COR Options History — July 2013

In July 2013, COR traded between $3.15 and $3.55. ATM implied volatility averaged 26.7%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 3.4% (HV 20d: 30.1%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2013-07-24: Highest Volume — 490 contracts
  • 2013-07-11: Largest IV spike — 40.4% change
  • 2013-07-24: Highest IV Rank — 14.0%
  • 2013-07-24: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.31$3.15$3.55$3.31$3.40
Max Pain$3.25$3.00$3.50$3.50$3.50
ATM IV26.7%19.8%32.7%24.2%26.6%
Expected Move8.2%6.9%9.4%6.9%7.6%
HV 20d30.1%25.5%35.7%33.8%25.5%
HV 60d32.7%30.2%33.7%33.2%30.2%
IV Rank9.1%3.5%14.0%7.1%9.0%
IV Percentile51.0%8.7%82.1%34.5%50.8%
Term Structure1.7%-3.8%11.5%11.1%3.3%
VWIV28.4%23.0%31.6%23.0%28.2%
Skew 25d0.5%-9.8%13.3%3.4%-0.4%
Skew 10d2.5%-5.4%13.7%-5.0%-0.7%
Call IV 25d26.5%17.9%31.2%17.9%26.7%
Put IV 25d27.0%17.8%32.3%21.3%26.3%
Bid-Ask Spread %56.5717.49101.0631.4253.60
Gamma HHI0.570.460.850.540.84
Net GEX-14.9K-23.9K-4.1K-18.9K-8.6K
Net DEX297.4K64.7K431.7K336.8K218.5K
Net VEX-1.7K-1.9K-1.6K-1.9K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.001.670.001.67
Total Volume57.273049000
Total OI4,304.0912,8904,8604,8003,820

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$3.31$3.5024.2%6.9%33.8%7.1%0.0%3.4%11.1%-18.9K336.8K-1.9K0.0031.42N/AN/A001,2203,580
2013-07-02$3.21$3.5024.8%7.1%35.7%7.5%0.0%13.3%11.5%-21.8K418.1K-1.9K0.0054.20N/AN/A001,2203,580
2013-07-03$3.20$3.5024.9%7.1%35.7%7.6%0.0%-4.2%-3.8%-22.3K405.2K-1.8K0.0049.63N/AN/A001,2203,580
2013-07-05$3.17$0.0019.8%8.4%34.1%3.5%0.0%1.2%1.4%-21.2K406.6K-1.7K0.0071.47N/AN/A001,2203,580
2013-07-08$3.15$0.0020.8%8.8%32.6%4.3%0.0%-0.1%1.3%-23.9K431.7K-1.7K0.0070.87N/AN/A001,2203,580
2013-07-09$3.18$0.0020.9%8.8%32.5%4.4%0.0%11.6%1.1%-19.6K402.6K-1.7K0.0068.29N/AN/A001,2203,580
2013-07-10$3.17$0.0020.2%8.4%32.5%3.8%0.0%-0.3%3.0%-19.3K398.6K-1.7K0.0027.58N/AN/A001,2203,580
2013-07-11$3.25$0.0028.3%8.1%31.4%10.4%0.0%1.1%3.6%-16.3K363.5K-1.7K0.0075.35N/AN/A001,2203,580
2013-07-12$3.30$0.0028.8%8.3%30.9%10.8%0.0%3.5%-0.5%-16.2K340.3K-1.7K0.0034.35N/AN/A6001,2203,580
2013-07-15$3.32$0.0029.3%8.4%30.9%11.2%0.0%2.4%-0.2%-15.2K305.8K-1.7K0.0064.33N/AN/A001,2803,580
2013-07-16$3.34$0.0030.5%8.7%30.5%12.2%0.0%-5.7%-1.1%-14.3K288.5K-1.7K0.0044.43N/AN/A0101,2803,580
2013-07-17$3.31$0.0029.6%8.5%30.7%11.4%0.0%2.0%-0.5%-14.7K303.2K-1.7K0.0029.63N/AN/A001,2803,580
2013-07-18$3.37$0.0028.4%8.1%30.3%10.5%23.0%4.5%0.4%-15.9K287.3K-1.6K0.0055.14N/AN/A2001,2803,580
2013-07-19$3.31$3.0031.6%9.1%25.5%13.0%31.6%-9.8%-1.7%-13.1K303.1K-1.6K0.0093.15N/AN/A0101,2803,580
2013-07-22$3.29$3.0029.1%8.3%25.8%11.0%29.5%1.5%0.9%-13.6K289.2K-1.6K0.0080.68N/AN/A2004902,400
2013-07-23$3.28$3.0024.4%7.0%25.9%7.3%0.0%-8.4%1.4%-13.3K302.8K-1.6K0.00101.06N/AN/A005102,400
2013-07-24$3.35$3.0032.7%9.4%26.5%14.0%29.8%-5.2%-2.8%-13.3K269.5K-1.6K1.0464.94N/AN/A2402505102,400
2013-07-25$3.46$3.0028.1%8.0%28.3%10.2%28.1%0.2%1.9%-9.4K180.8K-1.6K0.0091.36N/AN/A33007502,650
2013-07-26$3.54$3.0028.3%8.1%28.7%10.4%28.3%4.9%2.5%-4.1K74.7K-1.8K0.0044.15N/AN/A01201,0102,650
2013-07-29$3.55$3.5028.5%8.2%28.1%10.6%28.6%-3.5%1.9%-6.1K64.7K-1.8K1.6721.49N/AN/A30501,0102,770
2013-07-30$3.46$3.5028.2%8.1%27.1%10.3%28.2%-0.4%1.9%-7.4K150.8K-1.8K0.0017.49N/AN/A01201,0002,820
2013-07-31$3.40$3.5026.6%7.6%25.5%9.0%0.0%-0.4%3.3%-8.6K218.5K-1.8K0.0053.60N/AN/A001,0002,820