COMM Options History — December 2014

In December 2014, COMM traded between $21.73 and $23.82. ATM implied volatility averaged 30.9%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 0.8% (HV 20d: 30.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.49.

Notable Days

  • 2014-12-19: Highest Volume — 471 contracts
  • 2014-12-08: Largest IV spike — 34.9% change
  • 2014-12-26: Highest IV Rank — 33.0%
  • 2014-12-16: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.71$21.73$23.82$22.23$22.83
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV30.9%24.2%34.1%32.1%30.3%
Expected Move10.4%9.9%11.3%10.2%10.2%
HV 20d30.1%24.3%40.2%40.2%24.9%
HV 60d40.1%39.5%40.5%39.5%40.2%
IV Rank26.2%19.6%33.0%28.4%24.6%
IV Percentile39.2%12.7%64.7%49.6%28.2%
Term Structure4.6%-0.2%8.7%0.7%5.0%
VWIV36.7%34.3%40.0%37.5%36.4%
Skew 25d5.0%-9.9%30.3%12.3%5.3%
Skew 10d6.7%-13.3%53.0%18.0%7.8%
Call IV 25d30.2%20.7%37.7%33.5%25.5%
Put IV 25d35.2%24.7%57.7%45.7%30.8%
Bid-Ask Spread %77.6069.8789.4376.3070.45
Gamma HHI0.590.480.920.520.54
Net GEX74.1K33.1K494.5K41.3K39.4K
Net DEX150.2K-1.1M1.1M569.1K200.1K
Net VEX-10.5K-12.4K-8.9K-11.2K-8.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.034.000.734.00
Total Volume292.3641547146515
Total OI3,898.1823,5324,1203,7583,655

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$22.23$25.0032.1%10.2%40.2%28.4%37.5%12.3%0.7%41.3K569.1K-11.2K0.7376.30N/AN/A2691962,0951,663
2014-12-02$22.43$25.0031.3%10.1%39.5%26.7%35.4%1.3%-0.2%44.7K414.0K-11.1K0.9678.32N/AN/A2192102,1031,682
2014-12-03$23.10$25.0031.1%10.6%40.1%26.3%37.2%1.9%0.0%50.2K-285.4K-12.4K1.1877.84N/AN/A1892232,2521,724
2014-12-04$23.41$25.0029.1%10.6%40.2%21.6%34.3%1.3%4.0%54.2K-691.2K-12.3K0.8876.47N/AN/A33292,2931,715
2014-12-05$23.82$25.0024.2%9.9%39.7%22.5%36.2%2.3%4.1%41.9K-1.1M-12.4K1.4775.64N/AN/A1642412,2891,745
2014-12-08$23.59$25.0032.6%10.6%39.6%26.4%35.0%-0.8%5.0%40.4K-1.0M-12.2K1.7082.68N/AN/A1382342,3131,735
2014-12-09$23.45$25.0029.5%10.7%24.3%25.2%35.5%-0.8%7.2%56.5K-760.3K-12.1K1.3981.50N/AN/A1552152,3161,735
2014-12-10$22.48$25.0032.6%10.4%29.5%27.0%34.7%-4.8%4.9%70.4K287.1K-11.2K1.3973.41N/AN/A1552152,3171,753
2014-12-11$22.24$25.0031.5%10.8%29.9%27.1%36.2%-9.9%5.8%71.5K384.8K-10.8K1.4578.21N/AN/A1552252,3271,753
2014-12-12$21.95$25.0033.3%10.0%30.0%31.1%35.6%0.1%1.1%63.2K721.3K-10.3K2.1775.67N/AN/A962082,3541,754
2014-12-15$21.92$25.0029.9%10.0%29.5%23.5%37.1%1.4%4.8%79.3K913.3K-9.7K2.1275.25N/AN/A982082,3611,758
2014-12-16$21.75$25.0034.1%11.3%28.2%32.9%40.0%3.4%5.3%87.9K887.3K-9.7K2.3971.93N/AN/A872082,3651,749
2014-12-17$21.73$25.0033.3%10.3%24.3%31.2%39.3%4.8%2.6%77.8K1.1M-9.3K2.4973.70N/AN/A902242,3711,749
2014-12-18$22.00$25.0031.6%10.3%24.5%27.3%38.9%13.1%4.4%90.9K1.1M-9.2K1.2069.87N/AN/A1481772,3401,755
2014-12-19$22.48$25.0032.1%10.8%25.4%28.4%38.8%13.4%6.7%494.5K542.5K-9.6K0.0373.78N/AN/A456152,3281,765
2014-12-22$22.76$25.0028.2%10.3%25.7%19.7%35.6%30.3%8.1%35.4K443.1K-9.4K1.0178.62N/AN/A1391412,0001,532
2014-12-23$23.04$25.0030.8%10.4%25.7%25.5%36.2%8.6%5.6%35.5K73.7K-10.0K1.1377.93N/AN/A971102,0701,552
2014-12-24$23.19$25.0028.1%10.2%25.7%19.6%35.6%21.5%7.4%40.4K-49.8K-9.9K1.1389.43N/AN/A971102,0701,552
2014-12-26$23.24$25.0034.1%10.3%25.2%33.0%37.2%-2.1%2.7%33.1K-152.7K-9.9K1.1384.34N/AN/A971102,0701,552
2014-12-29$23.08$25.0030.5%10.5%24.8%24.9%38.2%3.3%8.7%38.8K-203.7K-9.8K1.3978.89N/AN/A901252,0701,552
2014-12-30$22.97$25.0030.1%10.5%24.9%24.1%35.9%3.9%7.5%42.2K-10.5K-9.3K0.0086.90N/AN/A0212,0751,551
2014-12-31$22.83$25.0030.3%10.2%24.9%24.6%36.4%5.3%5.0%39.4K200.1K-8.9K4.0070.45N/AN/A3122,0751,580