COMM Options History — February 2014 In February 2014, COMM traded between $18.00 and $24.22. ATM implied volatility averaged 27.9%. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 7.0% (HV 20d: 34.9%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.96.
Notable Days 2014-02-20 : Highest Volume — 971 contracts2014-02-12 : Largest IV spike — 13.6% change2014-02-20 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $20.06 $18.00 $24.22 $18.00 $24.22 Max Pain $18.16 $17.50 $20.00 $17.50 $20.00 ATM IV 27.9% 23.2% 31.7% 30.8% 25.3% Expected Move 8.3% 7.2% 9.1% 8.8% 7.2% HV 20d 34.9% 24.2% 55.7% 26.0% 52.7% HV 60d 29.2% 24.1% 38.3% 27.4% 36.9% Term Structure 2.3% -2.7% 9.3% 0.5% 1.1% VWIV 30.7% 23.6% 39.0% 30.5% 23.6% Skew 25d 3.1% -0.4% 7.1% 5.4% 0.7% Skew 10d 18.3% -5.4% 107.0% 11.0% -4.0% Call IV 25d 27.7% 22.2% 34.2% 27.6% 27.1% Put IV 25d 30.8% 27.4% 34.6% 33.0% 27.8% Bid-Ask Spread % 94.61 85.07 104.88 102.80 91.36 Gamma HHI 0.54 0.35 0.85 0.56 0.35 Net GEX 6.9K -5.7K 23.2K -5.4K 18.1K Net DEX -612.9K -2.7M -93.8K -93.8K -1.3M Net VEX -1.2K -2.8K -561 -1.1K -2.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.96 0.00 12.36 0.00 12.36 Total Volume 146.368 0 971 7 334 Total OI 866.053 747 1,733 747 1,080
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 2014-02-03 $18.00 $17.50 30.8% 8.8% 26.0% 0.0% 30.5% 5.4% 0.5% -5.4K -93.8K -1.1K 0.00 102.80 N/A N/A 7 0 380 367 2014-02-04 $18.26 $17.50 30.0% 8.6% 26.5% 0.0% 0.0% 6.0% 1.4% -3.9K -149.9K -1.1K 0.00 101.37 N/A N/A 0 0 384 367 2014-02-05 $18.50 $17.50 27.1% 7.8% 26.7% 0.0% 0.0% 7.1% 9.3% -1.0K -205.2K -1.1K 0.00 101.65 N/A N/A 0 0 384 367 2014-02-06 $18.46 $17.50 26.8% 7.7% 26.7% 0.0% 0.0% 6.7% 8.2% -1.5K -199.8K -1.0K 0.00 104.88 N/A N/A 0 0 384 367 2014-02-07 $18.21 $17.50 26.1% 8.9% 27.1% 0.0% 0.0% -0.4% 1.9% -5.7K -142.9K -1.0K 0.00 92.79 N/A N/A 0 0 384 367 2014-02-10 $18.58 $17.50 25.5% 9.1% 27.8% 0.0% 39.0% 2.6% 1.1% -1.5K -260.8K -804 0.00 92.75 N/A N/A 26 0 384 367 2014-02-11 $18.89 $17.50 23.2% 8.4% 27.6% 0.0% 0.0% 2.7% 0.7% 6.0K -315.7K -693 0.00 92.92 N/A N/A 10 0 380 367 2014-02-12 $18.60 $17.50 26.3% 9.0% 27.0% 0.0% 0.0% 2.5% 1.1% -1.6K -263.3K -705 0.00 92.69 N/A N/A 1 0 380 367 2014-02-13 $18.77 $17.50 28.1% 8.1% 25.7% 0.0% 0.0% 2.5% 1.9% 2.4K -298.6K -644 0.00 92.89 N/A N/A 5 0 381 367 2014-02-14 $18.81 $17.50 27.7% 7.9% 25.2% 0.0% 0.0% 3.4% 2.2% 3.4K -308.7K -647 0.00 92.91 N/A N/A 5 0 386 367 2014-02-18 $19.02 $17.50 28.3% 8.1% 24.3% 0.0% 0.0% 4.0% 1.6% 9.4K -339.6K -600 0.00 93.47 N/A N/A 5 0 386 367 2014-02-19 $18.94 $17.50 28.3% 8.1% 24.3% 0.0% 29.1% 3.7% 2.5% 6.1K -326.9K -561 1.47 95.68 N/A N/A 45 66 386 367 2014-02-20 $18.97 $17.50 31.7% 9.1% 24.2% 0.0% 35.4% 0.4% -2.7% 8.4K -324.9K -879 0.00 99.25 N/A N/A 971 0 420 413 2014-02-21 $21.92 $17.50 30.5% 8.7% 54.7% 0.0% 29.0% 3.2% 5.1% 16.2K -2.7M -919 0.16 85.07 N/A N/A 654 106 1,320 413 2014-02-24 $22.92 $20.00 28.8% 8.3% 55.7% 0.0% 28.7% 6.6% 2.5% 21.3K -1.1M -1.5K 0.14 96.26 N/A N/A 231 32 643 229 2014-02-25 $23.00 $20.00 29.2% 8.4% 53.7% 0.0% 29.1% -0.1% 1.3% 23.2K -988.6K -2.1K 0.08 91.12 N/A N/A 127 10 662 261 2014-02-26 $23.36 $20.00 28.4% 8.1% 53.7% 0.0% 28.0% 0.6% 1.7% 18.9K -1.1M -2.2K 0.20 88.27 N/A N/A 99 20 679 271 2014-02-27 $23.63 $20.00 27.9% 8.0% 52.6% 0.0% 34.8% 1.7% 1.8% 19.2K -1.2M -2.8K 0.00 89.52 N/A N/A 27 0 770 291 2014-02-28 $24.22 $20.00 25.3% 7.2% 52.7% 0.0% 23.6% 0.7% 1.1% 18.1K -1.3M -2.7K 12.36 91.36 N/A N/A 25 309 789 291
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