COMM Options History — January 2014 In January 2014, COMM traded between $17.31 and $19.30. ATM implied volatility averaged 28.3%. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 6.2% (HV 20d: 22.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.93.
Notable Days 2014-01-23 : Highest Volume — 185 contracts2014-01-15 : Largest IV spike — 49.8% change2014-01-23 : Largest Expected Move — 9.0%Monthly Statistics Metric Avg Min Max Open Close Price $18.31 $17.31 $19.30 $18.77 $17.93 Max Pain $17.26 $15.00 $17.50 $15.00 $17.50 ATM IV 28.3% 19.4% 42.7% 24.8% 28.3% Expected Move 8.1% 5.6% 9.0% 7.1% 8.1% HV 20d 22.1% 16.3% 27.4% 16.6% 27.4% HV 60d 27.3% 26.8% 27.8% 27.0% 27.6% Term Structure 3.4% 0.6% 12.4% 6.8% 1.6% VWIV 28.4% 17.8% 31.3% 17.8% 29.6% Skew 25d 2.0% -3.8% 7.3% 3.5% 1.9% Skew 10d 2.5% -7.9% 9.7% 0.9% 2.5% Call IV 25d 27.7% 18.8% 33.6% 27.4% 26.6% Put IV 25d 29.7% 26.2% 32.3% 30.9% 28.5% Bid-Ask Spread % 96.66 77.69 113.80 113.80 104.91 Gamma HHI 0.66 0.47 0.76 0.58 0.61 Net GEX 4.0K -8.4K 11.4K 9.3K -7.0K Net DEX -199.8K -401.1K 87.9K -341.5K -59.1K Net VEX -1.0K -1.3K -793 -836 -1.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.93 0.00 10.00 1.06 3.00 Total Volume 23.286 0 185 0 0 Total OI 597.143 455 747 455 747
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 2014-01-02 $18.77 $15.00 24.8% 7.1% 16.6% 0.0% 0.0% 3.5% 6.8% 9.3K -341.5K -836 0.00 113.80 N/A N/A 0 0 315 140 2014-01-03 $19.19 $15.00 19.4% 5.6% 17.7% 0.0% 17.8% 7.3% 12.4% 8.9K -389.6K -793 1.06 111.85 N/A N/A 31 33 315 140 2014-01-06 $19.30 $17.50 19.6% 8.7% 16.3% 0.0% 30.4% 1.5% 2.1% 10.1K -401.1K -922 0.00 81.54 N/A N/A 21 0 343 162 2014-01-07 $19.03 $17.50 22.4% 7.8% 17.7% 0.0% 29.3% 4.1% 3.4% 11.4K -374.6K -892 1.00 91.57 N/A N/A 10 10 352 162 2014-01-08 $18.99 $17.50 23.0% 8.0% 17.3% 0.0% 0.0% 4.4% 4.3% 11.0K -372.4K -978 0.00 77.69 N/A N/A 0 0 360 172 2014-01-09 $18.93 $17.50 31.0% 7.9% 17.5% 0.0% 0.0% 3.4% 3.6% 11.4K -366.3K -960 0.00 91.86 N/A N/A 0 0 360 172 2014-01-10 $18.67 $17.50 29.7% 8.5% 18.5% 0.0% 0.0% 1.9% 3.3% 10.7K -332.1K -918 0.00 91.70 N/A N/A 0 30 360 172 2014-01-13 $18.35 $17.50 33.9% 8.6% 19.9% 0.0% 0.0% 0.8% 3.7% 9.9K -278.8K -948 0.00 90.89 N/A N/A 15 0 360 185 2014-01-14 $17.96 $17.50 28.5% 8.5% 21.7% 0.0% 29.9% -3.8% 3.9% 10.4K -231.1K -1.0K 10.00 84.75 N/A N/A 5 50 375 185 2014-01-15 $18.43 $17.50 42.7% 8.7% 23.1% 0.0% 27.7% 2.5% 2.7% 6.0K -261.8K -1.1K 0.50 98.89 N/A N/A 10 5 367 235 2014-01-16 $18.68 $17.50 29.2% 8.4% 23.5% 0.0% 0.0% 2.9% 4.3% 7.1K -301.6K -1.1K 0.00 91.07 N/A N/A 0 3 377 240 2014-01-17 $18.30 $17.50 28.2% 8.1% 24.8% 0.0% 27.8% 1.0% 5.2% 5.9K -236.3K -1.1K 0.00 96.47 N/A N/A 20 0 377 243 2014-01-21 $18.25 $17.50 28.7% 8.2% 23.8% 0.0% 0.0% -0.0% 3.2% 5.0K -147.9K -1.0K 0.00 96.11 N/A N/A 0 0 324 223 2014-01-22 $18.37 $17.50 28.2% 8.1% 23.0% 0.0% 0.0% 0.2% 2.8% 5.8K -166.1K -1.0K 0.00 95.68 N/A N/A 0 0 324 223 2014-01-23 $17.88 $17.50 31.3% 9.0% 24.8% 0.0% 31.3% 6.1% 1.2% 2.9K -87.4K -983 2.70 100.14 N/A N/A 50 135 324 223 2014-01-24 $17.81 $17.50 30.1% 8.6% 24.8% 0.0% 31.3% -3.0% 0.9% -2.4K -55.2K -1.3K 1.04 97.02 N/A N/A 24 25 374 333 2014-01-27 $17.31 $17.50 29.6% 8.5% 26.6% 0.0% 29.6% -0.0% 0.6% -7.8K 87.9K -1.2K 3.00 102.06 N/A N/A 3 9 377 358 2014-01-28 $17.61 $17.50 28.5% 8.2% 27.2% 0.0% 0.0% 2.9% 2.2% -7.6K 15.5K -1.3K 0.00 99.53 N/A N/A 0 0 380 367 2014-01-29 $17.34 $17.50 28.5% 8.2% 27.1% 0.0% 0.0% 1.7% 2.4% -8.4K 59.0K -1.2K 0.00 106.77 N/A N/A 0 0 380 367 2014-01-30 $17.51 $17.50 29.2% 8.4% 25.7% 0.0% 0.0% 2.0% 1.4% -8.4K 45.1K -1.2K 0.00 105.56 N/A N/A 0 0 380 367 2014-01-31 $17.93 $17.50 28.3% 8.1% 27.4% 0.0% 0.0% 1.9% 1.6% -7.0K -59.1K -1.2K 0.00 104.91 N/A N/A 0 0 380 367
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