COMM Options History — July 2014

In July 2014, COMM traded between $22.24 and $24.64. ATM implied volatility averaged 44.5%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 18.9% (HV 20d: 25.6%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 12.12.

Notable Days

  • 2014-07-16: Highest Volume — 1,614 contracts
  • 2014-07-10: Largest IV spike — 33.8% change
  • 2014-07-30: Highest IV Rank — 23.8%
  • 2014-07-11: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.30$22.24$24.64$23.10$24.64
Max Pain$24.77$20.00$25.00$20.00$25.00
ATM IV44.5%33.0%49.8%36.4%33.0%
Expected Move11.9%10.8%12.4%12.3%10.8%
HV 20d25.6%21.6%29.8%25.1%29.8%
HV 60d30.8%28.8%32.1%31.9%29.1%
IV Rank20.7%10.7%23.8%13.3%10.7%
IV Percentile79.8%48.9%85.6%71.4%48.9%
Term Structure-3.7%-10.6%11.3%10.1%-0.6%
VWIV42.0%36.1%49.0%42.1%36.1%
Skew 25d7.3%-0.1%14.9%-0.1%4.3%
Skew 10d16.6%-2.5%30.1%-2.5%5.6%
Call IV 25d42.4%32.2%49.3%35.0%32.2%
Put IV 25d49.7%34.9%56.8%34.9%36.4%
Bid-Ask Spread %22.6919.3029.3519.7029.35
Gamma HHI0.550.390.860.450.86
Net GEX86.7K-10.3K321.8K27.6K321.8K
Net DEX-774.6K-3.7M844.6K38.0K-3.7M
Net VEX-12.5K-15.4K-9.1K-10.1K-12.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.120.04227.000.171.99
Total Volume284.182111,614351487
Total OI5,326.1823,7866,5483,7866,493

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$23.10$20.0036.4%12.3%25.1%13.3%42.1%-0.1%10.1%27.6K38.0K-10.1K0.1719.70N/AN/A300512,1151,671
2014-07-02$23.35$25.0036.4%12.3%24.7%13.3%42.9%1.7%10.1%50.8K-272.4K-10.8K0.4421.47N/AN/A104462,3581,712
2014-07-03$23.34$25.0035.2%12.2%24.0%12.4%42.3%1.5%11.3%56.7K-365.8K-10.8K0.2922.17N/AN/A45132,4211,687
2014-07-07$22.77$25.0036.1%12.1%23.8%21.7%0.0%6.3%-3.3%31.7K196.5K-9.6K0.7719.30N/AN/A26202,4171,680
2014-07-08$22.24$25.0039.5%12.4%24.4%21.9%41.8%6.2%-3.4%16.8K649.7K-9.1K0.3919.51N/AN/A117462,4251,700
2014-07-09$22.46$25.0036.1%12.2%25.0%21.7%40.5%7.0%-3.8%16.0K580.1K-9.2K2.2821.29N/AN/A501142,4111,737
2014-07-10$22.26$25.0048.2%12.2%25.0%22.6%49.0%5.5%-4.8%6.1K844.6K-9.7K0.2419.80N/AN/A107262,4271,843
2014-07-11$22.50$25.0048.4%12.4%21.6%22.7%0.0%6.6%-5.2%9.9K628.6K-10.0K6.0319.66N/AN/A291752,4791,869
2014-07-14$23.05$25.0048.2%12.2%22.3%22.6%43.4%10.2%-5.6%16.6K315.4K-10.3K1.1919.79N/AN/A3353972,4772,027
2014-07-15$22.85$25.0049.2%12.1%22.4%23.4%42.2%8.6%-6.4%-10.3K669.1K-12.0K0.0021.36N/AN/A0112,7862,414
2014-07-16$23.34$25.0049.7%12.0%23.8%23.8%43.1%12.3%-8.0%8.3K233.0K-11.8K0.1522.35N/AN/A1,4082062,7862,425
2014-07-17$23.02$25.0049.7%12.1%24.1%23.8%0.0%8.7%-6.8%66.4K-348.8K-14.6K0.6421.72N/AN/A1494,0592,489
2014-07-18$23.80$25.0046.0%11.7%26.2%20.9%40.9%1.9%-4.1%105.2K-1.7M-15.4K0.3220.63N/AN/A205654,0632,453
2014-07-21$23.96$25.0046.5%11.7%25.8%21.2%0.0%2.4%-5.5%125.7K-1.7M-15.1K0.8520.23N/AN/A62533,5042,208
2014-07-22$24.08$25.0045.7%11.5%25.7%20.6%0.0%12.6%-5.6%135.0K-1.9M-15.3K0.0825.21N/AN/A168133,5542,259
2014-07-23$23.26$25.0048.5%11.7%27.5%22.8%0.0%9.0%-6.8%105.6K-609.2K-14.2K0.0423.05N/AN/A507183,6972,266
2014-07-24$23.06$25.0049.0%11.6%26.7%23.2%0.0%8.0%-7.2%127.5K-940.6K-14.7K0.3526.42N/AN/A2074,2012,284
2014-07-25$23.40$25.0049.2%11.5%27.2%23.4%0.0%9.0%-7.2%148.1K-1.5M-15.0K0.2425.02N/AN/A41104,1962,291
2014-07-28$24.09$25.0048.3%11.3%29.0%22.7%40.0%10.9%-8.9%184.9K-2.8M-14.8K227.0025.66N/AN/A12274,2202,281
2014-07-29$24.01$25.0049.6%11.3%29.0%23.7%0.0%13.9%-9.3%172.6K-2.5M-14.4K10.0026.93N/AN/A303004,1232,283
2014-07-30$24.07$25.0049.8%11.4%29.0%23.8%0.0%14.9%-10.6%183.4K-2.7M-14.1K0.9628.48N/AN/A1981914,1442,241
2014-07-31$24.64$25.0033.0%10.8%29.8%10.7%36.1%4.3%-0.6%321.8K-3.7M-12.8K1.9929.35N/AN/A1633244,1742,319