COR Options History — February 2015

In February 2015, COR traded between $42.75 and $48.85. ATM implied volatility averaged 26.4%, placing in the 57.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 4.1% (HV 20d: 30.5%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.98.

Notable Days

2015-02-18: Highest Volume — 122 contracts
2015-02-26: Largest IV drop — 38.6% change
2015-02-25: Highest IV Rank — 96.0%
2015-02-25: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.48	$42.75	$48.85	$43.45	$47.57
Max Pain	$44.21	$40.00	$45.00	$40.00	$45.00
ATM IV	26.4%	20.3%	33.0%	26.1%	26.4%
Expected Move	7.5%	5.8%	9.5%	7.5%	7.6%
HV 20d	30.5%	23.0%	34.4%	23.0%	33.6%
HV 60d	22.7%	17.9%	25.1%	17.9%	25.1%
IV Rank	57.5%	25.3%	96.0%	53.4%	59.2%
IV Percentile	56.1%	13.9%	99.6%	49.6%	56.3%
Term Structure	0.6%	-9.0%	16.5%	-0.3%	15.2%
VWIV	26.7%	21.7%	31.1%	26.0%	31.1%
Skew 25d	5.7%	-6.2%	54.0%	-2.8%	11.1%
Skew 10d	8.5%	-29.4%	77.5%	-5.2%	-26.3%
Call IV 25d	24.7%	17.8%	35.5%	26.3%	17.8%
Put IV 25d	30.4%	19.3%	80.2%	23.5%	28.9%
Bid-Ask Spread %	105.68	90.22	123.67	102.76	122.63
Gamma HHI	0.69	0.46	0.88	0.83	0.47
Net GEX	12.9K	9.2K	17.5K	11.0K	11.1K
Net DEX	-421.4K	-613.5K	-193.6K	-243.1K	-399.3K
Net VEX	-842	-947	-753	-835	-855
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.00	1.60	1.32	0.97
Total Volume	74	0	122	5	65
Total OI	182.158	152	219	152	167

Daily Data (19 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
2015-02-02	$43.45	$40.00	26.1%	7.5%	23.0%	53.4%	0.0%	-2.8%	-0.3%	11.0K	-243.1K	-835	0.00	102.76	N/A	N/A	0	5	116	36
2015-02-03	$44.50	$40.00	26.0%	7.5%	23.9%	53.1%	26.0%	54.0%	-0.7%	13.1K	-283.5K	-866	1.32	100.84	N/A	N/A	31	41	116	43
2015-02-04	$44.23	$40.00	27.1%	7.8%	24.2%	58.3%	26.9%	-0.3%	-2.2%	12.7K	-287.0K	-891	1.31	102.07	N/A	N/A	32	42	119	43
2015-02-05	$45.28	$45.00	25.8%	7.3%	24.1%	51.8%	25.4%	9.0%	-0.1%	14.0K	-339.7K	-818	1.50	97.15	N/A	N/A	32	48	120	44
2015-02-06	$44.24	$45.00	26.4%	7.2%	25.5%	55.0%	25.3%	-0.5%	0.2%	11.5K	-278.1K	-904	1.60	99.34	N/A	N/A	30	48	120	50
2015-02-09	$42.75	$45.00	25.2%	7.3%	27.8%	49.0%	25.4%	2.6%	0.6%	9.2K	-193.6K	-869	1.50	100.24	N/A	N/A	32	48	121	50
2015-02-10	$44.93	$45.00	29.4%	7.4%	32.7%	70.5%	25.9%	9.1%	-0.3%	12.9K	-314.1K	-880	1.26	97.30	N/A	N/A	38	48	123	50
2015-02-11	$45.06	$45.00	25.5%	7.3%	32.7%	54.4%	25.5%	1.4%	-0.8%	17.5K	-344.2K	-947	1.55	93.48	N/A	N/A	31	48	137	50
2015-02-12	$47.13	$45.00	25.8%	7.4%	34.0%	55.9%	25.8%	10.1%	0.7%	16.2K	-488.0K	-782	0.85	99.05	N/A	N/A	55	47	140	50
2015-02-13	$48.01	$45.00	29.4%	8.4%	34.4%	76.2%	30.4%	5.4%	-9.0%	11.3K	-519.8K	-767	0.66	106.50	N/A	N/A	73	48	140	50
2015-02-17	$48.09	$45.00	28.7%	8.2%	34.3%	72.0%	29.5%	6.0%	-3.5%	14.5K	-594.0K	-839	0.66	90.22	N/A	N/A	73	48	163	51
2015-02-18	$48.59	$45.00	27.2%	7.8%	33.7%	63.7%	30.3%	8.1%	-2.9%	14.3K	-598.5K	-812	0.67	116.92	N/A	N/A	73	49	163	56
2015-02-19	$48.79	$45.00	24.3%	7.0%	33.1%	47.7%	0.0%	-0.5%	0.4%	12.7K	-610.9K	-830	0.00	101.78	N/A	N/A	0	0	161	55
2015-02-20	$48.85	$45.00	23.9%	6.8%	31.9%	45.4%	21.7%	1.9%	-1.8%	13.8K	-613.5K	-762	0.00	110.89	N/A	N/A	9	0	161	55
2015-02-23	$48.78	$45.00	23.9%	6.9%	32.0%	45.5%	23.4%	-3.8%	-1.4%	12.9K	-504.4K	-753	0.73	105.72	N/A	N/A	44	32	138	39
2015-02-24	$48.24	$45.00	26.6%	7.6%	32.3%	60.6%	29.2%	-1.1%	-5.8%	11.8K	-511.0K	-796	0.73	121.01	N/A	N/A	44	32	139	39
2015-02-25	$47.74	$45.00	33.0%	9.5%	32.5%	96.0%	29.5%	-6.2%	16.5%	11.2K	-459.8K	-882	0.73	123.67	N/A	N/A	44	32	139	39
2015-02-26	$46.88	$45.00	20.3%	5.8%	33.3%	25.3%	22.3%	3.7%	5.9%	13.7K	-423.1K	-902	0.62	116.42	N/A	N/A	52	32	139	39
2015-02-27	$47.57	$45.00	26.4%	7.6%	33.6%	59.2%	31.1%	11.1%	15.2%	11.1K	-399.3K	-855	0.97	122.63	N/A	N/A	33	32	128	39