COMM Options History — March 2014

In March 2014, COMM traded between $21.32 and $24.68. ATM implied volatility averaged 30.9%. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 22.9% (HV 20d: 53.8%). Max pain ranged from $20.00 to $30.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 16.48.

Notable Days

  • 2014-03-27: Highest Volume — 3,481 contracts
  • 2014-03-27: Largest IV spike — 27.0% change
  • 2014-03-27: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.06$21.32$24.68$24.24$24.68
Max Pain$22.98$20.00$30.00$20.00$25.00
ATM IV30.9%23.1%42.2%25.3%38.6%
Expected Move9.0%6.6%12.1%7.3%11.1%
HV 20d53.8%44.1%60.2%52.9%52.7%
HV 60d40.4%36.8%46.7%36.9%46.7%
Term Structure10.9%1.1%14.9%1.4%14.2%
VWIV31.6%21.1%43.5%21.9%43.5%
Skew 25d4.7%1.1%8.7%1.3%4.9%
Skew 10d7.5%-6.4%61.5%-5.1%5.0%
Call IV 25d30.1%20.4%41.2%29.1%37.0%
Put IV 25d34.8%27.3%45.3%30.4%41.9%
Bid-Ask Spread %92.9687.2999.2991.1792.15
Gamma HHI0.540.280.820.400.60
Net GEX-53.3K-138.8K19.3K6.3K-93.4K
Net DEX734.4K-1.1M8.4M-1.1M703.2K
Net VEX-9.7K-14.5K-4.5K-4.6K-12.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio16.480.00174.190.501.25
Total Volume433.52493,48130293
Total OI3,433.7141,3767,6411,3765,050

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$24.24$20.0025.3%7.3%52.9%0.0%21.9%1.3%1.4%6.3K-1.1M-4.6K0.5091.17N/AN/A2010776600
2014-03-04$24.13$20.0026.2%7.5%53.2%0.0%22.2%1.6%1.5%6.3K-1.0M-4.6K0.3190.54N/AN/A134786610
2014-03-05$24.05$20.0023.1%6.6%53.6%0.0%21.4%4.3%1.1%6.2K-1.0M-4.6K0.0093.33N/AN/A09785614
2014-03-06$23.49$20.0027.0%7.8%55.2%0.0%0.0%6.9%1.4%9.0K-904.6K-4.6K0.0099.29N/AN/A100785614
2014-03-07$22.90$22.5026.6%7.9%56.6%0.0%27.6%3.3%10.1%11.4K-734.4K-4.6K2.3388.73N/AN/A1228782614
2014-03-10$22.71$22.5027.0%8.0%56.3%0.0%0.0%1.7%10.4%16.0K-703.3K-4.5K0.8688.94N/AN/A76791609
2014-03-11$21.99$22.5031.5%9.7%58.2%0.0%36.0%5.1%11.8%19.3K-510.0K-4.7K174.1987.82N/AN/A162,787798614
2014-03-12$21.32$22.5026.6%9.4%59.7%0.0%34.0%4.7%13.4%-77.1K1.6M-13.3K3.3697.35N/AN/A22748063,304
2014-03-13$21.95$22.5032.3%9.3%59.7%0.0%0.0%7.7%13.3%-89.9K1.3M-13.2K0.0095.95N/AN/A0408183,368
2014-03-14$21.69$22.5031.6%9.0%60.1%0.0%35.2%6.5%13.8%-89.2K1.5M-13.3K0.0094.78N/AN/A01048183,370
2014-03-17$21.68$22.5031.8%9.1%60.2%0.0%0.0%7.8%14.4%-85.3K1.4M-12.8K0.0096.87N/AN/A01398183,332
2014-03-18$22.02$22.5030.7%8.8%60.2%0.0%21.1%8.2%14.9%-74.4K1.2M-12.4K0.4397.85N/AN/A30138183,314
2014-03-19$22.08$22.5031.2%8.9%60.1%0.0%0.0%8.7%14.0%-71.4K1.1M-12.4K2.0894.73N/AN/A12258483,305
2014-03-20$22.13$22.5030.8%8.8%60.1%0.0%33.6%6.4%14.6%-72.7K1.1M-11.8K0.0097.80N/AN/A0388483,263
2014-03-21$24.37$22.5029.8%8.5%46.4%0.0%30.8%5.8%13.3%-75.7K-334.5K-9.5K1.4588.46N/AN/A2042968483,288
2014-03-24$24.43$25.0030.6%8.8%44.1%0.0%31.1%2.6%14.7%-70.1K559.8K-10.7K0.5894.75N/AN/A57335743,415
2014-03-25$24.49$25.0031.1%8.9%44.1%0.0%31.9%1.1%14.6%-69.6K505.8K-10.5K2.4593.33N/AN/A1233015573,419
2014-03-26$23.85$25.0033.2%9.5%45.0%0.0%33.5%3.4%12.8%-84.6K804.4K-11.3K3.1191.41N/AN/A471466553,531
2014-03-27$23.10$25.0042.2%12.1%46.3%0.0%41.7%4.1%11.2%-102.6K1.6M-12.4K68.6287.29N/AN/A503,4316723,650
2014-03-28$22.94$30.0041.2%11.8%45.3%0.0%39.4%3.1%12.1%-138.8K8.4M-14.5K2.1389.55N/AN/A2254797076,934
2014-03-31$24.68$25.0038.6%11.1%52.7%0.0%43.5%4.9%14.2%-93.4K703.2K-12.7K1.2592.15N/AN/A1301638774,173