COR Options History — June 2014

In June 2014, COR traded between $3.18 and $33.27. ATM implied volatility averaged 22.5%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 452.5% (HV 20d: 475.0%). Max pain ranged from $2.50 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.86.

Notable Days

  • 2014-06-12: Highest Volume — 630 contracts
  • 2014-06-12: Largest IV spike — 50.3% change
  • 2014-06-12: Highest IV Rank — 64.5%
  • 2014-06-12: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.20$3.18$33.27$3.18$33.07
Max Pain$19.56$2.50$30.00$2.50$30.00
ATM IV22.5%16.5%29.7%27.7%16.5%
Expected Move6.6%4.7%8.5%7.9%4.7%
HV 20d475.0%18.5%816.6%18.9%816.3%
HV 60d278.5%20.2%471.9%21.0%471.9%
IV Rank26.2%0.0%64.5%52.1%0.0%
IV Percentile13.9%0.0%59.9%29.0%0.0%
Term Structure6.1%0.3%13.8%7.5%13.7%
VWIV19.0%14.6%23.4%23.4%14.6%
Skew 25d3.7%-8.3%21.0%10.9%3.9%
Skew 10d8.4%-8.2%39.5%39.5%6.2%
Call IV 25d22.1%15.7%28.2%21.4%16.6%
Put IV 25d25.9%19.9%36.7%32.3%20.4%
Bid-Ask Spread %95.5454.73108.81101.68101.91
Gamma HHI0.570.460.960.640.54
Net GEX4.4K1.4K7.2K2.9K6.6K
Net DEX-106.5K-150.3K-59.9K-92.7K-93.0K
Net VEX-1.2K-1.6K-481-507-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.860.0027.000.000.00
Total Volume70.19063000
Total OI1,025.4292952,3201,600350

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$3.18$0.0027.7%7.9%18.9%52.1%0.0%10.9%7.5%2.9K-92.7K-5070.00101.68N/AN/A00820780
2014-06-03$3.18$0.0022.2%6.4%18.5%22.3%0.0%3.8%10.2%2.8K-92.1K-4970.00108.81N/AN/A400820780
2014-06-04$3.26$0.0018.3%5.3%19.3%0.6%0.0%15.2%7.3%4.1K-117.4K-4810.00104.98N/AN/A500850780
2014-06-05$3.33$0.0019.4%5.6%20.5%6.8%0.0%6.3%5.9%5.9K-138.8K-50427.00108.08N/AN/A20540890780
2014-06-06$3.33$2.5017.4%6.0%20.5%0.0%0.0%6.2%3.4%1.8K-89.4K-9300.0090.94N/AN/A008801,320
2014-06-09$3.29$2.5023.7%7.1%20.5%33.1%0.0%-8.3%0.3%1.5K-74.7K-9240.00104.02N/AN/A008801,320
2014-06-10$3.31$2.5023.0%8.0%20.5%29.2%0.0%2.8%2.3%2.0K-75.6K-8640.00103.11N/AN/A008801,320
2014-06-11$3.31$2.5019.8%6.3%20.4%12.3%0.0%-5.7%2.5%2.2K-79.1K-8570.0054.73N/AN/A12008801,320
2014-06-12$3.23$2.5029.7%8.5%22.3%64.5%0.0%9.0%2.8%1.4K-59.9K-9940.00101.25N/AN/A63001,0001,320
2014-06-13$32.31$25.0028.5%8.2%816.2%58.1%0.0%7.9%4.3%5.7K-129.5K-1.4K0.00105.80N/AN/A00163132
2014-06-16$32.39$25.0028.0%8.0%816.6%55.4%0.0%2.5%3.8%6.3K-132.3K-1.3K0.0058.97N/AN/A00163132
2014-06-17$32.84$25.0023.2%6.6%816.2%30.2%0.0%4.4%1.9%7.2K-146.9K-1.3K0.0056.84N/AN/A034163132
2014-06-18$32.98$25.0021.1%6.0%816.1%19.0%0.0%3.0%10.2%5.3K-113.2K-1.6K0.00108.75N/AN/A00163166
2014-06-19$33.27$25.0021.6%6.2%815.7%22.1%0.0%-3.8%3.2%6.1K-150.3K-1.6K0.00105.37N/AN/A00163166
2014-06-20$33.21$25.0021.1%6.1%815.7%19.4%0.0%4.6%9.9%5.8K-124.2K-1.6K0.00107.34N/AN/A00163166
2014-06-23$33.04$25.0023.8%6.8%815.8%33.4%0.0%-5.2%2.5%6.2K-138.0K-1.6K0.00105.88N/AN/A00163166
2014-06-24$33.04$25.0022.8%6.5%816.3%28.4%23.4%-3.2%2.9%6.8K-131.1K-1.6K0.00102.68N/AN/A027163166
2014-06-25$32.93$30.0028.3%8.1%816.0%57.0%14.6%21.0%13.8%2.3K-101.6K-1.6K0.0059.62N/AN/A40161191
2014-06-26$32.72$30.0018.6%5.3%816.4%6.0%0.0%1.7%9.2%3.5K-69.1K-1.6K0.00107.97N/AN/A00150191
2014-06-27$33.03$30.0017.5%5.0%816.3%0.7%0.0%1.5%10.0%5.3K-88.2K-1.6K0.00107.64N/AN/A90150191
2014-06-30$33.07$30.0016.5%4.7%816.3%0.0%0.0%3.9%13.7%6.6K-93.0K-1.5K0.00101.91N/AN/A00159191