COMM Options History — October 2014

In October 2014, COMM traded between $20.22 and $24.11. ATM implied volatility averaged 41.7%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 8.7% (HV 20d: 33.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 7.43.

Notable Days

  • 2014-10-15: Highest Volume — 6,269 contracts
  • 2014-10-31: Largest IV drop — 28.6% change
  • 2014-10-27: Highest IV Rank — 28.6%
  • 2014-10-16: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.55$20.22$24.11$23.94$21.45
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV41.7%25.5%55.9%25.5%34.0%
Expected Move10.6%9.5%11.8%9.5%9.9%
HV 20d33.0%19.4%52.2%20.4%52.2%
HV 60d27.6%23.6%34.4%23.8%34.4%
IV Rank18.8%4.8%28.6%4.8%11.4%
IV Percentile73.6%7.1%90.9%7.1%59.9%
Term Structure-5.0%-12.8%7.3%7.3%-0.1%
VWIV37.1%33.2%40.9%33.2%33.3%
Skew 25d3.3%-0.6%7.4%0.6%0.3%
Skew 10d11.1%-4.5%32.0%-4.5%6.2%
Call IV 25d43.5%29.9%58.3%31.2%35.4%
Put IV 25d46.8%31.2%61.1%31.7%35.7%
Bid-Ask Spread %54.2342.1571.0570.5554.04
Gamma HHI0.520.300.870.860.48
Net GEX-79.4K-237.7K13.1K-227.6K-54.0K
Net DEX4.5M757.8K9.0M5.4M3.4M
Net VEX-21.3K-34.1K-12.9K-33.6K-12.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.430.2819.490.3213.38
Total Volume2,583.783376,269454,198
Total OI7,613.6095,0459,7919,2486,742

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$23.94$25.0025.5%9.5%20.4%4.8%33.2%0.6%7.3%-227.6K5.4M-33.6K0.3270.55N/AN/A34113,1506,098
2014-10-02$24.11$25.0029.7%9.5%20.8%8.1%0.0%-0.6%6.0%-237.7K5.2M-34.1K1.5965.21N/AN/A27433,1586,107
2014-10-03$23.81$25.0027.2%9.6%20.8%6.1%33.6%1.4%6.7%-222.2K6.1M-32.5K17.5069.76N/AN/A2353,1756,133
2014-10-06$23.45$25.0033.5%9.9%21.1%15.2%33.3%6.5%-4.1%-207.6K7.1M-29.7K0.9864.40N/AN/A43423,1756,160
2014-10-07$23.15$25.0034.5%10.2%19.4%16.1%0.0%7.3%-5.0%-200.2K7.2M-28.5K0.0071.05N/AN/A01,0113,1756,148
2014-10-08$23.52$25.0028.7%10.2%19.8%16.3%33.8%7.4%-4.3%-210.8K7.2M-28.7K1.1069.40N/AN/A1,0781,1873,1756,149
2014-10-09$23.05$25.0033.2%10.1%20.3%15.2%35.5%5.5%-3.5%-159.2K7.3M-28.1K1.1050.06N/AN/A1,0471,1513,4466,149
2014-10-10$21.95$25.0034.3%10.4%24.7%16.4%36.8%4.4%-3.8%-99.7K8.6M-23.5K1.1848.00N/AN/A1,0441,2283,4526,146
2014-10-13$21.30$25.0040.5%10.4%25.6%17.2%37.2%4.7%-4.8%-80.2K9.0M-21.1K1.2453.74N/AN/A1,0541,3033,5946,197
2014-10-14$21.31$25.0044.5%10.4%25.7%17.0%37.3%5.7%-4.8%-80.2K8.9M-20.4K2.1053.26N/AN/A6201,3033,5116,102
2014-10-15$20.22$25.0040.3%11.6%30.2%23.3%40.9%0.4%-8.2%-57.6K9.0M-18.7K8.3048.96N/AN/A6745,5953,5116,088
2014-10-16$21.00$25.0049.9%11.8%32.9%23.9%39.8%1.5%-8.6%3.6K4.7M-13.2K0.2842.15N/AN/A4011123,3543,660
2014-10-17$22.07$25.0047.4%11.0%38.8%22.0%38.6%1.4%-9.0%-3.7K4.0M-15.3K1.2845.10N/AN/A1722203,1723,635
2014-10-20$22.20$25.0046.9%10.9%38.8%21.5%37.4%-0.3%-6.1%3.0K1.4M-15.1K11.5047.85N/AN/A3013,4622,5622,483
2014-10-21$22.96$25.0046.1%10.9%41.1%20.9%37.7%6.0%-5.7%9.4K896.1K-16.8K19.4948.40N/AN/A1753,4112,6992,547
2014-10-22$22.32$25.0045.0%10.8%41.6%20.1%37.9%2.6%-4.5%10.1K1.3M-15.8K18.7544.97N/AN/A1823,4122,7122,550
2014-10-23$23.00$25.0052.4%11.1%43.4%25.9%37.2%5.7%-10.7%8.6K757.8K-16.8K8.5950.27N/AN/A4143,5582,7152,551
2014-10-24$22.84$25.0050.3%11.0%43.4%24.2%38.3%5.0%-8.7%13.1K849.8K-17.2K7.8250.42N/AN/A4363,4102,9142,649
2014-10-27$22.32$25.0055.9%11.3%43.9%28.6%40.2%4.2%-12.8%9.9K1.3M-16.4K4.7546.42N/AN/A8684,1242,9782,722
2014-10-28$22.68$25.0055.0%11.3%44.3%27.9%39.0%0.4%-11.7%-9.7K1.2M-18.2K17.9648.02N/AN/A1893,3943,0163,329
2014-10-29$22.82$25.0055.9%11.4%44.4%28.6%39.6%3.4%-12.0%-20.7K1.3M-17.2K18.6352.70N/AN/A1843,4272,7723,269
2014-10-30$23.19$25.0047.6%11.1%44.7%22.1%38.1%1.6%-5.8%-13.1K930.2K-17.3K5.6552.50N/AN/A7294,1162,7963,287
2014-10-31$21.45$25.0034.0%9.9%52.2%11.4%33.3%0.3%-0.1%-54.0K3.4M-12.9K13.3854.04N/AN/A2923,9063,1103,632