COR Options History — May 2014 In May 2014, COR traded between $3.00 and $3.17. ATM implied volatility averaged 28.9%, placing in the 64.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 10.7% (HV 20d: 18.3%). Max pain ranged from $2.25 to $2.25. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-05-27 : Highest Volume — 120 contracts2014-05-22 : Largest IV spike — 22.8% change2014-05-22 : Highest IV Rank — 86.8%2014-05-22 : Largest Expected Move — 9.7%Monthly Statistics Metric Avg Min Max Open Close Price $3.09 $3.00 $3.17 $3.05 $3.17 Max Pain $2.25 $2.25 $2.25 $2.25 $2.25 ATM IV 28.9% 26.4% 33.7% 28.2% 26.8% Expected Move 8.4% 7.7% 9.7% 8.1% 7.7% HV 20d 18.3% 14.2% 22.9% 22.9% 19.0% HV 60d 21.0% 19.5% 22.5% 22.5% 21.1% IV Rank 64.1% 52.0% 86.8% 60.4% 53.8% IV Percentile 47.4% 23.0% 96.4% 37.7% 23.0% Term Structure 0.7% -4.5% 2.8% 1.0% -1.7% Skew 25d 9.6% -4.9% 33.4% 33.4% -4.9% Skew 10d 21.0% 4.4% 68.6% 68.6% 7.7% Call IV 25d 24.3% 19.3% 32.5% 28.9% 25.9% Put IV 25d 34.0% 21.1% 62.4% 62.4% 21.1% Bid-Ask Spread % 92.26 43.33 125.92 103.33 107.61 Gamma HHI 0.46 0.35 0.62 0.40 0.62 Net GEX 736 -613 2.8K -126 2.8K Net DEX -105.7K -144.0K -61.9K -121.7K -93.6K Net VEX -531 -627 -390 -627 -532 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 15.714 0 120 0 0 Total OI 1,693.333 1,490 1,840 1,830 1,600
Daily Data (21 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 2014-05-01 $3.05 $2.25 28.2% 8.1% 22.9% 60.4% 0.0% 33.4% 1.0% -126 -121.7K -627 0.00 103.33 N/A N/A 0 0 1,020 810 2014-05-02 $3.06 $2.25 29.0% 8.3% 21.4% 64.2% 0.0% 24.8% -0.4% 398 -132.2K -617 0.00 105.07 N/A N/A 0 0 1,020 810 2014-05-05 $3.04 $0.00 27.2% 8.2% 21.6% 55.7% 0.0% 3.7% 1.5% -153 -121.7K -609 0.00 98.94 N/A N/A 0 0 1,020 810 2014-05-06 $3.00 $0.00 28.0% 8.2% 21.7% 59.5% 0.0% 3.3% 1.3% -437 -115.0K -587 0.00 98.78 N/A N/A 0 0 1,020 810 2014-05-07 $3.02 $0.00 28.5% 8.3% 20.5% 62.0% 0.0% 3.8% 1.2% -447 -115.0K -598 0.00 98.47 N/A N/A 0 0 1,020 810 2014-05-08 $3.02 $0.00 27.9% 8.0% 20.4% 59.2% 0.0% 3.7% 1.4% -431 -119.2K -583 0.00 98.90 N/A N/A 0 0 1,020 810 2014-05-09 $3.08 $0.00 26.4% 8.3% 18.8% 52.0% 0.0% 17.1% 1.3% -41 -131.6K -571 0.00 99.27 N/A N/A 0 100 1,020 810 2014-05-12 $3.09 $0.00 28.6% 8.5% 16.3% 62.5% 0.0% 9.4% 1.2% 515 -140.2K -591 0.00 52.52 N/A N/A 0 10 1,020 810 2014-05-13 $3.09 $0.00 27.7% 8.6% 16.3% 58.0% 0.0% 8.9% 1.3% 591 -139.3K -569 0.00 52.07 N/A N/A 0 0 1,020 820 2014-05-14 $3.08 $0.00 29.9% 8.6% 14.3% 68.6% 0.0% 5.9% 0.8% 73 -133.4K -564 0.00 99.50 N/A N/A 100 0 1,020 820 2014-05-15 $3.06 $0.00 29.5% 8.5% 14.2% 66.9% 0.0% 5.3% 1.0% -613 -125.5K -494 0.00 101.61 N/A N/A 0 0 930 820 2014-05-16 $3.15 $0.00 29.3% 8.4% 17.1% 66.0% 0.0% 15.2% 1.7% 812 -144.0K -470 0.00 98.08 N/A N/A 0 0 930 820 2014-05-19 $3.13 $0.00 28.4% 8.1% 17.2% 61.3% 0.0% 5.4% 2.3% 1.5K -74.7K -478 0.00 103.95 N/A N/A 0 0 710 780 2014-05-20 $3.12 $0.00 28.9% 8.3% 17.0% 63.9% 0.0% 14.2% 1.7% 1.1K -68.5K -468 0.00 100.99 N/A N/A 0 0 710 780 2014-05-21 $3.09 $0.00 27.5% 7.9% 16.9% 57.0% 0.0% 15.3% 2.8% 863 -61.9K -462 0.00 99.82 N/A N/A 0 0 710 780 2014-05-22 $3.08 $0.00 33.7% 9.7% 16.6% 86.8% 0.0% 18.0% -4.5% 1.1K -62.8K -451 0.00 67.54 N/A N/A 0 0 710 780 2014-05-23 $3.09 $0.00 28.6% 8.2% 15.7% 62.7% 0.0% 3.7% 2.6% 927 -62.7K -454 0.00 76.03 N/A N/A 0 0 710 780 2014-05-27 $3.17 $0.00 32.5% 9.3% 18.2% 81.0% 0.0% 13.4% -1.0% 2.3K -84.0K -390 0.00 43.33 N/A N/A 120 0 710 780 2014-05-28 $3.12 $0.00 28.3% 8.1% 18.5% 61.0% 0.0% 2.9% 1.0% 2.1K -81.7K -519 0.00 105.77 N/A N/A 0 0 820 780 2014-05-29 $3.16 $0.00 32.9% 9.4% 18.9% 82.8% 0.0% -0.5% -2.6% 2.6K -90.0K -519 0.00 125.92 N/A N/A 0 0 820 780 2014-05-30 $3.17 $0.00 26.8% 7.7% 19.0% 53.8% 0.0% -4.9% -1.7% 2.8K -93.6K -532 0.00 107.61 N/A N/A 0 0 820 780
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