COMM Options History — September 2014

In September 2014, COMM traded between $23.91 and $26.50. ATM implied volatility averaged 29.6%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 7.4% (HV 20d: 22.2%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.64.

Notable Days

  • 2014-09-12: Highest Volume — 4,552 contracts
  • 2014-09-03: Largest IV drop — 18.2% change
  • 2014-09-15: Highest IV Rank — 10.0%
  • 2014-09-08: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.04$23.91$26.50$26.50$23.91
Max Pain$23.93$22.50$25.00$22.50$25.00
ATM IV29.6%23.0%32.3%28.1%30.3%
Expected Move9.8%9.1%10.5%10.5%9.4%
HV 20d22.2%20.1%24.3%21.2%20.3%
HV 60d24.6%23.6%25.2%25.2%24.3%
IV Rank8.2%2.8%10.0%6.8%8.5%
IV Percentile35.2%2.0%51.2%21.6%36.2%
Term Structure5.2%1.1%12.4%1.1%5.4%
VWIV34.7%25.4%38.2%37.1%32.2%
Skew 25d2.1%-1.6%7.2%3.2%0.9%
Skew 10d10.3%-4.8%41.5%33.8%-4.8%
Call IV 25d29.6%22.8%33.5%24.6%32.3%
Put IV 25d31.6%27.7%34.5%27.8%33.1%
Bid-Ask Spread %57.3135.2674.7945.2174.79
Gamma HHI0.710.420.920.420.86
Net GEX-152.8K-610.5K66.9K41.1K-225.1K
Net DEX1.7M-3.0M6.8M-2.6M5.5M
Net VEX-25.5K-38.8K-9.8K-9.8K-33.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.640.0031.630.150.00
Total Volume664.762114,55229711
Total OI7,174.8573,45010,7473,4509,248

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$26.50$22.5028.1%10.5%21.2%6.8%37.1%3.2%1.1%41.1K-2.6M-9.8K0.1545.21N/AN/A258391,9181,532
2014-09-03$26.32$22.5023.0%10.4%20.3%2.8%37.2%5.4%12.4%62.9K-2.8M-10.5K0.2245.57N/AN/A186412,1321,570
2014-09-04$26.14$22.5026.9%10.4%20.2%5.8%35.7%1.5%3.6%65.3K-2.9M-11.4K0.2044.46N/AN/A119242,2941,611
2014-09-05$26.24$22.5027.6%10.5%20.1%7.8%36.4%0.6%6.5%63.9K-3.0M-11.5K0.1944.72N/AN/A52102,3211,629
2014-09-08$26.10$22.5028.1%10.5%20.1%7.7%36.7%-0.5%6.9%66.9K-3.0M-11.2K0.4541.56N/AN/A29132,3641,639
2014-09-09$25.36$22.5028.0%10.4%22.9%7.4%36.4%6.2%6.7%64.2K-2.1M-11.8K2.5035.26N/AN/A8202,3931,652
2014-09-10$25.70$22.5027.8%10.2%23.1%7.4%35.5%7.2%6.8%65.0K-2.5M-11.5K1.0035.39N/AN/A11112,3901,669
2014-09-11$25.80$22.5029.0%10.3%21.4%7.5%35.9%6.5%6.5%65.2K-2.7M-11.2K1.3642.13N/AN/A14192,3981,680
2014-09-12$25.19$22.5027.7%10.1%23.1%6.5%35.2%4.8%7.1%63.2K-1.8M-11.6K12.1642.04N/AN/A3464,2062,4111,699
2014-09-15$24.68$25.0032.3%9.6%23.3%10.0%33.5%4.6%3.5%-159.5K3.8M-33.2K2.4465.42N/AN/A1,1772,8662,6445,702
2014-09-16$24.63$25.0031.5%9.6%23.3%9.5%33.2%2.0%4.1%-434.1K5.2M-38.8K0.3964.18N/AN/A62243,5467,194
2014-09-17$24.25$25.0031.8%9.5%23.8%9.7%38.2%0.8%3.8%-374.7K6.8M-36.8K0.7170.01N/AN/A1611153,5657,138
2014-09-18$24.77$25.0031.0%9.6%24.3%9.1%37.2%-0.1%5.7%-610.5K4.5M-38.0K1.3564.07N/AN/A821113,5977,124
2014-09-19$24.64$25.0032.0%9.5%22.0%9.9%36.2%2.7%2.2%-595.7K5.6M-36.9K31.6365.49N/AN/A983,1003,6147,133
2014-09-22$24.23$25.0031.3%9.5%22.5%9.3%33.9%-0.7%2.9%-223.6K4.7M-37.0K0.1369.67N/AN/A197253,0596,065
2014-09-23$24.17$25.0031.5%9.3%22.3%9.4%34.3%-1.6%3.1%-224.8K5.0M-36.3K0.0169.22N/AN/A22423,0366,089
2014-09-24$24.48$25.0030.5%9.4%23.1%8.7%25.4%-0.9%5.4%-233.3K4.3M-36.9K0.0067.78N/AN/A5702,9766,091
2014-09-25$24.31$25.0031.0%9.3%23.1%9.0%32.4%-0.0%3.8%-233.6K4.7M-36.3K0.0069.85N/AN/A17302,9926,091
2014-09-26$24.22$25.0031.0%9.1%23.1%9.1%31.8%0.1%5.9%-223.3K4.7M-36.0K0.0673.81N/AN/A3223,1346,091
2014-09-29$24.28$25.0031.2%9.2%23.1%9.2%32.2%0.2%6.5%-229.0K4.9M-35.1K0.4672.85N/AN/A24113,1486,093
2014-09-30$23.91$25.0030.3%9.4%20.3%8.5%0.0%0.9%5.4%-225.1K5.5M-33.7K0.0074.79N/AN/A1103,1506,098