COMM Options History — December 2013

Name: COMM Options Analytics - December 2013
Creator: Options Analysis Suite

In December 2013, COMM traded between $16.74 and $18.93. ATM implied volatility averaged 24.6%. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 2.6% (HV 20d: 27.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.43.

Notable Days

2013-12-18: Highest Volume — 100 contracts
2013-12-12: Largest IV spike — 26.5% change
2013-12-26: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.60	$16.74	$18.93	$16.74	$18.93
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	24.6%	20.9%	28.1%	22.0%	22.7%
Expected Move	7.3%	6.1%	8.1%	6.3%	6.5%
HV 20d	27.2%	16.1%	37.1%	37.1%	16.1%
Term Structure	4.8%	1.7%	13.2%	2.4%	11.4%
VWIV	25.9%	23.5%	27.8%	24.3%	27.8%
Skew 25d	7.3%	1.0%	26.8%	5.0%	4.5%
Skew 10d	20.6%	1.8%	58.5%	39.0%	4.9%
Call IV 25d	24.7%	19.8%	27.9%	27.3%	19.8%
Put IV 25d	32.0%	24.3%	52.0%	32.4%	24.3%
Bid-Ask Spread %	97.83	85.12	113.22	103.38	113.22
Gamma HHI	0.74	0.42	0.97	0.66	0.56
Net GEX	4.4K	-9.5K	11.1K	1.6K	7.5K
Net DEX	-150.0K	-340.4K	-71.6K	-73.6K	-340.4K
Net VEX	-616	-805	-120	-366	-793
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.00	3.00	2.50	0.00
Total Volume	25.762	0	100	7	27
Total OI	313.667	166	430	166	430

Daily Data (21 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
2013-12-02	$16.74	$15.00	22.0%	6.3%	37.1%	0.0%	0.0%	5.0%	2.4%	1.6K	-73.6K	-366	2.50	103.38	N/A	N/A	2	5	91	75
2013-12-03	$16.96	$15.00	25.0%	7.2%	36.0%	0.0%	0.0%	6.4%	2.7%	410	-73.0K	-120	0.00	94.12	N/A	N/A	0	0	93	80
2013-12-04	$17.02	$15.00	24.3%	7.0%	35.0%	0.0%	24.3%	6.2%	5.1%	203	-71.6K	-140	0.23	86.44	N/A	N/A	66	15	93	80
2013-12-05	$16.81	$15.00	23.1%	6.6%	34.7%	0.0%	26.4%	5.5%	1.7%	6.1K	-93.4K	-521	0.83	103.06	N/A	N/A	12	10	157	95
2013-12-06	$17.05	$15.00	22.8%	8.0%	33.9%	0.0%	0.0%	6.3%	3.3%	6.2K	-113.1K	-566	0.00	85.12	N/A	N/A	0	25	159	105
2013-12-09	$17.35	$15.00	25.0%	7.7%	33.8%	0.0%	26.9%	26.8%	4.7%	5.2K	-110.0K	-604	0.31	99.03	N/A	N/A	32	10	159	130
2013-12-10	$17.37	$15.00	23.4%	7.5%	28.4%	0.0%	0.0%	1.2%	4.6%	7.5K	-129.2K	-711	0.00	97.39	N/A	N/A	0	11	184	140
2013-12-11	$17.36	$15.00	20.9%	7.6%	26.5%	0.0%	0.0%	1.2%	2.9%	8.4K	-126.6K	-705	0.00	96.95	N/A	N/A	0	0	184	140
2013-12-12	$17.33	$15.00	26.4%	7.6%	26.6%	0.0%	26.4%	1.0%	3.4%	8.4K	-126.1K	-686	0.00	96.62	N/A	N/A	10	0	184	140
2013-12-13	$17.40	$15.00	26.8%	7.7%	26.5%	0.0%	0.0%	1.5%	3.2%	9.4K	-134.1K	-679	0.00	94.26	N/A	N/A	5	0	184	140
2013-12-16	$17.59	$15.00	27.2%	7.8%	26.5%	0.0%	0.0%	2.9%	3.0%	10.0K	-153.8K	-661	0.00	95.71	N/A	N/A	10	0	184	140
2013-12-17	$17.68	$15.00	26.2%	7.5%	26.1%	0.0%	0.0%	5.3%	4.5%	11.1K	-175.1K	-647	0.00	95.77	N/A	N/A	30	0	194	140
2013-12-18	$17.80	$15.00	27.5%	7.9%	24.0%	0.0%	0.0%	26.4%	2.8%	7.5K	-171.3K	-634	3.00	99.88	N/A	N/A	25	75	184	140
2013-12-19	$17.49	$15.00	25.6%	7.3%	24.5%	0.0%	0.0%	1.8%	3.7%	-9.5K	-98.8K	-805	0.00	96.23	N/A	N/A	0	0	206	215
2013-12-20	$17.84	$15.00	25.9%	7.4%	24.8%	0.0%	0.0%	4.5%	3.2%	-3.7K	-173.4K	-754	0.00	95.94	N/A	N/A	22	0	206	215
2013-12-23	$18.05	$15.00	23.5%	6.7%	24.4%	0.0%	23.5%	2.5%	5.5%	2.3K	-176.5K	-705	0.00	98.20	N/A	N/A	18	0	184	140
2013-12-24	$18.03	$15.00	24.5%	7.0%	24.2%	0.0%	0.0%	15.7%	6.1%	2.3K	-167.8K	-689	0.00	94.97	N/A	N/A	35	0	180	140
2013-12-26	$18.10	$15.00	28.1%	8.1%	24.2%	0.0%	27.8%	18.7%	4.0%	3.3K	-180.0K	-732	0.00	103.30	N/A	N/A	26	0	205	140
2013-12-27	$18.28	$15.00	21.4%	6.1%	19.5%	0.0%	0.0%	3.4%	13.2%	4.6K	-220.2K	-733	0.00	100.21	N/A	N/A	1	0	225	140
2013-12-30	$18.48	$15.00	24.5%	7.0%	19.0%	0.0%	0.0%	6.7%	10.4%	4.4K	-241.9K	-693	0.08	104.58	N/A	N/A	64	5	226	140
2013-12-31	$18.93	$15.00	22.7%	6.5%	16.1%	0.0%	0.0%	4.5%	11.4%	7.5K	-340.4K	-793	0.00	113.22	N/A	N/A	27	0	290	140