COR Options History — March 2015

In March 2015, COR traded between $46.11 and $50.71. ATM implied volatility averaged 36.2%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 9.3% (HV 20d: 26.9%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.74.

Notable Days

2015-03-06: Highest Volume — 73 contracts
2015-03-30: Largest IV spike — 162.2% change
2015-03-03: Highest IV Rank — 100.0%
2015-03-18: Largest Expected Move — 18.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.25	$46.11	$50.71	$48.32	$48.67
Max Pain	$36.82	$35.00	$45.00	$45.00	$35.00
ATM IV	36.2%	18.1%	63.2%	31.2%	25.9%
Expected Move	10.2%	5.2%	18.1%	9.0%	7.4%
HV 20d	26.9%	21.3%	35.0%	33.4%	23.5%
HV 60d	26.7%	25.2%	27.9%	25.2%	26.8%
IV Rank	59.9%	7.6%	100.0%	86.2%	21.3%
IV Percentile	82.8%	5.6%	100.0%	96.4%	51.6%
Term Structure	-10.2%	-37.5%	7.8%	7.8%	6.6%
VWIV	39.6%	30.1%	63.8%	34.0%	33.9%
Skew 25d	8.5%	-27.5%	59.3%	2.7%	21.3%
Skew 10d	4.2%	-47.7%	94.5%	-30.3%	9.2%
Call IV 25d	40.2%	14.8%	79.0%	31.6%	44.0%
Put IV 25d	48.7%	23.3%	84.5%	34.4%	65.3%
Bid-Ask Spread %	121.02	104.92	128.36	128.36	121.71
Gamma HHI	0.49	0.40	0.63	0.45	0.41
Net GEX	8.9K	4.8K	12.5K	11.7K	5.4K
Net DEX	-407.6K	-515.7K	-200.9K	-443.5K	-402.0K
Net VEX	-643	-807	-450	-687	-556
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.00	3.00	1.03	0.72
Total Volume	26.864	0	73	63	67
Total OI	161.227	101	178	167	143

Daily Data (22 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
2015-03-02	$48.32	$45.00	31.2%	9.0%	33.4%	86.2%	34.0%	2.7%	7.8%	11.7K	-443.5K	-687	1.03	128.36	N/A	N/A	31	32	128	39
2015-03-03	$47.73	$45.00	36.2%	10.4%	33.7%	100.0%	32.0%	-8.4%	-1.0%	12.5K	-421.9K	-750	1.03	125.95	N/A	N/A	31	32	129	39
2015-03-04	$48.21	$45.00	37.5%	10.7%	33.0%	100.0%	31.4%	-1.0%	-4.3%	11.7K	-428.3K	-788	0.84	123.28	N/A	N/A	38	32	129	39
2015-03-05	$47.71	$35.00	30.6%	10.4%	33.2%	68.6%	47.6%	-0.4%	-25.8%	9.8K	-408.3K	-807	0.84	116.65	N/A	N/A	38	32	125	39
2015-03-06	$46.11	$35.00	42.4%	11.0%	35.0%	100.0%	30.1%	9.9%	-11.4%	10.5K	-366.0K	-788	0.92	112.22	N/A	N/A	38	35	125	39
2015-03-09	$46.49	$35.00	46.8%	7.1%	33.8%	100.0%	0.0%	7.4%	0.3%	11.5K	-369.1K	-727	0.00	104.92	N/A	N/A	1	0	125	43
2015-03-10	$46.37	$35.00	30.1%	10.7%	31.0%	46.2%	33.7%	59.3%	-10.6%	11.1K	-348.3K	-654	3.00	119.26	N/A	N/A	2	6	124	43
2015-03-11	$46.53	$35.00	26.0%	7.5%	25.9%	33.2%	0.0%	8.5%	0.1%	10.4K	-357.0K	-697	0.00	109.39	N/A	N/A	0	0	124	48
2015-03-12	$47.30	$35.00	34.8%	10.0%	26.4%	61.3%	0.0%	30.3%	5.3%	9.9K	-388.4K	-688	0.00	125.75	N/A	N/A	0	0	124	48
2015-03-13	$46.99	$35.00	33.2%	9.5%	21.3%	56.2%	0.0%	4.3%	-8.6%	10.3K	-371.7K	-708	0.00	113.60	N/A	N/A	0	2	124	48
2015-03-16	$48.09	$35.00	18.1%	5.2%	21.9%	7.6%	0.0%	41.3%	-1.3%	10.1K	-428.1K	-566	0.00	126.91	N/A	N/A	3	0	124	50
2015-03-17	$48.63	$35.00	34.2%	9.8%	22.2%	59.3%	0.0%	-27.5%	-25.1%	10.0K	-458.6K	-516	2.00	123.47	N/A	N/A	1	2	127	50
2015-03-18	$49.07	$35.00	63.2%	18.1%	22.2%	100.0%	0.0%	1.3%	-37.5%	6.1K	-488.0K	-450	0.00	127.69	N/A	N/A	0	0	128	50
2015-03-19	$49.10	$35.00	32.5%	9.3%	22.1%	35.3%	41.9%	1.6%	-15.4%	11.6K	-482.3K	-498	0.00	122.01	N/A	N/A	10	0	128	50
2015-03-20	$50.49	$35.00	34.3%	9.8%	24.2%	39.2%	0.0%	8.8%	-22.3%	6.1K	-515.7K	-595	0.14	126.20	N/A	N/A	7	1	128	50
2015-03-23	$50.71	$35.00	47.8%	13.7%	24.2%	67.4%	0.0%	1.6%	-14.5%	5.0K	-426.5K	-627	0.00	124.68	N/A	N/A	5	0	106	38
2015-03-24	$49.51	$35.00	21.9%	6.3%	25.5%	13.0%	0.0%	9.1%	2.6%	6.1K	-443.2K	-482	0.40	116.66	N/A	N/A	5	2	108	38
2015-03-25	$48.76	$35.00	45.2%	13.0%	25.8%	62.1%	31.5%	1.2%	-19.3%	8.5K	-404.6K	-601	0.20	125.00	N/A	N/A	5	1	113	36
2015-03-26	$49.00	$35.00	44.7%	12.8%	24.8%	61.0%	55.5%	-0.4%	-31.2%	6.7K	-425.1K	-723	0.67	118.92	N/A	N/A	39	26	118	37
2015-03-27	$48.84	$45.00	21.9%	6.3%	24.5%	13.0%	0.0%	15.1%	-1.8%	5.7K	-200.9K	-563	0.00	123.80	N/A	N/A	0	0	64	37
2015-03-30	$48.94	$35.00	57.4%	16.4%	23.9%	87.7%	63.8%	1.2%	-17.0%	4.8K	-388.5K	-669	0.72	125.91	N/A	N/A	39	28	105	37
2015-03-31	$48.67	$35.00	25.9%	7.4%	23.5%	21.3%	33.9%	21.3%	6.6%	5.4K	-402.0K	-556	0.72	121.71	N/A	N/A	39	28	105	38