COR Options History — June 2013

In June 2013, COR traded between $2.98 and $3.25. ATM implied volatility averaged 25.8%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 3.4% (HV 20d: 29.2%). Max pain ranged from $3.50 to $3.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2013-06-18: Highest Volume — 600 contracts
  • 2013-06-12: Largest IV spike — 26.9% change
  • 2013-06-27: Highest IV Rank — 13.0%
  • 2013-06-27: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.11$2.98$3.25$3.17$3.18
Max Pain$3.50$3.50$3.50$3.50$3.50
ATM IV25.8%18.2%31.5%18.2%28.1%
Expected Move7.9%5.2%9.0%5.2%8.1%
HV 20d29.2%25.9%34.4%34.4%30.8%
HV 60d30.0%27.8%32.2%28.0%32.2%
IV Rank8.4%2.2%13.0%2.2%10.2%
IV Percentile44.7%3.2%77.4%3.2%59.1%
Term Structure3.5%0.2%11.7%8.8%1.7%
VWIV29.6%29.1%30.1%29.1%30.1%
Skew 25d6.1%-5.2%23.3%-3.5%6.6%
Skew 10d9.1%-8.8%42.0%-4.3%11.7%
Call IV 25d22.8%17.8%30.9%20.6%21.0%
Put IV 25d28.9%17.1%48.5%17.1%27.6%
Bid-Ask Spread %45.7815.9497.6568.5540.64
Gamma HHI0.530.430.640.460.56
Net GEX-14.4K-19.2K-7.4K-12.6K-18.1K
Net DEX393.1K290.1K529.3K342.6K352.8K
Net VEX-1.5K-1.6K-1.3K-1.5K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.005.000.000.00
Total Volume9306000600
Total OI4,115.53,8504,4103,8704,200

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$3.17$3.5018.2%5.2%34.4%2.2%0.0%-3.5%8.8%-12.6K342.6K-1.5K0.0068.55N/AN/A001,3302,540
2013-06-04$3.17$3.5018.5%5.3%26.3%2.5%0.0%-1.4%10.4%-12.8K358.9K-1.5K0.0069.84N/AN/A2001,3302,540
2013-06-05$3.15$3.5022.6%6.5%26.2%5.7%0.0%4.4%11.0%-13.0K375.4K-1.5K0.0032.66N/AN/A001,3102,540
2013-06-06$3.25$3.5018.5%5.3%29.6%2.5%0.0%2.8%11.7%-13.2K325.2K-1.5K0.0068.43N/AN/A001,3102,540
2013-06-07$3.15$3.5023.2%8.6%27.0%6.2%0.0%-0.8%1.4%-13.4K366.2K-1.5K0.0022.73N/AN/A001,3102,540
2013-06-10$3.11$3.5018.2%8.4%27.1%2.2%0.0%6.2%3.1%-13.7K383.4K-1.4K0.0095.72N/AN/A001,3102,540
2013-06-11$3.12$3.5018.5%8.5%25.9%2.5%0.0%7.6%1.7%-13.9K392.4K-1.3K0.0048.99N/AN/A001,3102,540
2013-06-12$3.03$3.5023.5%8.5%26.7%6.5%0.0%-5.2%2.3%-13.9K421.1K-1.3K0.0025.59N/AN/A30001,3102,540
2013-06-13$3.10$3.5029.0%8.3%29.1%11.0%29.1%6.0%1.7%-7.4K316.0K-1.3K5.0030.61N/AN/A402001,6102,540
2013-06-14$3.10$3.5029.1%8.4%27.9%11.1%0.0%6.8%1.9%-8.7K324.1K-1.5K0.0032.56N/AN/A1001,6302,740
2013-06-17$3.15$3.5029.1%8.3%28.6%11.0%0.0%15.7%2.6%-12.6K309.1K-1.5K0.0034.41N/AN/A001,6402,740
2013-06-18$3.18$3.5030.6%8.8%29.0%12.3%0.0%10.4%1.0%-13.8K290.1K-1.5K1.0031.70N/AN/A3003001,6402,740
2013-06-19$3.12$3.5030.4%8.7%29.3%12.1%0.0%7.4%1.0%-17.7K439.1K-1.6K0.0097.65N/AN/A001,3703,040
2013-06-20$2.98$3.5028.9%8.3%31.3%10.9%0.0%-0.5%3.1%-14.9K529.3K-1.4K0.0096.85N/AN/A001,3703,030
2013-06-21$3.01$3.5029.4%8.4%31.7%11.3%0.0%23.3%1.2%-13.5K523.5K-1.4K0.0016.63N/AN/A1001,3703,030
2013-06-24$3.01$3.5030.0%8.6%31.6%11.8%30.1%3.3%1.5%-18.5K486.3K-1.4K0.7548.94N/AN/A40301,2102,960
2013-06-25$3.04$3.5029.4%8.4%32.1%11.3%0.0%2.9%1.8%-19.2K475.0K-1.5K0.0017.59N/AN/A1001,2302,980
2013-06-26$3.06$3.5029.7%8.5%30.0%11.5%0.0%22.1%1.5%-19.1K445.4K-1.5K0.0015.94N/AN/A001,2202,980
2013-06-27$3.11$3.5031.5%9.0%30.3%13.0%0.0%8.4%0.2%-18.4K405.4K-1.6K0.0019.48N/AN/A001,2202,980
2013-06-28$3.18$3.5028.1%8.1%30.8%10.2%0.0%6.6%1.7%-18.1K352.8K-1.6K0.0040.64N/AN/A06001,2202,980