COR Options History — May 2013

In May 2013, COR traded between $3.21 and $3.83. ATM implied volatility averaged 21.9%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 14.5% (HV 20d: 36.4%). Max pain ranged from $3.50 to $3.50. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.53.

Notable Days

  • 2013-05-06: Highest Volume — 620 contracts
  • 2013-05-14: Largest IV spike — 34.7% change
  • 2013-05-15: Highest IV Rank — 14.8%
  • 2013-05-14: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.55$3.21$3.83$3.55$3.21
Max Pain$3.50$3.50$3.50$3.50$3.50
ATM IV21.9%15.5%33.9%23.5%18.8%
Expected Move6.5%4.4%7.2%6.7%5.4%
HV 20d36.4%30.8%40.5%30.8%35.5%
HV 60d28.2%26.4%30.3%26.8%27.9%
IV Rank5.1%0.0%14.8%6.4%2.7%
IV Percentile18.8%0.0%75.8%20.6%4.8%
Term Structure5.6%0.8%14.5%0.9%7.8%
VWIV21.9%17.0%25.0%21.4%17.0%
Skew 25d1.7%-6.4%8.5%3.3%-3.6%
Skew 10d4.0%-3.3%19.6%6.2%-3.3%
Call IV 25d20.4%15.7%24.6%21.7%19.6%
Put IV 25d22.1%15.8%26.3%25.0%16.0%
Bid-Ask Spread %54.5221.66107.5024.0596.84
Gamma HHI0.410.360.520.380.44
Net GEX-4.6K-13.6K6.8K-5.6K-13.6K
Net DEX68.3K-169.0K371.9K29.9K371.9K
Net VEX-1.7K-2.1K-1.3K-1.5K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.530.0025.000.680.67
Total Volume134.54506200260
Total OI3,638.6363,1004,1603,1004,100

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$3.55$3.5023.5%6.7%30.8%6.4%0.0%3.3%0.9%-5.6K29.9K-1.5K0.0024.05N/AN/A001,0802,020
2013-05-02$3.56$3.5023.4%6.7%30.8%6.4%0.0%3.1%0.8%-5.9K33.5K-1.5K0.0021.66N/AN/A0101,0802,020
2013-05-03$3.63$3.5020.3%5.8%31.1%3.8%0.0%5.1%8.0%-4.3K-12.3K-1.5K0.0041.62N/AN/A001,0802,030
2013-05-06$3.83$3.5016.5%6.1%35.7%0.7%21.4%4.6%5.3%900-124.2K-1.3K0.6827.53N/AN/A3702501,0802,030
2013-05-07$3.82$3.5016.7%6.6%35.3%0.9%22.9%-6.4%3.1%4.9K-154.9K-1.6K0.0095.52N/AN/A10001,3902,050
2013-05-08$3.81$3.5017.1%6.6%35.4%1.2%24.5%2.0%3.3%6.8K-169.0K-1.7K0.0052.91N/AN/A0301,4902,050
2013-05-09$3.64$3.5016.8%6.6%39.4%1.0%0.0%0.1%6.9%695-49.1K-1.6K0.0042.28N/AN/A1001,4902,060
2013-05-10$3.63$3.5018.3%6.8%39.4%2.2%0.0%6.5%6.5%-500-28.6K-1.7K0.0066.26N/AN/A0901,5002,060
2013-05-13$3.69$3.5023.0%6.9%39.3%6.0%25.0%0.2%6.0%1.3K-63.6K-1.6K0.1131.87N/AN/A350401,5002,150
2013-05-14$3.68$3.5030.9%7.2%39.3%12.5%0.0%1.7%4.7%-366-65.4K-1.6K0.0026.66N/AN/A10001,3002,150
2013-05-15$3.67$3.5033.9%7.0%39.2%14.8%24.3%8.5%4.9%238-70.5K-1.6K2.5048.65N/AN/A20501,4002,150
2013-05-16$3.55$3.5023.6%6.8%40.5%6.5%0.0%3.1%5.7%-5.5K7.6K-1.6K0.0047.52N/AN/A0201,4202,150
2013-05-17$3.59$3.5023.5%6.7%39.8%6.4%0.0%4.3%6.3%-3.3K-15.8K-1.6K0.0047.05N/AN/A2001,4202,130
2013-05-20$3.59$3.5023.0%6.6%39.4%6.0%0.0%8.4%5.4%-1.7K2.9K-1.5K25.0049.79N/AN/A102501,3502,000
2013-05-21$3.57$3.5023.2%6.6%39.4%6.2%0.0%4.2%5.5%-2.9K59.5K-1.8K0.0094.33N/AN/A05001,3602,250
2013-05-22$3.47$3.5023.5%6.7%35.4%6.4%23.5%-2.2%4.8%-9.5K205.6K-2.1K0.0044.52N/AN/A0101,3602,750
2013-05-23$3.42$3.5024.1%6.9%35.7%6.9%0.0%-1.3%4.9%-10.8K246.7K-2.1K0.0064.58N/AN/A2001,3602,760
2013-05-24$3.37$3.5023.7%6.8%35.3%6.6%20.0%-3.2%4.4%-12.2K291.4K-2.0K0.8349.89N/AN/A60501,3502,760
2013-05-28$3.37$3.5023.7%6.8%34.2%6.6%0.0%-3.0%3.8%-13.2K302.5K-2.0K0.5351.45N/AN/A1901001,3502,810
2013-05-29$3.25$3.5018.2%5.2%35.1%2.1%18.7%1.6%10.3%-13.5K364.9K-1.8K0.67107.50N/AN/A30201,3402,770
2013-05-30$3.28$3.5015.5%4.4%35.2%0.0%0.0%0.7%14.5%-13.5K340.1K-1.8K0.0066.90N/AN/A001,3302,770
2013-05-31$3.21$3.5018.8%5.4%35.5%2.7%17.0%-3.6%7.8%-13.6K371.9K-1.8K0.0096.84N/AN/A02601,3302,770