COR Options History — April 2014

In April 2014, COR traded between $3.02 and $3.23. ATM implied volatility averaged 29.2%, placing in the 65.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 6.6% (HV 20d: 22.6%). Max pain ranged from $2.25 to $3.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2014-04-21: Highest Volume — 500 contracts
  • 2014-04-04: Largest IV drop — 30.6% change
  • 2014-04-15: Highest IV Rank — 80.4%
  • 2014-04-15: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.10$3.02$3.23$3.10$3.04
Max Pain$2.48$2.25$3.00$3.00$2.25
ATM IV29.2%21.6%32.4%28.8%29.6%
Expected Move8.6%7.4%9.3%8.3%8.5%
HV 20d22.6%21.5%25.0%21.9%22.9%
HV 60d23.7%22.7%24.5%24.2%22.7%
IV Rank65.4%29.3%80.4%63.7%67.1%
IV Percentile59.7%12.3%91.7%50.8%58.7%
Term Structure1.3%-1.5%11.7%1.7%-0.7%
VWIV36.6%27.8%57.7%57.7%29.2%
Skew 25d7.7%0.0%32.1%1.6%32.1%
Skew 10d17.5%4.6%63.6%10.3%63.6%
Call IV 25d27.0%21.9%31.8%29.1%31.8%
Put IV 25d34.7%29.3%63.9%30.7%63.9%
Bid-Ask Spread %102.2099.77107.75107.75102.24
Gamma HHI0.440.360.600.370.42
Net GEX-3.0K-12.7K874-4.0K12
Net DEX-89.8K-133.9K-13.1K-36.9K-121.0K
Net VEX-650-778-560-778-633
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.005.000.000.30
Total Volume47.619050000
Total OI2,370.4761,3102,8702,7301,830

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$3.10$3.0028.8%8.3%21.9%63.7%0.0%1.6%1.7%-4.0K-36.9K-7780.00107.75N/AN/A001,1601,570
2014-04-02$3.10$3.0028.5%8.2%21.8%61.9%0.0%0.0%1.7%-4.0K-44.0K-7540.00107.47N/AN/A001,1601,570
2014-04-03$3.17$3.0031.2%8.9%23.1%74.7%0.0%9.1%7.1%-1.2K-72.1K-7550.00103.39N/AN/A3001,1601,570
2014-04-04$3.15$0.0021.6%8.9%21.5%29.3%0.0%8.5%0.5%-3.3K-92.7K-6860.00101.60N/AN/A001,1901,570
2014-04-07$3.16$0.0024.3%9.3%21.5%41.9%0.0%9.4%1.2%-3.0K-96.6K-6560.00101.01N/AN/A5001,1901,570
2014-04-08$3.23$0.0027.0%7.4%21.8%55.0%0.0%1.9%11.7%685-133.9K-6230.00101.99N/AN/A001,2201,570
2014-04-09$3.21$0.0028.4%9.0%21.9%61.4%0.0%2.0%1.6%-13-131.4K-6120.00102.94N/AN/A3001,2201,570
2014-04-10$3.11$0.0030.2%8.7%22.2%70.2%0.0%5.9%3.2%-5.9K-86.5K-6830.00100.28N/AN/A001,2501,570
2014-04-11$3.03$0.0029.5%8.5%24.1%67.0%0.0%4.3%1.4%-8.1K-13.1K-7290.00100.01N/AN/A0401,2501,570
2014-04-14$3.04$0.0031.1%8.9%23.6%74.4%0.0%3.8%0.4%-12.7K-31.6K-7165.0099.77N/AN/A10501,2501,610
2014-04-15$3.11$0.0032.4%9.3%25.0%80.4%0.0%22.4%-0.6%-6.0K-93.2K-6330.00100.04N/AN/A001,2501,620
2014-04-16$3.10$0.0030.5%8.7%22.9%71.6%0.0%5.7%0.9%-7.0K-90.5K-6310.00101.05N/AN/A0101,2501,620
2014-04-17$3.07$0.0031.1%8.9%23.2%74.5%0.0%5.5%1.5%-10.5K-63.5K-6500.00101.65N/AN/A11001,2501,620
2014-04-21$3.09$0.0030.4%8.7%22.0%71.1%57.7%5.1%0.1%260-36.2K-5740.00104.47N/AN/A5000540770
2014-04-22$3.07$2.2530.9%8.9%22.1%73.5%0.0%4.6%-0.6%874-132.1K-6230.00102.47N/AN/A00940770
2014-04-23$3.04$2.2532.2%9.2%22.3%79.7%31.6%3.4%-1.5%461-123.1K-6150.00100.61N/AN/A010940770
2014-04-24$3.02$2.2528.2%8.1%22.3%60.5%27.8%2.9%-0.1%185-116.8K-5890.50100.58N/AN/A2010940780
2014-04-25$3.06$2.2530.1%8.6%23.0%69.4%0.0%5.4%-1.0%413-123.6K-5830.00101.55N/AN/A00920780
2014-04-28$3.08$2.2528.4%8.1%23.1%61.6%0.0%24.1%-0.5%531-127.3K-5710.00103.65N/AN/A00920780
2014-04-29$3.04$2.2529.2%8.4%22.9%65.3%29.2%3.8%-0.6%233-120.0K-5600.30101.74N/AN/A10030920780
2014-04-30$3.04$2.2529.6%8.5%22.9%67.1%0.0%32.1%-0.7%12-121.0K-6330.00102.24N/AN/A001,020810