COR Options History — November 2013 In November 2013, COR traded between $3.08 and $3.26. ATM implied volatility averaged 27.7%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 2.9% (HV 20d: 24.7%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.05.
Notable Days 2013-11-08 : Highest Volume — 110 contracts2013-11-13 : Largest IV spike — 27.0% change2013-11-26 : Highest IV Rank — 25.7%2013-11-26 : Largest Expected Move — 9.4%Monthly Statistics Metric Avg Min Max Open Close Price $3.14 $3.08 $3.26 $3.26 $3.24 Max Pain $3.30 $3.00 $3.50 $3.50 $3.00 ATM IV 27.7% 18.9% 32.7% 18.9% 31.5% Expected Move 8.8% 5.4% 9.4% 5.4% 9.0% HV 20d 24.7% 22.3% 27.3% 25.0% 24.1% HV 60d 26.1% 24.1% 28.8% 28.8% 24.1% IV Rank 18.2% 5.2% 25.7% 5.2% 24.0% IV Percentile 63.9% 7.1% 97.6% 7.1% 93.7% Term Structure 1.8% -0.4% 12.1% 12.1% 3.5% VWIV 28.6% 19.2% 32.4% 31.8% 19.2% Skew 25d 5.0% -1.9% 18.6% 2.2% 1.9% Skew 10d 8.0% -2.4% 35.4% 4.9% 5.0% Call IV 25d 26.0% 19.8% 33.2% 20.3% 28.9% Put IV 25d 31.0% 22.4% 41.7% 22.4% 30.8% Bid-Ask Spread % 76.29 22.59 106.68 106.68 23.05 Gamma HHI 0.40 0.37 0.43 0.38 0.42 Net GEX -573 -1.2K 565 565 216 Net DEX 87.8K 61.0K 101.4K 61.0K 68.4K Net VEX -417 -453 -342 -434 -434 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.05 0.00 0.10 0.10 0.00 Total Volume 13 0 110 0 0 Total OI 1,251 1,110 1,340 1,110 1,290
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 2013-11-01 $3.26 $3.50 18.9% 5.4% 25.0% 5.2% 0.0% 2.2% 12.1% 565 61.0K -434 0.00 106.68 N/A N/A 0 0 560 550 2013-11-04 $3.19 $3.00 21.3% 9.1% 26.3% 8.6% 0.0% -1.4% 1.8% 48 72.1K -390 0.00 89.39 N/A N/A 0 0 560 550 2013-11-05 $3.17 $3.00 21.6% 8.7% 26.2% 9.1% 0.0% -1.9% 1.8% -54 76.4K -381 0.00 93.87 N/A N/A 0 0 560 550 2013-11-06 $3.08 $3.00 24.3% 8.8% 27.0% 13.2% 31.8% 5.3% 1.5% -390 87.1K -342 0.00 97.57 N/A N/A 0 60 560 550 2013-11-07 $3.12 $3.50 22.5% 8.9% 25.1% 10.5% 31.0% -0.5% 0.4% -612 93.8K -396 0.00 94.96 N/A N/A 0 10 560 610 2013-11-08 $3.11 $3.50 22.2% 9.0% 24.0% 10.0% 0.0% 7.5% 0.7% -784 96.8K -380 0.10 98.28 N/A N/A 100 10 560 620 2013-11-11 $3.12 $3.50 25.7% 9.1% 23.7% 15.2% 0.0% -0.8% 0.7% -436 91.5K -442 0.00 29.92 N/A N/A 0 0 660 630 2013-11-12 $3.08 $3.50 23.2% 9.3% 23.5% 11.6% 32.4% 17.2% -0.1% -632 97.5K -417 0.00 97.01 N/A N/A 0 50 660 630 2013-11-13 $3.11 $3.50 29.5% 9.0% 24.1% 21.0% 0.0% -0.7% 0.8% -1.1K 97.7K -453 0.00 26.62 N/A N/A 0 0 660 680 2013-11-14 $3.08 $3.50 30.8% 8.8% 22.8% 22.9% 0.0% 5.7% 0.9% -1.1K 98.4K -447 0.00 97.66 N/A N/A 0 0 660 680 2013-11-15 $3.09 $3.50 31.3% 9.0% 22.8% 23.6% 0.0% 6.3% 0.7% -1.1K 100.3K -432 0.00 98.25 N/A N/A 0 0 660 680 2013-11-18 $3.09 $3.50 32.1% 9.2% 22.3% 24.8% 0.0% 8.3% -0.4% -1.1K 101.4K -426 0.00 97.83 N/A N/A 0 0 620 680 2013-11-19 $3.08 $3.50 31.4% 9.0% 22.3% 23.9% 0.0% 7.6% 0.8% -1.2K 100.9K -421 0.00 98.00 N/A N/A 0 0 620 680 2013-11-20 $3.09 $3.50 31.1% 8.9% 22.5% 23.3% 0.0% 18.6% 0.7% -1.2K 100.9K -415 0.00 98.61 N/A N/A 0 0 620 680 2013-11-21 $3.20 $3.50 30.9% 8.9% 26.6% 23.1% 19.2% 11.6% 4.9% -606 82.5K -453 0.00 101.13 N/A N/A 0 20 620 680 2013-11-22 $3.17 $3.00 30.3% 8.7% 25.7% 22.1% 0.0% 0.8% 2.0% -542 81.8K -430 0.00 95.04 N/A N/A 0 0 620 660 2013-11-25 $3.11 $3.00 30.2% 8.7% 26.1% 22.0% 0.0% 7.9% 2.0% -1.1K 91.9K -405 0.00 35.01 N/A N/A 10 0 620 660 2013-11-26 $3.16 $3.00 32.7% 9.4% 27.2% 25.7% 0.0% 2.2% -0.4% -570 84.7K -415 0.00 24.30 N/A N/A 0 0 630 660 2013-11-27 $3.23 $3.00 31.9% 9.1% 27.3% 24.5% 0.0% 2.4% 2.0% 89 70.9K -433 0.00 22.59 N/A N/A 0 0 630 660 2013-11-29 $3.24 $3.00 31.5% 9.0% 24.1% 24.0% 0.0% 1.9% 3.5% 216 68.4K -434 0.00 23.05 N/A N/A 0 0 630 660
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