.9% 6.9% 13.8% 3.9% 0.0% 3.0% 9.8% 1.7K -133.8K -607 0.00 75.54 N/A N/A 10 0 1,240 780 2012-12-24 $2.75 $2.25 31.1% 8.9% 11.3% 9.8% 0.0% 1.7% -6.7% 1.2K -135.4K -328 0.00 115.45 N/A N/A 0 0 1,110 760 2012-12-26 $2.75 $2.25 27.4% 7.8% 10.9% 6.7% 0.0% -2.9% -7.2% 2.2K -120.4K -579 0.00 65.82 N/A N/A 100 0 1,110 760 2012-12-27 $2.78 $2.25 29.4% 8.4% 11.1% 8.4% 0.0% 7.6% 13.2% 3.4K -146.1K -631 0.00 70.87 N/A N/A 150 0 1,200 760 2012-12-28 $2.76 $2.25 32.1% 9.2% 11.4% 10.7% 0.0% 3.0% -7.7% 3.8K -153.3K -661 0.00 116.89 N/A N/A 10 0 1,290 760 2012-12-31 $2.77 $2.25 20.2% 5.8% 11.4% 0.8% 0.0% 0.9% -1.5% 2.2K -137.6K -594 0.00 43.79 N/A N/A 0 0 1,280 760
« Nov 2012 | All History | Jan 2013 » Home COR History December 2012