COR Options History — March 2013

In March 2013, COR traded between $3.38 and $3.52. ATM implied volatility averaged 22.4%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 6.0% (HV 20d: 28.4%). Max pain ranged from $2.50 to $3.50. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 3.32.

Notable Days

  • 2013-03-06: Highest Volume — 730 contracts
  • 2013-03-11: Largest IV drop — 25.3% change
  • 2013-03-06: Highest IV Rank — 7.1%
  • 2013-03-12: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.45$3.38$3.52$3.38$3.50
Max Pain$2.63$2.50$3.50$3.00$3.50
ATM IV22.4%17.0%25.8%19.9%23.1%
Expected Move6.7%5.7%7.0%5.7%6.6%
HV 20d28.4%19.9%34.9%34.9%20.0%
HV 60d26.0%25.6%26.3%25.7%26.2%
IV Rank4.5%0.0%7.1%2.3%5.0%
IV Percentile8.5%0.0%24.2%0.8%12.3%
Term Structure2.8%-0.4%6.8%6.8%4.6%
VWIV26.8%22.0%48.8%22.0%23.1%
Skew 25d1.7%-5.3%22.0%8.5%18.7%
Skew 10d3.1%-7.5%36.2%-0.1%29.9%
Call IV 25d21.8%14.1%24.2%14.1%23.0%
Put IV 25d23.5%17.9%43.3%22.6%41.7%
Bid-Ask Spread %61.6135.1896.1244.5861.85
Gamma HHI0.620.500.930.510.55
Net GEX-1.6K-10.3K8.1K-1.9K7.3K
Net DEX-49.2K-159.0K32.4K-113.9K-30.4K
Net VEX-1.5K-1.7K-951-1.0K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.320.0035.500.001.00
Total Volume15907300350
Total OI3,8003,2004,0803,2004,070

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$3.38$3.0019.9%5.7%34.9%2.3%0.0%8.5%6.8%-1.9K-113.9K-1.0K0.0044.58N/AN/A009002,300
2013-03-04$3.43$2.5022.1%6.3%33.2%4.1%22.0%-4.0%2.0%-1.3K-141.1K-9880.0047.37N/AN/A2009002,300
2013-03-05$3.43$2.5023.1%6.8%32.8%5.0%0.0%-5.3%0.4%-1.2K-138.5K-1.0K0.0043.16N/AN/A05009002,300
2013-03-06$3.48$2.5025.8%6.9%32.3%7.1%37.1%-4.1%-0.0%-623-159.0K-95135.5062.20N/AN/A207109002,300
2013-03-07$3.50$2.5023.2%6.8%30.9%5.1%23.6%0.7%0.9%-10.3K-41.2K-1.6K0.0056.21N/AN/A24009003,010
2013-03-08$3.46$2.5022.7%7.0%31.5%4.6%0.0%-1.5%-0.4%-7.0K-45.4K-1.6K2.5091.87N/AN/A1002501,0403,010
2013-03-11$3.42$2.5017.0%6.9%32.3%0.0%0.0%-2.6%1.9%-6.3K22.2K-1.6K0.0057.95N/AN/A009703,010
2013-03-12$3.42$2.5020.6%7.0%32.2%2.9%0.0%-3.5%1.2%-7.0K25.3K-1.6K0.0035.18N/AN/A009703,010
2013-03-13$3.41$2.5021.0%6.9%32.3%3.3%0.0%-3.0%1.3%-5.9K32.4K-1.6K0.0056.80N/AN/A009703,010
2013-03-14$3.42$2.5023.4%6.7%32.2%5.3%0.0%-2.9%1.7%-5.8K28.2K-1.6K0.0038.36N/AN/A009703,010
2013-03-15$3.42$2.5023.7%6.8%32.2%5.5%23.7%-3.4%1.5%-6.3K27.5K-1.6K0.0038.54N/AN/A15009703,010
2013-03-18$3.40$2.5023.2%6.7%28.2%5.1%0.0%-3.8%2.1%-2.7K-26.3K-1.6K0.0042.65N/AN/A6001,0402,850
2013-03-19$3.38$2.5022.5%6.4%28.3%4.5%0.0%-2.8%4.3%-3.1K-5.3K-1.6K0.0095.54N/AN/A009902,850
2013-03-20$3.46$2.5022.7%6.5%27.3%4.7%22.6%-0.4%4.8%-2.2K-51.6K-1.5K0.0043.17N/AN/A11009902,850
2013-03-21$3.48$2.5022.4%6.4%26.9%4.5%22.5%17.6%4.2%697-82.1K-1.6K0.0858.15N/AN/A120101,0902,850
2013-03-22$3.51$2.5024.1%6.9%20.4%5.8%0.0%1.0%3.7%3.3K-124.0K-1.6K0.0093.75N/AN/A2001,2002,860
2013-03-25$3.51$2.5024.1%6.9%20.3%5.8%48.8%1.6%3.4%4.0K-122.6K-1.6K0.0073.99N/AN/A7001,2202,860
2013-03-26$3.52$3.0022.4%6.4%20.0%4.4%22.4%22.0%5.3%5.5K-10.2K-1.7K0.7994.69N/AN/A1401108902,860
2013-03-27$3.50$3.0022.0%6.3%19.9%4.1%22.0%1.5%5.5%8.1K-28.1K-1.7K1.0096.12N/AN/A1001001,0202,850
2013-03-28$3.50$3.5023.1%6.6%20.0%5.0%23.1%18.7%4.6%7.3K-30.4K-1.7K0.0061.85N/AN/A03501,1202,950