COMM Options History — November 2014

In November 2014, COMM traded between $20.72 and $22.59. ATM implied volatility averaged 32.4%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 19.6% (HV 20d: 52.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 5.11.

Notable Days

  • 2014-11-10: Highest Volume — 4,451 contracts
  • 2014-11-10: Largest IV spike — 19.3% change
  • 2014-11-24: Highest IV Rank — 26.7%
  • 2014-11-17: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.59$20.72$22.59$21.06$22.20
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV32.4%28.9%36.6%35.5%30.8%
Expected Move10.2%9.9%10.8%10.6%10.1%
HV 20d52.0%49.1%58.2%52.3%49.2%
HV 60d38.0%34.6%39.8%34.6%39.6%
IV Rank15.1%9.2%26.7%12.6%25.6%
IV Percentile48.4%26.2%63.3%63.3%37.3%
Term Structure1.8%-1.9%5.5%-1.9%-0.4%
VWIV35.8%33.8%37.3%34.6%37.3%
Skew 25d3.8%-1.2%14.3%0.1%3.9%
Skew 10d5.5%-16.5%21.6%-16.5%5.5%
Call IV 25d31.0%25.1%40.9%34.8%31.8%
Put IV 25d34.8%26.5%41.1%34.8%35.7%
Bid-Ask Spread %65.5949.7677.2552.2272.45
Gamma HHI0.460.350.580.530.51
Net GEX-34.4K-136.9K38.3K-79.3K37.0K
Net DEX3.0M376.4K6.1M3.8M512.2K
Net VEX-11.4K-15.3K-9.5K-12.2K-11.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.110.0023.4213.800.94
Total Volume1,505.84284,4514,143212
Total OI6,518.4743,2498,6756,9303,645

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$21.06$25.0035.5%10.6%52.3%12.6%34.6%0.1%-1.9%-79.3K3.8M-12.2K13.8052.22N/AN/A2803,8633,1393,791
2014-11-04$21.54$25.0033.1%10.2%53.1%10.7%35.7%3.1%-0.7%-58.6K3.4M-12.8K10.3859.43N/AN/A3693,8293,2073,899
2014-11-05$21.63$25.0032.4%9.9%52.7%10.2%34.3%5.6%0.1%-50.8K3.3M-13.3K19.0158.22N/AN/A1973,7443,3444,082
2014-11-06$22.19$25.0034.0%10.2%53.4%11.4%35.1%0.2%-1.9%-16.1K2.4M-15.3K15.2552.94N/AN/A2173,3103,4004,149
2014-11-07$22.59$25.0030.7%9.9%50.8%9.2%33.8%1.4%3.4%26.2K1.7M-15.0K23.4256.88N/AN/A1423,3263,4174,149
2014-11-10$20.80$25.0036.6%10.4%58.0%11.6%36.4%4.7%1.8%-119.8K4.3M-11.4K8.4349.76N/AN/A4723,9793,4044,141
2014-11-11$21.07$25.0036.5%10.4%58.2%10.8%36.1%2.6%2.7%-136.9K6.1M-14.5K0.5060.12N/AN/A4762383,4055,270
2014-11-12$21.09$25.0030.7%10.4%54.9%11.3%36.4%5.4%2.3%-68.5K4.0M-10.6K0.3660.18N/AN/A4761703,3463,795
2014-11-13$20.83$25.0033.0%10.5%53.4%10.6%36.1%-0.5%3.4%-99.4K4.2M-10.0K0.8272.60N/AN/A1551273,3463,790
2014-11-14$21.20$25.0034.8%10.3%50.6%12.0%36.3%1.4%-0.7%-63.9K3.9M-10.4K0.1676.92N/AN/A108173,3263,793
2014-11-17$20.72$25.0033.3%10.8%51.0%10.9%36.8%-1.2%4.3%-81.8K4.1M-9.6K0.6469.60N/AN/A1961263,3983,796
2014-11-18$21.59$25.0032.3%10.2%51.8%10.1%36.1%5.4%3.7%16.8K3.4M-10.1K0.3569.46N/AN/A3351183,4083,796
2014-11-19$21.47$25.0031.4%10.1%50.9%9.4%0.0%5.6%4.2%-13.8K3.5M-10.3K0.3976.10N/AN/A93363,5153,794
2014-11-20$21.68$25.0031.2%10.2%49.8%26.4%36.2%4.8%4.1%-32.7K2.9M-9.7K0.3671.31N/AN/A3641303,3463,577
2014-11-21$21.80$25.0028.9%9.9%49.8%21.3%36.2%14.3%5.5%8.9K2.8M-9.5K1.8870.38N/AN/A1773323,3463,569
2014-11-24$22.05$25.0031.3%10.5%49.4%26.7%35.9%7.7%0.2%6.8K974.2K-9.5K0.0077.25N/AN/A38801,6811,568
2014-11-25$22.16$25.0029.8%10.0%49.1%23.4%35.6%6.7%1.9%34.6K601.6K-10.6K0.5070.62N/AN/A4012002,0111,568
2014-11-26$22.51$25.0029.3%10.1%49.4%22.1%35.5%1.4%1.8%38.3K376.4K-11.2K0.0069.81N/AN/A802,0451,595
2014-11-28$22.20$25.0030.8%10.1%49.2%25.6%37.3%3.9%-0.4%37.0K512.2K-11.2K0.9472.45N/AN/A1091032,0501,595