COR Options History — March 2014

In March 2014, COR traded between $3.00 and $3.19. ATM implied volatility averaged 28.3%, placing in the 60.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 5.6% (HV 20d: 22.6%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2014-03-10: Highest Volume — 180 contracts
  • 2014-03-13: Largest IV spike — 24.1% change
  • 2014-03-19: Highest IV Rank — 77.6%
  • 2014-03-19: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.09$3.00$3.19$3.13$3.10
Max Pain$3.00$3.00$3.00$3.00$3.00
ATM IV28.3%22.4%31.8%29.0%29.9%
Expected Move8.4%6.6%9.1%8.3%8.6%
HV 20d22.6%20.6%24.9%24.1%22.7%
HV 60d24.2%23.7%24.7%23.9%24.2%
IV Rank60.9%33.1%77.6%64.6%68.8%
IV Percentile55.5%17.5%88.1%57.5%65.9%
Term Structure1.4%-0.8%8.9%1.8%0.3%
VWIV21.3%21.3%21.3%21.3%21.3%
Skew 25d7.4%-5.1%24.5%4.3%18.4%
Skew 10d16.2%-0.9%50.4%41.5%50.4%
Call IV 25d26.3%23.5%29.2%27.9%24.1%
Put IV 25d33.7%22.6%50.9%32.2%42.6%
Bid-Ask Spread %100.9473.27110.43104.8392.41
Gamma HHI0.560.360.820.550.37
Net GEX-17.9K-48.6K-4.1K-14.7K-4.1K
Net DEX50.2K-30.1K195.6K57.5K-30.1K
Net VEX-971-1.1K-800-1.1K-800
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.001.251.250.00
Total Volume23.3330180040
Total OI3,303.3332,7303,6803,4302,750

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$3.13$3.0029.0%8.3%24.1%64.6%0.0%4.3%1.8%-14.7K57.5K-1.1K0.00104.83N/AN/A001,1202,310
2014-03-04$3.17$3.0027.6%7.9%23.9%57.9%0.0%-1.4%-0.8%-10.4K14.7K-1.1K0.00107.82N/AN/A001,1202,310
2014-03-05$3.19$3.0023.2%6.6%23.6%36.6%0.0%-0.8%8.9%-10.0K-15.8K-1.0K0.00108.03N/AN/A001,1202,310
2014-03-06$3.15$3.0025.3%7.3%21.9%46.7%0.0%-5.1%2.1%-12.8K14.9K-1.0K0.00108.49N/AN/A001,1202,310
2014-03-07$3.08$3.0028.2%8.9%23.7%60.6%0.0%5.8%-0.4%-17.8K76.7K-1.1K0.00100.15N/AN/A001,1202,310
2014-03-10$3.08$3.0026.2%8.8%23.6%51.0%0.0%2.6%-0.1%-23.4K90.0K-9931.2598.29N/AN/A801001,1202,310
2014-03-11$3.13$3.0022.4%8.9%23.5%33.1%0.0%7.2%-0.1%-16.3K31.1K-1.0K0.00100.88N/AN/A001,1202,410
2014-03-12$3.14$3.0024.4%8.6%21.9%42.7%0.0%5.8%1.9%-15.3K17.0K-9670.00102.69N/AN/A8001,1202,410
2014-03-13$3.04$3.0030.3%8.7%24.9%70.7%0.0%3.8%0.9%-22.4K116.7K-1.1K0.0099.82N/AN/A001,2002,410
2014-03-14$3.05$3.0030.3%8.7%24.9%70.6%0.0%3.2%1.2%-31.9K121.2K-1.1K0.00100.53N/AN/A001,2002,410
2014-03-17$3.09$3.0031.0%8.9%21.2%73.9%0.0%2.9%1.3%-24.4K55.9K-9900.00101.64N/AN/A1001,2002,410
2014-03-18$3.09$3.0030.5%8.7%20.6%71.4%0.0%19.2%1.9%-24.3K55.5K-9370.00101.75N/AN/A001,1902,410
2014-03-19$3.01$3.0031.8%9.1%21.0%77.6%0.0%-0.7%-0.5%-48.6K166.2K-9690.00102.04N/AN/A001,1902,410
2014-03-20$3.00$3.0029.6%8.5%21.0%67.1%0.0%14.2%1.6%-43.6K195.6K-9040.0073.27N/AN/A8001,1902,410
2014-03-21$3.07$3.0030.3%8.7%22.5%70.5%0.0%21.4%1.8%-32.0K52.4K-9400.00100.91N/AN/A8001,2702,410
2014-03-24$3.06$3.0029.8%8.5%22.1%68.3%0.0%24.5%1.7%-4.4K18.6K-8860.00101.62N/AN/A001,1601,570
2014-03-25$3.04$3.0029.5%8.5%22.0%66.9%0.0%3.4%1.3%-4.7K16.3K-8870.00100.36N/AN/A001,1601,570
2014-03-26$3.05$3.0028.8%8.3%22.2%63.6%0.0%3.6%1.9%-4.9K11.3K-8530.00110.43N/AN/A001,1601,570
2014-03-27$3.06$3.0028.2%8.1%22.1%60.7%0.0%22.1%0.4%-4.9K1.1K-8460.00101.60N/AN/A2001,1601,570
2014-03-28$3.06$3.0027.3%7.8%22.1%56.4%0.0%1.6%2.9%-4.8K-11.5K-8390.00102.30N/AN/A001,1801,570
2014-03-31$3.10$3.0029.9%8.6%22.7%68.8%21.3%18.4%0.3%-4.1K-30.1K-8000.0092.41N/AN/A4001,1801,570