COR Options History — April 2013

In April 2013, COR traded between $3.47 and $3.77. ATM implied volatility averaged 22.2%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 4.7% (HV 20d: 17.5%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.20.

Notable Days

  • 2013-04-02: Highest Volume — 1,440 contracts
  • 2013-04-11: Largest IV spike — 29.9% change
  • 2013-04-24: Highest IV Rank — 9.7%
  • 2013-04-09: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.56$3.47$3.77$3.50$3.62
Max Pain$3.41$3.00$3.50$3.50$3.50
ATM IV22.2%15.6%27.6%22.6%24.7%
Expected Move6.7%4.5%7.9%6.5%7.1%
HV 20d17.5%12.3%30.0%14.2%30.0%
HV 60d25.5%24.5%27.6%25.2%26.7%
IV Rank5.3%0.0%9.7%4.6%7.4%
IV Percentile15.3%0.0%47.6%7.9%27.8%
Term Structure3.7%-2.1%12.1%5.3%1.9%
VWIV23.0%17.2%29.7%18.6%24.6%
Skew 25d7.7%0.6%25.6%23.2%6.2%
Skew 10d12.7%-1.4%40.4%36.9%19.5%
Call IV 25d20.1%14.3%26.0%23.9%20.4%
Put IV 25d27.8%17.1%47.1%47.1%26.6%
Bid-Ask Spread %57.9820.98106.8177.8130.36
Gamma HHI0.440.330.600.490.38
Net GEX3.8K-11.9K19.6K1.2K-5.1K
Net DEX-43.8K-170.5K72.4K5184.8K
Net VEX-1.5K-1.7K-1.3K-1.6K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.005.672.510.17
Total Volume216.81801,44000
Total OI3,8353,0404,3504,3203,100

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$3.50$3.5022.6%6.5%14.2%4.6%0.0%23.2%5.3%1.2K518-1.6K0.0077.81N/AN/A001,1203,200
2013-04-02$3.51$3.5019.6%5.6%13.1%2.2%0.0%22.7%8.0%3.7K-3.8K-1.7K2.5120.98N/AN/A4101,0301,1203,200
2013-04-03$3.50$3.5015.6%4.5%13.2%0.0%0.0%25.6%12.0%12.4K-23.4K-1.7K0.0061.01N/AN/A001,5302,780
2013-04-04$3.51$3.5018.7%5.3%12.3%2.5%18.6%23.5%8.6%10.2K-51.8K-1.7K0.0030.33N/AN/A6001,5302,780
2013-04-05$3.47$3.5018.6%7.7%12.9%2.4%0.0%0.6%1.0%9.8K10.2K-1.7K0.0081.47N/AN/A0401,5302,780
2013-04-08$3.53$3.5019.7%7.5%13.6%3.4%22.5%2.2%1.5%12.4K-67.4K-1.6K3.0091.58N/AN/A20601,5302,780
2013-04-09$3.48$3.0020.0%7.9%13.3%3.5%0.0%3.1%-0.0%11.2K-21.1K-1.6K0.0047.46N/AN/A001,5302,820
2013-04-10$3.50$3.0020.3%7.7%13.4%3.9%0.0%2.8%1.6%12.0K-55.1K-1.6K0.0065.43N/AN/A0301,5302,820
2013-04-11$3.57$3.0026.4%7.6%14.4%8.8%0.0%4.1%0.9%19.6K-163.4K-1.5K0.3543.92N/AN/A200701,5302,820
2013-04-12$3.57$3.0023.3%6.7%14.4%6.2%23.3%5.0%4.5%18.6K-170.5K-1.5K0.7559.88N/AN/A2001501,5302,800
2013-04-15$3.52$3.5023.3%6.7%15.7%6.3%0.0%2.6%5.2%4.8K-11.5K-1.5K0.0722.96N/AN/A400301,3302,950
2013-04-16$3.55$3.5023.4%6.7%15.6%6.3%0.0%3.2%5.3%-11.9K-6.5K-1.4K0.0045.68N/AN/A03101,0002,920
2013-04-17$3.59$3.5024.5%7.0%15.6%7.3%24.6%5.8%3.6%-910-55.7K-1.4K1.2989.83N/AN/A70901,0002,660
2013-04-18$3.64$3.5022.9%6.6%14.4%6.0%22.9%7.4%6.0%-2.8K-92.7K-1.4K0.5073.42N/AN/A20101,0502,710
2013-04-19$3.72$3.5019.2%5.5%15.9%2.9%0.0%8.7%12.1%-3.6K-130.4K-1.3K0.0074.67N/AN/A35001,0502,720
2013-04-22$3.77$3.5019.9%5.7%16.3%3.5%17.2%1.5%6.1%1.7K-104.5K-1.4K0.00106.81N/AN/A3001,1401,900
2013-04-23$3.77$3.5025.5%7.3%16.3%8.0%29.7%3.7%-2.0%1.8K-108.5K-1.4K1.5468.96N/AN/A1302001,1501,900
2013-04-24$3.56$3.5027.6%7.9%26.9%9.7%0.0%3.4%-2.1%-364-20.3K-1.5K1.0090.85N/AN/A50501,2801,840
2013-04-25$3.54$3.5024.1%6.9%27.0%6.9%24.1%2.8%0.9%-977-6.2K-1.5K5.6745.39N/AN/A603401,2901,790
2013-04-26$3.47$3.5024.6%7.1%28.0%7.3%24.6%1.1%0.5%-5.4K72.4K-1.6K0.1723.45N/AN/A300501,2601,980
2013-04-29$3.54$3.5023.9%6.9%29.2%6.8%0.0%11.0%0.8%-5.8K40.4K-1.5K0.0023.29N/AN/A0101,0802,010
2013-04-30$3.62$3.5024.7%7.1%30.0%7.4%0.0%6.2%1.9%-5.1K4.8K-1.5K0.0030.36N/AN/A001,0802,020