COR Options History — February 2013

In February 2013, COR traded between $2.97 and $3.24. ATM implied volatility averaged 26.8%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 2.3% (HV 20d: 29.1%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.57.

Notable Days

2013-02-22: Highest Volume — 260 contracts
2013-02-04: Largest IV spike — 38.1% change
2013-02-04: Highest IV Rank — 12.0%
2013-02-15: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.09	$2.97	$3.24	$3.06	$3.24
Max Pain	$3.00	$3.00	$3.00	$3.00	$3.00
ATM IV	26.8%	17.1%	33.6%	24.4%	20.6%
Expected Move	7.5%	4.9%	8.8%	7.2%	5.9%
HV 20d	29.1%	25.2%	34.8%	25.9%	32.5%
HV 60d	24.6%	22.0%	26.3%	26.0%	24.5%
IV Rank	6.6%	0.0%	12.0%	4.2%	2.9%
IV Percentile	28.0%	0.0%	59.9%	10.7%	1.2%
Term Structure	0.0%	-4.7%	9.0%	0.2%	6.5%
VWIV	20.0%	20.0%	20.0%	20.0%	20.0%
Skew 25d	4.3%	-3.8%	9.4%	5.7%	2.1%
Skew 10d	6.9%	-3.2%	19.4%	8.3%	3.0%
Call IV 25d	22.6%	17.8%	35.0%	20.1%	18.4%
Put IV 25d	27.0%	18.5%	37.9%	25.8%	20.5%
Bid-Ask Spread %	61.07	20.44	114.68	58.97	64.50
Gamma HHI	0.56	0.46	0.67	0.67	0.54
Net GEX	-6.9K	-10.5K	-3.7K	-10.5K	-3.8K
Net DEX	-7.9K	-55.5K	59.2K	3.2K	-53.2K
Net VEX	-1.4K	-1.4K	-1.2K	-1.4K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.00	3.00	1.43	0.60
Total Volume	70	0	260	170	0
Total OI	3,352.105	3,100	3,660	3,500	3,200

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
2013-02-01	$3.06	$3.00	24.4%	7.2%	25.9%	4.2%	0.0%	5.7%	0.2%	-10.5K	3.2K	-1.4K	1.43	58.97	N/A	N/A	70	100	1,160	2,340
2013-02-04	$3.13	$3.00	33.6%	8.0%	26.3%	12.0%	0.0%	-1.1%	-4.7%	-6.1K	-48.4K	-1.4K	0.50	114.68	N/A	N/A	100	50	1,090	2,240
2013-02-05	$3.09	$3.00	32.1%	8.2%	26.8%	10.7%	0.0%	7.9%	-3.9%	-6.7K	-37.9K	-1.4K	0.20	48.93	N/A	N/A	50	10	1,130	2,290
2013-02-06	$3.03	$3.00	30.8%	8.2%	27.9%	9.6%	0.0%	3.3%	-3.3%	-7.5K	19.8K	-1.4K	0.00	50.74	N/A	N/A	40	0	1,160	2,280
2013-02-07	$3.06	$3.00	26.7%	7.6%	27.2%	6.2%	0.0%	6.4%	-1.9%	-7.1K	2.7K	-1.4K	0.00	53.51	N/A	N/A	0	0	1,120	2,280
2013-02-08	$3.06	$3.00	28.5%	8.2%	27.2%	7.7%	0.0%	4.5%	-4.0%	-7.4K	-9.3K	-1.4K	0.00	44.08	N/A	N/A	0	0	1,120	2,280
2013-02-11	$3.05	$3.00	26.5%	7.6%	26.9%	6.1%	0.0%	4.0%	-1.2%	-7.0K	-13.0K	-1.4K	0.00	27.42	N/A	N/A	0	250	1,120	2,280
2013-02-12	$3.07	$3.00	28.2%	8.1%	26.9%	7.5%	0.0%	7.5%	-2.0%	-8.9K	-15.5K	-1.4K	0.00	54.95	N/A	N/A	20	0	1,120	2,530
2013-02-13	$3.06	$3.00	28.3%	8.1%	26.2%	7.5%	0.0%	7.0%	-1.7%	-8.2K	-15.1K	-1.4K	0.00	98.65	N/A	N/A	0	0	1,130	2,530
2013-02-14	$3.10	$3.00	27.5%	7.9%	25.2%	6.9%	0.0%	7.7%	-1.2%	-8.0K	-47.4K	-1.4K	0.00	53.16	N/A	N/A	0	0	1,130	2,530
2013-02-15	$2.98	$3.00	30.9%	8.8%	28.5%	9.7%	0.0%	-3.8%	-4.4%	-8.3K	59.2K	-1.4K	3.00	100.55	N/A	N/A	50	150	1,130	2,530
2013-02-19	$3.03	$3.00	27.6%	7.9%	28.1%	6.9%	0.0%	6.9%	-0.9%	-7.9K	50.2K	-1.3K	0.00	20.44	N/A	N/A	0	0	870	2,230
2013-02-20	$2.97	$3.00	27.2%	7.8%	28.5%	6.6%	0.0%	1.1%	-0.7%	-7.2K	57.2K	-1.4K	0.00	25.35	N/A	N/A	0	0	870	2,230
2013-02-21	$3.03	$3.00	25.3%	7.3%	29.3%	5.0%	0.0%	2.9%	1.5%	-7.1K	44.1K	-1.3K	0.00	102.25	N/A	N/A	0	40	870	2,230
2013-02-22	$3.20	$3.00	24.6%	7.0%	34.6%	4.4%	20.0%	9.4%	9.0%	-5.3K	-40.9K	-1.3K	0.00	101.86	N/A	N/A	260	0	870	2,270
2013-02-25	$3.19	$3.00	27.0%	7.7%	34.7%	6.5%	0.0%	9.2%	4.7%	-4.8K	-33.5K	-1.3K	0.00	55.42	N/A	N/A	40	0	900	2,270
2013-02-26	$3.17	$3.00	17.1%	4.9%	34.8%	0.0%	0.0%	0.7%	8.1%	-4.9K	-16.3K	-1.3K	0.00	41.49	N/A	N/A	20	0	910	2,270
2013-02-27	$3.22	$3.00	22.0%	6.3%	34.8%	4.1%	0.0%	0.8%	0.0%	-3.7K	-55.5K	-1.2K	0.60	43.44	N/A	N/A	50	30	910	2,270
2013-02-28	$3.24	$3.00	20.6%	5.9%	32.5%	2.9%	0.0%	2.1%	6.5%	-3.8K	-53.2K	-1.2K	0.00	64.50	N/A	N/A	0	0	900	2,300