COR Options History — September 2013 In September 2013, COR traded between $3.00 and $3.52. ATM implied volatility averaged 27.8%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 3.1% (HV 20d: 30.9%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2013-09-04 : Highest Volume — 80 contracts2013-09-12 : Largest IV spike — 33.8% change2013-09-30 : Highest IV Rank — 21.7%2013-09-06 : Largest Expected Move — 9.3%Monthly Statistics Metric Avg Min Max Open Close Price $3.33 $3.00 $3.52 $3.00 $3.39 Max Pain $3.42 $3.00 $3.50 $3.00 $3.50 ATM IV 27.8% 21.8% 31.4% 30.0% 30.0% Expected Move 8.4% 7.3% 9.3% 8.6% 8.6% HV 20d 30.9% 25.4% 36.7% 31.5% 26.7% HV 60d 30.8% 29.1% 32.2% 31.0% 29.4% IV Rank 15.1% 5.1% 21.7% 11.7% 21.7% IV Percentile 60.8% 15.1% 84.5% 75.8% 80.2% Term Structure 2.6% -1.1% 13.0% 1.4% 1.4% VWIV 30.3% 29.0% 32.8% 29.0% 32.8% Skew 25d 3.4% -2.6% 18.5% 3.0% -2.6% Skew 10d 7.6% -2.0% 35.7% 4.6% -2.0% Call IV 25d 26.2% 20.1% 31.1% 27.4% 28.5% Put IV 25d 29.5% 24.2% 43.9% 30.3% 25.8% Bid-Ask Spread % 42.48 16.81 94.37 18.62 47.53 Gamma HHI 0.54 0.41 0.79 0.79 0.44 Net GEX -16.8K -23.8K -10.8K -22.7K -14.4K Net DEX 261.1K 111.1K 530.0K 530.0K 196.0K Net VEX -1.0K -1.3K -755 -1.1K -796 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 14.5 0 80 0 0 Total OI 3,739.5 3,350 3,930 3,780 3,390
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2013-09-03 $3.00 $3.00 30.0% 8.6% 31.5% 11.7% 0.0% 3.0% 1.4% -22.7K 530.0K -1.1K 0.00 18.62 N/A N/A 0 0 840 2,940 2013-09-04 $3.13 $3.00 26.2% 7.5% 35.7% 8.7% 0.0% 12.1% 10.7% -23.8K 447.0K -1.2K 0.00 16.81 N/A N/A 0 80 840 2,940 2013-09-05 $3.17 $3.00 27.4% 7.9% 36.3% 9.7% 0.0% 10.6% 8.8% -22.8K 397.6K -1.3K 0.00 20.52 N/A N/A 0 0 840 3,020 2013-09-06 $3.23 $3.50 22.6% 9.3% 36.7% 5.7% 0.0% 3.5% -0.2% -19.6K 347.3K -1.3K 0.00 66.23 N/A N/A 0 0 840 3,020 2013-09-09 $3.28 $3.50 21.8% 8.5% 34.8% 5.1% 29.0% 1.6% 1.5% -17.7K 302.9K -1.2K 0.00 32.19 N/A N/A 70 0 840 3,020 2013-09-10 $3.25 $3.50 22.6% 8.6% 34.8% 5.8% 0.0% 0.3% 2.9% -17.7K 313.1K -1.2K 0.00 27.23 N/A N/A 0 0 910 3,020 2013-09-11 $3.26 $3.50 23.4% 9.0% 34.4% 6.4% 0.0% -1.0% -1.1% -17.1K 303.1K -1.2K 0.00 34.52 N/A N/A 0 0 910 3,020 2013-09-12 $3.24 $3.50 31.4% 9.0% 34.4% 12.8% 0.0% 1.3% 0.3% -17.9K 318.6K -1.2K 0.00 26.24 N/A N/A 0 0 910 3,020 2013-09-13 $3.22 $3.50 31.4% 9.0% 31.4% 12.9% 0.0% 2.4% 0.5% -19.1K 338.3K -1.1K 0.00 36.25 N/A N/A 0 0 910 3,020 2013-09-16 $3.23 $3.50 25.6% 7.3% 27.6% 15.1% 0.0% 8.5% 13.0% -19.4K 324.7K -1.1K 0.00 94.37 N/A N/A 0 0 910 3,020 2013-09-17 $3.29 $3.50 29.5% 8.5% 27.7% 21.0% 0.0% 0.8% 0.5% -17.9K 299.7K -1.0K 0.00 51.14 N/A N/A 0 0 910 3,020 2013-09-18 $3.42 $3.50 29.0% 8.3% 29.1% 20.2% 29.0% 3.0% 1.9% -14.1K 183.7K -974 0.00 85.83 N/A N/A 70 0 910 3,020 2013-09-19 $3.50 $3.50 29.3% 8.4% 30.0% 20.7% 0.0% 0.4% 2.3% -13.6K 125.3K -920 0.00 46.83 N/A N/A 0 0 870 3,020 2013-09-20 $3.48 $3.50 30.0% 8.6% 29.9% 21.7% 0.0% 0.1% 0.0% -12.7K 140.3K -1.0K 0.00 44.41 N/A N/A 20 0 870 3,020 2013-09-23 $3.48 $3.50 29.3% 8.4% 29.7% 20.7% 0.0% 1.3% 1.5% -13.5K 138.0K -890 0.00 79.45 N/A N/A 0 0 840 2,570 2013-09-24 $3.52 $3.50 29.0% 8.3% 28.8% 20.2% 0.0% 1.0% 0.9% -13.8K 115.0K -840 0.00 21.13 N/A N/A 0 0 840 2,570 2013-09-25 $3.52 $3.50 29.6% 8.5% 27.1% 21.2% 32.8% 1.9% 1.7% -13.2K 111.1K -900 0.00 17.08 N/A N/A 10 0 840 2,570 2013-09-26 $3.48 $3.50 29.2% 8.4% 25.6% 20.5% 0.0% 0.7% 1.7% -13.7K 145.3K -860 0.00 17.01 N/A N/A 40 0 780 2,570 2013-09-27 $3.47 $3.50 28.7% 8.2% 25.4% 19.7% 0.0% 18.5% 2.1% -10.8K 143.9K -755 0.00 66.18 N/A N/A 0 0 820 2,570 2013-09-30 $3.39 $3.50 30.0% 8.6% 26.7% 21.7% 0.0% -2.6% 1.4% -14.4K 196.0K -796 0.00 47.53 N/A N/A 0 0 820 2,570
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