COR Options History — August 2013

In August 2013, COR traded between $3.02 and $3.56. ATM implied volatility averaged 27.3%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 4.1% (HV 20d: 31.5%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.13.

Notable Days

  • 2013-08-27: Highest Volume — 450 contracts
  • 2013-08-20: Largest IV drop — 23.8% change
  • 2013-08-29: Highest IV Rank — 13.3%
  • 2013-08-29: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.31$3.02$3.56$3.38$3.04
Max Pain$3.35$3.00$3.50$3.50$3.00
ATM IV27.3%21.8%31.9%26.8%30.2%
Expected Move8.3%6.4%9.1%7.7%8.7%
HV 20d31.5%25.4%37.7%25.4%31.6%
HV 60d30.9%29.5%32.2%30.2%31.4%
IV Rank9.6%5.1%13.3%9.2%11.9%
IV Percentile56.0%15.5%85.3%52.0%77.4%
Term Structure1.1%-1.2%5.0%3.4%0.5%
VWIV29.2%26.8%31.7%26.8%31.7%
Skew 25d4.3%-6.3%19.4%-2.7%4.8%
Skew 10d9.4%-4.5%32.7%-3.0%6.6%
Call IV 25d24.4%18.6%30.9%26.7%25.0%
Put IV 25d28.7%20.2%44.9%24.0%29.7%
Bid-Ask Spread %51.7614.8595.5030.2966.63
Gamma HHI0.600.470.820.820.75
Net GEX-10.6K-22.1K2.7K-8.8K-22.1K
Net DEX272.3K63.3K498.9K238.0K497.2K
Net VEX-1.5K-1.7K-1.2K-1.7K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.000.450.000.45
Total Volume42.273045000
Total OI3,655.9093,2003,9603,8203,780

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$3.38$3.5026.8%7.7%25.4%9.2%0.0%-2.7%3.4%-8.8K238.0K-1.7K0.0030.29N/AN/A001,0002,820
2013-08-02$3.49$3.5028.2%8.1%27.0%10.3%0.0%19.4%1.9%-6.5K140.2K-1.7K0.0020.55N/AN/A001,0002,820
2013-08-05$3.43$0.0028.2%8.7%27.6%10.3%0.0%-2.0%0.1%-6.7K180.9K-1.7K0.0095.50N/AN/A1001,0002,820
2013-08-06$3.45$0.0028.6%8.6%27.5%10.6%0.0%7.6%-0.7%-6.3K178.1K-1.7K0.0041.59N/AN/A009902,820
2013-08-07$3.41$0.0023.0%8.7%27.9%6.1%0.0%6.7%0.2%-6.2K197.9K-1.6K0.0037.79N/AN/A009902,820
2013-08-08$3.44$0.0026.8%8.8%27.0%9.2%0.0%1.1%-0.3%-5.3K173.3K-1.6K0.0050.38N/AN/A009902,820
2013-08-09$3.56$0.0027.3%8.7%28.8%9.6%0.0%5.1%-0.2%-4.2K64.9K-1.6K0.0094.81N/AN/A009902,820
2013-08-12$3.55$0.0021.8%8.5%28.9%5.1%0.0%-2.4%0.9%63063.3K-1.5K0.0041.40N/AN/A009902,820
2013-08-13$3.48$0.0023.5%8.5%29.9%6.5%0.0%2.1%0.5%1.1K133.2K-1.5K0.0095.13N/AN/A2009902,820
2013-08-14$3.49$0.0024.3%8.7%29.6%7.1%0.0%2.3%-0.7%2.7K131.5K-1.5K0.0048.98N/AN/A15009902,820
2013-08-15$3.35$0.0029.1%8.3%32.9%11.0%0.0%-6.3%1.3%-9.8K282.8K-1.5K0.0032.76N/AN/A0101,1402,820
2013-08-16$3.21$0.0029.4%8.4%35.7%11.3%0.0%-1.2%4.5%-15.0K365.4K-1.4K0.1826.29N/AN/A110201,1402,810
2013-08-19$3.16$0.0029.3%8.4%36.0%11.2%0.0%0.7%0.7%-14.9K346.5K-1.3K0.0085.23N/AN/A007602,440
2013-08-20$3.26$0.0022.3%6.4%37.7%5.6%26.8%4.2%3.8%-14.5K309.6K-1.4K0.4578.98N/AN/A110507602,440
2013-08-21$3.26$3.5023.8%6.8%36.9%6.7%0.0%0.1%-0.2%-14.4K295.6K-1.4K0.0025.41N/AN/A008402,490
2013-08-22$3.24$3.5026.6%7.6%34.6%9.0%0.0%10.3%5.0%-15.4K322.9K-1.4K0.0048.28N/AN/A008402,490
2013-08-23$3.22$3.5029.2%8.4%33.2%11.1%0.0%8.9%2.9%-14.7K329.9K-1.4K0.0057.16N/AN/A008402,490
2013-08-26$3.17$3.5027.8%8.0%33.3%10.0%0.0%6.7%1.9%-15.4K361.9K-1.3K0.0092.77N/AN/A008402,490
2013-08-27$3.10$3.5031.7%9.1%32.9%13.1%31.7%7.0%-1.2%-14.9K398.2K-1.2K0.0037.47N/AN/A04508402,490
2013-08-28$3.02$3.0031.2%9.0%33.3%12.8%0.0%4.5%-0.0%-21.0K498.9K-1.3K0.0014.85N/AN/A008402,940
2013-08-29$3.08$3.0031.9%9.1%34.3%13.3%0.0%17.5%-0.4%-21.5K481.1K-1.3K0.0016.38N/AN/A008402,940
2013-08-30$3.04$3.0030.2%8.7%31.6%11.9%0.0%4.8%0.5%-22.1K497.2K-1.2K0.0066.63N/AN/A008402,940