COR Options History — January 2015

In January 2015, COR traded between $40.31 and $44.40. ATM implied volatility averaged 25.6%, placing in the 49.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 3.3% (HV 20d: 22.3%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.16.

Notable Days

2015-01-15: Highest Volume — 94 contracts
2015-01-12: Largest IV spike — 35.0% change
2015-01-13: Highest IV Rank — 74.8%
2015-01-21: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.69	$40.31	$44.40	$40.45	$43.78
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	25.6%	20.2%	31.3%	23.1%	27.2%
Expected Move	7.4%	6.8%	8.4%	7.5%	7.8%
HV 20d	22.3%	18.2%	25.7%	18.2%	25.1%
HV 60d	17.4%	16.3%	18.5%	17.4%	17.9%
IV Rank	49.4%	21.5%	74.8%	35.7%	58.8%
IV Percentile	48.7%	13.1%	90.9%	29.0%	60.7%
Term Structure	-0.2%	-2.0%	3.0%	3.0%	-2.0%
VWIV	25.3%	23.6%	27.5%	27.5%	23.7%
Skew 25d	4.0%	-3.5%	43.6%	43.6%	-2.9%
Skew 10d	6.5%	-3.4%	81.9%	81.9%	-3.4%
Call IV 25d	23.4%	16.4%	26.7%	25.8%	26.7%
Put IV 25d	27.5%	19.5%	69.4%	69.4%	23.7%
Bid-Ask Spread %	98.21	92.69	103.29	92.69	101.54
Gamma HHI	0.71	0.36	0.92	0.52	0.84
Net GEX	6.5K	-1.2K	12.6K	-1.2K	11.1K
Net DEX	-220.0K	-324.6K	-45.4K	-56.7K	-265.7K
Net VEX	-649	-895	-326	-333	-863
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.00	7.67	0.73	1.24
Total Volume	50.45	0	94	45	65
Total OI	136.5	91	187	94	154

Daily Data (20 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
2015-01-02	$40.45	$40.00	23.1%	7.5%	18.2%	35.7%	27.5%	43.6%	3.0%	-1.2K	-56.7K	-333	0.73	92.69	N/A	N/A	26	19	47	47
2015-01-05	$40.31	$40.00	22.6%	7.4%	18.3%	33.3%	25.8%	3.6%	0.1%	-987	-47.5K	-326	7.67	98.12	N/A	N/A	3	23	44	47
2015-01-06	$40.51	$40.00	24.9%	7.4%	18.3%	44.4%	25.0%	4.2%	0.1%	-502	-45.4K	-384	0.17	98.85	N/A	N/A	23	4	44	54
2015-01-07	$41.49	$40.00	24.0%	7.6%	19.7%	39.9%	0.0%	9.1%	-0.0%	1.2K	-162.1K	-429	0.00	98.46	N/A	N/A	40	0	65	50
2015-01-08	$42.22	$40.00	29.2%	7.4%	20.2%	64.7%	26.2%	3.2%	1.9%	3.3K	-204.2K	-510	0.40	92.73	N/A	N/A	55	22	79	52
2015-01-09	$41.50	$40.00	20.2%	6.9%	21.3%	21.5%	24.0%	-0.4%	3.0%	2.5K	-209.9K	-494	0.52	95.55	N/A	N/A	56	29	83	52
2015-01-12	$41.78	$40.00	27.2%	7.4%	21.1%	55.4%	26.1%	1.8%	-0.2%	2.3K	-208.9K	-529	0.52	99.52	N/A	N/A	56	29	83	59
2015-01-13	$41.89	$40.00	31.3%	7.7%	20.0%	74.8%	26.7%	3.8%	-0.8%	2.6K	-219.7K	-510	0.52	96.85	N/A	N/A	56	29	83	59
2015-01-14	$43.41	$40.00	23.6%	6.8%	21.7%	38.1%	25.6%	5.6%	-0.7%	3.8K	-257.1K	-471	0.53	98.11	N/A	N/A	57	30	83	59
2015-01-15	$43.43	$40.00	24.1%	6.9%	21.5%	43.0%	23.8%	2.1%	-0.6%	5.8K	-290.3K	-650	0.47	100.13	N/A	N/A	64	30	100	60
2015-01-16	$43.44	$40.00	23.8%	6.8%	21.6%	41.8%	0.0%	-3.5%	-1.2%	12.0K	-324.6K	-841	0.00	103.29	N/A	N/A	7	0	129	58
2015-01-20	$42.90	$40.00	25.4%	7.3%	22.7%	49.8%	0.0%	2.9%	-0.0%	11.0K	-246.7K	-847	0.63	100.72	N/A	N/A	8	5	113	23
2015-01-21	$42.42	$40.00	29.4%	8.4%	23.4%	70.3%	0.0%	3.1%	-0.7%	8.8K	-206.4K	-831	0.00	95.89	N/A	N/A	0	0	107	28
2015-01-22	$43.77	$40.00	25.1%	7.2%	25.1%	48.3%	25.1%	2.9%	-0.7%	10.3K	-247.4K	-821	0.48	95.32	N/A	N/A	44	21	107	30
2015-01-23	$43.83	$40.00	24.7%	7.1%	25.2%	46.1%	24.9%	7.1%	-1.2%	11.1K	-260.0K	-820	0.45	95.08	N/A	N/A	47	21	109	30
2015-01-26	$44.40	$40.00	25.4%	7.3%	25.2%	49.8%	0.0%	-0.7%	-0.0%	12.6K	-303.0K	-748	0.00	99.38	N/A	N/A	0	0	114	28
2015-01-27	$44.08	$40.00	27.0%	7.7%	25.7%	58.0%	27.0%	-1.0%	-1.0%	11.7K	-295.9K	-815	4.00	99.91	N/A	N/A	2	8	114	28
2015-01-28	$43.90	$40.00	27.1%	7.8%	25.7%	58.7%	23.6%	-2.5%	-1.7%	10.9K	-271.7K	-895	1.24	101.85	N/A	N/A	29	36	116	38
2015-01-29	$44.20	$40.00	26.7%	7.6%	25.4%	56.4%	24.5%	-1.4%	-1.3%	11.5K	-277.4K	-854	1.24	100.28	N/A	N/A	29	36	116	38
2015-01-30	$43.78	$40.00	27.2%	7.8%	25.1%	58.8%	23.7%	-2.9%	-2.0%	11.1K	-265.7K	-863	1.24	101.54	N/A	N/A	29	36	116	38