COR Options History — February 2014

In February 2014, COR traded between $2.99 and $3.18. ATM implied volatility averaged 30.6%, placing in the 71.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 3.9% (HV 20d: 26.7%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 17.01.

Notable Days

2014-02-13: Highest Volume — 1,200 contracts
2014-02-18: Largest IV drop — 9.8% change
2014-02-10: Highest IV Rank — 93.6%
2014-02-03: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.08	$2.99	$3.18	$3.02	$3.11
Max Pain	$3.00	$3.00	$3.00	$3.00	$3.00
ATM IV	30.6%	26.8%	35.1%	34.2%	28.5%
Expected Move	8.7%	7.7%	9.8%	9.8%	8.2%
HV 20d	26.7%	22.2%	28.4%	27.2%	24.1%
HV 60d	29.5%	24.8%	31.1%	29.3%	24.8%
IV Rank	71.8%	54.1%	93.6%	88.9%	62.0%
IV Percentile	72.6%	46.0%	98.4%	97.2%	52.8%
Term Structure	1.2%	-1.5%	3.7%	-1.5%	1.1%
VWIV	24.1%	19.1%	29.1%	19.1%	29.1%
Skew 25d	7.2%	2.0%	36.9%	4.4%	5.3%
Skew 10d	16.5%	2.5%	57.6%	7.6%	11.3%
Call IV 25d	25.3%	20.1%	32.6%	32.6%	23.6%
Put IV 25d	32.6%	26.9%	68.8%	37.0%	29.0%
Bid-Ask Spread %	100.30	95.23	106.20	100.70	106.08
Gamma HHI	0.47	0.38	0.55	0.44	0.54
Net GEX	-6.0K	-14.1K	1.3K	576	-13.5K
Net DEX	20.5K	-27.6K	77.2K	-13.8K	54.5K
Net VEX	-1.1K	-1.4K	-870	-893	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	17.01	0.00	119.00	0.00	0.06
Total Volume	92.632	0	1,200	0	0
Total OI	2,795.263	1,970	3,500	1,970	3,430

Daily Data (19 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
2014-02-03	$3.02	$3.00	34.2%	9.8%	27.2%	88.9%	0.0%	4.4%	-1.5%	576	-13.8K	-893	0.00	100.70	N/A	N/A	0	0	930	1,040
2014-02-04	$3.06	$3.00	31.6%	9.1%	27.7%	76.9%	0.0%	5.0%	0.6%	1.1K	-27.6K	-870	0.00	98.09	N/A	N/A	0	10	930	1,040
2014-02-05	$2.99	$3.00	33.3%	9.6%	28.4%	85.0%	0.0%	2.6%	-0.3%	94	-1.5K	-875	0.00	98.04	N/A	N/A	50	0	930	1,040
2014-02-06	$3.00	$3.00	33.6%	9.6%	28.1%	86.1%	0.0%	36.9%	-1.2%	178	-2.2K	-897	0.00	97.17	N/A	N/A	0	100	980	1,040
2014-02-07	$3.02	$3.00	32.8%	9.3%	28.0%	82.5%	0.0%	4.6%	0.2%	-4	-2.1K	-921	0.00	95.75	N/A	N/A	50	0	980	1,140
2014-02-10	$3.08	$3.00	35.1%	9.4%	26.7%	93.6%	0.0%	6.2%	0.6%	729	-15.4K	-923	0.00	95.23	N/A	N/A	50	0	1,030	1,140
2014-02-11	$3.01	$3.00	33.5%	9.2%	26.8%	86.0%	19.1%	5.1%	2.6%	1.1K	-11.8K	-916	0.00	95.35	N/A	N/A	10	0	1,080	1,140
2014-02-12	$3.01	$3.00	31.4%	9.4%	23.1%	76.0%	0.0%	2.0%	0.3%	960	-6.7K	-916	0.00	97.20	N/A	N/A	0	0	1,070	1,140
2014-02-13	$3.02	$3.00	29.1%	8.3%	22.2%	64.9%	29.1%	4.5%	2.3%	1.3K	-15.4K	-887	119.00	95.84	N/A	N/A	10	1,190	1,070	1,140
2014-02-14	$3.14	$3.00	30.7%	8.8%	26.8%	72.5%	0.0%	9.9%	1.4%	-10.0K	55.8K	-1.4K	0.00	96.44	N/A	N/A	0	0	1,080	2,320
2014-02-18	$3.18	$3.00	27.7%	7.9%	27.3%	58.1%	0.0%	5.2%	2.3%	-9.3K	9.6K	-1.2K	0.00	106.14	N/A	N/A	60	0	1,080	2,320
2014-02-19	$3.10	$3.00	26.8%	7.7%	28.1%	54.1%	0.0%	3.5%	3.7%	-12.0K	54.2K	-1.2K	0.00	102.52	N/A	N/A	0	0	1,080	2,320
2014-02-20	$3.09	$3.00	28.1%	8.1%	28.1%	60.3%	0.0%	8.7%	2.4%	-12.7K	77.2K	-1.3K	0.06	100.21	N/A	N/A	170	10	1,080	2,320
2014-02-21	$3.11	$3.00	30.2%	8.7%	28.0%	70.0%	0.0%	16.6%	1.3%	-12.7K	75.4K	-1.3K	0.00	100.00	N/A	N/A	0	0	1,170	2,330
2014-02-24	$3.14	$3.00	29.2%	8.4%	28.4%	65.5%	0.0%	4.7%	1.9%	-11.5K	42.1K	-1.3K	0.00	103.64	N/A	N/A	0	10	1,120	2,310
2014-02-25	$3.16	$3.00	29.3%	8.4%	27.6%	65.8%	0.0%	4.3%	1.4%	-11.3K	29.2K	-1.2K	0.00	106.20	N/A	N/A	0	0	1,120	2,310
2014-02-26	$3.15	$3.00	27.9%	8.0%	26.6%	59.0%	0.0%	2.6%	0.6%	-12.6K	30.1K	-1.2K	0.00	105.37	N/A	N/A	0	0	1,120	2,310
2014-02-27	$3.13	$3.00	27.5%	7.9%	24.1%	57.4%	0.0%	5.2%	2.4%	-14.1K	58.7K	-1.2K	0.00	105.78	N/A	N/A	0	40	1,120	2,310
2014-02-28	$3.11	$3.00	28.5%	8.2%	24.1%	62.0%	0.0%	5.3%	1.1%	-13.5K	54.5K	-1.2K	0.00	106.08	N/A	N/A	0	0	1,120	2,310