COR Options History — October 2013

In October 2013, COR traded between $3.21 and $3.47. ATM implied volatility averaged 27.6%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 4.0% (HV 20d: 23.6%). Max pain ranged from $3.50 to $3.50. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.90.

Notable Days

  • 2013-10-18: Highest Volume — 310 contracts
  • 2013-10-10: Largest IV spike — 41.2% change
  • 2013-10-29: Highest IV Rank — 24.7%
  • 2013-10-09: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.36$3.21$3.47$3.40$3.24
Max Pain$3.50$3.50$3.50$3.50$3.50
ATM IV27.6%19.1%32.0%28.8%27.2%
Expected Move8.4%5.5%9.4%8.2%7.8%
HV 20d23.6%21.0%27.6%25.7%25.2%
HV 60d29.1%27.4%30.1%29.4%28.8%
IV Rank18.1%5.5%24.7%19.9%17.5%
IV Percentile62.4%7.1%92.9%67.5%52.8%
Term Structure1.3%-1.0%12.9%1.6%-0.9%
VWIV30.8%29.6%32.0%29.6%32.0%
Skew 25d5.2%-4.2%42.0%-3.3%-1.5%
Skew 10d10.7%-4.3%54.0%-2.6%0.6%
Call IV 25d27.4%19.7%32.2%27.6%23.0%
Put IV 25d32.6%20.0%70.6%24.3%21.5%
Bid-Ask Spread %42.1916.69107.9122.73107.91
Gamma HHI0.450.320.720.430.40
Net GEX-6.0K-15.6K1.6K-15.6K954
Net DEX194.4K25.9K336.8K205.0K57.1K
Net VEX-472-717-381-717-419
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.004.173.000.00
Total Volume29.56503104050
Total OI2,486.0879003,4703,3901,060

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$3.40$3.5028.8%8.2%25.7%19.9%0.0%-3.3%1.6%-15.6K205.0K-7173.0022.73N/AN/A10308202,570
2013-10-02$3.34$3.5027.7%7.9%23.4%18.3%0.0%-4.2%3.2%-14.8K256.0K-7100.0051.32N/AN/A008202,600
2013-10-03$3.28$3.5019.1%5.5%24.3%5.5%0.0%0.2%12.9%-9.9K314.4K-4820.0065.66N/AN/A008202,600
2013-10-04$3.31$3.5019.2%8.5%23.9%5.6%0.0%4.0%1.1%-10.9K293.5K-5530.0091.91N/AN/A008202,600
2013-10-07$3.30$3.5022.1%8.7%23.3%10.0%0.0%4.4%0.6%-10.4K303.1K-5070.0036.14N/AN/A008202,600
2013-10-08$3.28$3.5019.7%9.0%23.2%6.3%0.0%2.4%-1.0%-10.0K312.7K-4540.0088.63N/AN/A008202,600
2013-10-09$3.21$3.5021.3%9.4%24.3%8.7%0.0%1.3%1.2%-7.8K336.8K-3810.0032.31N/AN/A008202,600
2013-10-10$3.31$3.5030.1%8.6%26.5%21.8%0.0%2.8%-0.3%-8.2K309.0K-4260.0023.18N/AN/A5008202,600
2013-10-11$3.36$3.5030.3%8.7%26.9%22.2%0.0%6.3%-0.1%-10.4K287.7K-4770.0018.58N/AN/A5008702,600
2013-10-14$3.31$3.5030.5%8.7%27.6%22.4%0.0%3.3%1.1%-6.1K313.3K-4270.0022.44N/AN/A008502,600
2013-10-15$3.34$3.5029.9%8.6%27.0%21.5%0.0%5.3%-0.3%-8.8K301.7K-4160.0023.87N/AN/A008502,600
2013-10-16$3.34$3.5031.2%9.0%22.8%23.6%0.0%2.9%-0.9%-6.2K314.6K-4010.0022.10N/AN/A008502,600
2013-10-17$3.40$3.5029.3%8.4%22.1%20.7%0.0%6.4%1.2%-15.0K281.8K-4420.0020.40N/AN/A008502,600
2013-10-18$3.41$3.5030.2%8.7%22.1%22.0%0.0%-3.2%-0.3%-13.6K301.3K-4024.1730.65N/AN/A602508502,600
2013-10-21$3.44$3.5030.0%8.6%22.4%21.6%0.0%-0.9%1.7%1848.8K-3910.0031.62N/AN/A100400500
2013-10-22$3.44$3.5029.4%8.4%22.0%20.8%0.0%-0.9%1.4%13347.7K-3910.0031.89N/AN/A1300410500
2013-10-23$3.41$3.5030.6%8.8%22.1%22.6%0.0%-2.2%1.1%1.0K32.6K-5040.0030.52N/AN/A00540500
2013-10-24$3.41$3.5029.1%8.3%21.8%20.4%0.0%-2.6%2.6%1.1K31.9K-5000.0034.48N/AN/A00540500
2013-10-25$3.47$3.5029.6%8.5%22.6%21.1%29.6%27.8%1.6%1.4K29.4K-4580.0033.17N/AN/A200540500
2013-10-28$3.47$3.5030.2%8.7%21.0%22.0%0.0%30.1%1.0%1.4K25.9K-4690.0031.05N/AN/A00540500
2013-10-29$3.46$3.5032.0%9.2%21.1%24.7%32.0%-0.6%-0.2%1.2K26.2K-4970.0016.69N/AN/A200540500
2013-10-30$3.37$3.5027.5%7.9%22.5%18.0%0.0%42.0%2.4%1.6K40.8K-4300.00103.20N/AN/A00560500
2013-10-31$3.24$3.5027.2%7.8%25.2%17.5%0.0%-1.5%-0.9%95457.1K-4190.00107.91N/AN/A050560500