COR Options History — January 2013

In January 2013, COR traded between $2.87 and $3.08. ATM implied volatility averaged 30.0%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 10.2% (HV 20d: 19.8%). Max pain ranged from $2.25 to $3.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2013-01-17: Highest Volume — 1,190 contracts
  • 2013-01-24: Largest IV spike — 257.2% change
  • 2013-01-24: Highest IV Rank — 52.7%
  • 2013-01-24: Largest Expected Move — 23.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.97$2.87$3.08$2.87$2.95
Max Pain$2.76$2.25$3.00$2.25$3.00
ATM IV30.0%22.6%82.4%27.0%23.2%
Expected Move8.6%6.6%23.6%7.7%6.6%
HV 20d19.8%16.6%26.0%16.6%22.6%
HV 60d30.2%25.5%32.0%31.2%25.5%
IV Rank8.9%2.7%52.7%6.4%3.2%
IV Percentile29.7%3.2%99.2%24.6%6.3%
Term Structure-2.0%-27.8%5.0%-0.4%3.7%
VWIV28.3%23.0%37.5%37.5%23.1%
Skew 25d2.4%-7.6%15.2%-6.3%1.4%
Skew 10d6.6%-6.5%37.4%-6.4%1.5%
Call IV 25d30.0%20.0%113.0%29.7%24.4%
Put IV 25d32.4%22.0%117.7%23.4%25.8%
Bid-Ask Spread %50.0213.28150.4031.8044.81
Gamma HHI0.670.480.850.630.66
Net GEX4.9K-10.8K25.8K6.9K-9.4K
Net DEX-147.6K-329.3K74.6K-194.5K74.6K
Net VEX-936-1.7K-487-560-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.006.930.002.60
Total Volume123.33301,1901000
Total OI2,781.9052,0403,5402,0403,500

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$2.87$2.2527.0%7.7%16.6%6.4%0.0%-6.3%-0.4%6.9K-194.5K-5600.0031.80N/AN/A10001,280760
2013-01-03$2.87$2.2527.3%7.8%16.6%6.7%37.5%-7.6%-2.1%7.9K-211.4K-6080.0032.48N/AN/A5001,380760
2013-01-04$2.91$2.5031.2%8.7%16.7%10.0%0.0%-3.3%-3.9%9.1K-225.7K-6210.0043.02N/AN/A001,390760
2013-01-07$2.90$2.5031.1%8.4%16.9%9.9%0.0%-3.8%-3.3%9.4K-219.5K-5680.0041.74N/AN/A20001,390760
2013-01-08$2.89$2.5022.6%8.0%16.6%2.7%0.0%-3.5%-1.9%10.8K-211.0K-5820.0055.65N/AN/A2001,590760
2013-01-09$2.95$2.5034.3%8.3%17.3%12.6%29.6%-1.3%-2.5%11.8K-254.7K-6040.0019.94N/AN/A6001,590760
2013-01-10$2.96$2.5028.2%8.1%17.3%7.5%0.0%-0.5%-1.6%14.3K-271.7K-5830.0013.28N/AN/A001,630760
2013-01-11$3.00$2.5028.3%8.1%17.2%7.5%28.8%2.1%-2.3%11.3K-307.6K-5220.00108.60N/AN/A1001,630760
2013-01-14$3.02$2.5027.6%7.9%17.2%6.9%27.6%2.4%0.7%20.1K-317.3K-5560.0015.80N/AN/A02501,640760
2013-01-15$3.08$3.0030.4%8.7%17.3%9.3%0.0%15.2%-0.9%10.2K-329.3K-4870.00108.27N/AN/A001,6401,010
2013-01-16$3.01$3.0028.8%8.2%20.3%7.9%0.0%2.7%-2.5%15.7K-282.2K-5940.0022.50N/AN/A001,6401,010
2013-01-17$3.05$3.0022.9%6.6%19.8%3.0%23.0%2.9%1.3%16.0K-324.2K-4976.9338.72N/AN/A1501,0401,6401,010
2013-01-18$2.99$3.0024.5%7.0%21.9%4.3%0.0%1.5%1.4%25.8K-60.5K-1.4K0.0039.75N/AN/A001,4902,050
2013-01-22$3.03$3.0028.8%8.3%22.0%7.9%0.0%11.7%-0.2%-10.3K-1.5K-1.3K1.0021.87N/AN/A50509702,020
2013-01-23$3.00$3.0023.1%6.6%22.4%3.2%23.1%1.7%5.0%-10.8K-8.7K-1.3K0.0033.12N/AN/A22001,0202,070
2013-01-24$2.97$3.0082.4%23.6%22.9%52.7%0.0%4.8%-27.8%-4.3K4.2K-1.7K0.50150.40N/AN/A20101,2402,070
2013-01-25$2.98$3.0027.7%7.9%22.8%7.0%0.0%5.1%0.3%-6.9K818-1.4K0.00130.06N/AN/A001,2602,080
2013-01-28$3.00$3.0026.8%7.7%22.7%6.3%0.0%14.2%-0.7%-6.9K-23.5K-1.3K2.6026.50N/AN/A1002601,2602,080
2013-01-29$3.05$3.0026.2%7.5%22.7%5.8%0.0%13.0%-0.5%-9.3K12.0K-1.5K0.0026.18N/AN/A001,1602,340
2013-01-30$2.96$3.0027.2%7.8%26.0%6.7%0.0%-1.0%-3.5%-7.9K51.9K-1.5K0.0045.95N/AN/A001,1602,340
2013-01-31$2.95$3.0023.2%6.6%22.6%3.2%0.0%1.4%3.7%-9.4K74.6K-1.5K0.0044.81N/AN/A001,1602,340