COMM Options History — August 2014

In August 2014, COMM traded between $24.43 and $26.08. ATM implied volatility averaged 29.5%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 4.3% (HV 20d: 25.1%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2014-08-19: Highest Volume — 701 contracts
  • 2014-08-14: Largest IV spike — 36.8% change
  • 2014-08-04: Highest IV Rank — 10.3%
  • 2014-08-08: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.26$24.43$26.08$24.89$25.76
Max Pain$24.64$22.50$25.00$25.00$22.50
ATM IV29.5%23.3%33.4%30.9%25.9%
Expected Move10.5%10.2%10.7%10.7%10.3%
HV 20d25.1%20.1%29.9%29.9%20.1%
HV 60d27.9%24.8%28.9%28.5%24.8%
IV Rank8.3%5.1%10.3%9.0%5.1%
IV Percentile31.6%8.4%46.7%38.8%8.4%
Term Structure3.3%0.7%5.8%1.8%2.3%
VWIV37.8%35.6%40.5%39.7%37.2%
Skew 25d4.4%-3.7%8.8%-3.7%0.9%
Skew 10d6.4%-5.9%18.2%-5.9%0.7%
Call IV 25d26.8%22.9%33.3%32.3%24.8%
Put IV 25d31.2%25.3%35.3%28.6%25.7%
Bid-Ask Spread %38.8032.3245.7732.3245.77
Gamma HHI0.660.340.990.860.37
Net GEX583.4K-26.9K6.5M356.4K33.2K
Net DEX-3.0M-7.8M96.3K-4.4M-1.8M
Net VEX-9.6K-13.3K-5.7K-13.3K-10.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.004.004.000.13
Total Volume151.714107015534
Total OI4,904.2861,5636,9866,8063,427

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$24.89$25.0030.9%10.7%29.9%9.0%0.0%-3.7%1.8%356.4K-4.4M-13.3K4.0032.32N/AN/A11444,2522,554
2014-08-04$25.42$25.0032.2%10.7%28.6%10.3%39.7%2.0%4.1%382.8K-5.9M-11.6K0.1833.78N/AN/A128234,2562,540
2014-08-05$25.01$25.0032.5%10.7%27.7%10.2%0.0%8.6%4.5%416.2K-4.9M-12.0K0.0034.38N/AN/A0104,3312,546
2014-08-06$24.79$25.0030.8%10.7%28.2%9.7%40.5%8.2%4.8%450.7K-4.3M-11.6K0.0633.55N/AN/A3624,3242,556
2014-08-07$24.70$25.0030.1%10.6%27.9%10.2%0.0%7.0%4.3%473.5K-3.8M-11.0K0.9033.67N/AN/A39354,3282,558
2014-08-08$24.60$25.0030.4%10.7%28.0%9.9%0.0%6.5%4.8%478.7K-3.5M-10.7K1.1534.80N/AN/A26304,3452,589
2014-08-11$24.43$25.0033.4%10.6%27.2%10.0%39.0%4.7%4.7%494.9K-3.0M-9.5K1.9735.07N/AN/A37734,3622,609
2014-08-12$24.62$25.0032.9%10.5%26.9%9.5%0.0%6.2%5.2%607.2K-3.4M-8.8K0.0036.24N/AN/A1404,3562,630
2014-08-13$25.26$25.0023.3%10.5%27.4%9.2%38.0%8.8%5.8%1.1M-6.2M-8.3K0.0837.18N/AN/A8474,3512,630
2014-08-14$25.43$25.0031.9%10.6%26.5%9.8%0.0%7.9%4.6%874.7K-7.8M-7.1K0.0039.92N/AN/A9404,3482,367
2014-08-15$24.97$25.0031.1%10.5%25.5%9.2%0.0%6.3%4.9%6.5M-4.0M-7.1K1.1937.06N/AN/A911084,3492,367
2014-08-18$24.87$25.0030.0%10.5%25.6%8.3%35.9%4.1%1.1%-26.9K96.3K-5.7K0.0936.46N/AN/A108104481,115
2014-08-19$24.97$25.0028.4%10.4%25.6%7.0%0.0%5.3%2.3%-19.1K-65.0K-6.0K0.3440.78N/AN/A5231785471,125
2014-08-20$25.40$25.0028.7%10.4%22.1%7.3%36.3%5.3%0.7%5.5K-811.7K-8.4K0.6840.13N/AN/A2271541,0621,295
2014-08-21$26.08$25.0028.3%10.2%22.9%7.0%38.5%4.1%1.7%13.3K-1.4M-8.6K0.0843.14N/AN/A335281,2381,409
2014-08-22$25.89$25.0027.4%10.3%23.1%6.3%36.9%3.4%2.7%27.2K-1.6M-9.6K0.9845.02N/AN/A97951,5271,428
2014-08-25$25.99$25.0028.5%10.3%21.3%7.1%37.2%3.5%2.2%22.3K-1.7M-9.6K0.1745.01N/AN/A2441,5781,479
2014-08-26$25.86$25.0028.1%10.3%21.4%6.8%35.6%2.0%2.0%23.3K-1.6M-9.6K0.0144.03N/AN/A34521,5811,477
2014-08-27$25.73$22.5026.3%10.4%21.6%5.4%38.8%1.1%2.3%34.2K-1.8M-10.9K0.3141.00N/AN/A36111,8631,478
2014-08-28$25.69$22.5027.3%10.4%20.3%6.2%0.0%0.9%1.5%33.8K-1.8M-11.0K1.6845.56N/AN/A31521,8781,487
2014-08-29$25.76$22.5025.9%10.3%20.1%5.1%37.2%0.9%2.3%33.2K-1.8M-10.9K0.1345.77N/AN/A3041,8991,528