The high CO says you're running rich. Within limits that shouldn't drive the NOx up, but if you've been running rich for a while the cat may have lost its effectiveness.

O2 sensor is the right place to look; per another post, try to get a voltage reading with a decent DMM and post back with your findings.

If the O2 sensor turns out to be bad, I would disconnect the battery for 10 minutes to reset the ECU 'memory' (not sure if your ECU is 'adaptive', but this won't hurt if it isn't). Then take a few long drives (1 hour +) to get the cat up to operating temps for a good length of time for a few cycles, hopefully to burn off any light contamination. Then if your emissions still test high, it's probably time for a new cat.
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In God We Trust. Everyone else, keep your hands where I can see them.