COMM Options History — January 2015

In January 2015, COMM traded between $20.76 and $28.07. ATM implied volatility averaged 40.7%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 6.8% (HV 20d: 33.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.26.

Notable Days

  • 2015-01-27: Highest Volume — 5,455 contracts
  • 2015-01-27: Largest IV spike — 39.9% change
  • 2015-01-28: Highest IV Rank — 84.6%
  • 2015-01-28: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.07$20.76$28.07$22.97$28.00
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV40.7%30.0%57.5%30.0%53.0%
Expected Move12.2%10.2%16.5%10.2%15.2%
HV 20d33.8%18.9%69.8%22.6%69.7%
HV 60d39.8%35.2%50.7%40.2%48.0%
IV Rank47.5%23.8%84.6%23.8%73.4%
IV Percentile76.8%26.6%96.0%26.6%91.3%
Term Structure-2.6%-8.8%6.2%6.2%-7.3%
VWIV43.1%35.9%58.8%38.7%56.8%
Skew 25d3.5%-4.1%7.7%-4.1%-0.2%
Skew 10d8.9%-4.8%22.1%-4.8%1.5%
Call IV 25d41.1%30.9%58.4%35.8%55.1%
Put IV 25d44.6%31.7%59.6%31.7%54.9%
Bid-Ask Spread %66.4858.7273.1663.5064.66
Gamma HHI0.510.300.780.550.46
Net GEX53.0K-1.2K260.6K38.5K130.9K
Net DEX-787.9K-11.6M2.0M150.5K-8.1M
Net VEX-8.9K-19.2K-6.1K-8.7K-13.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.009.501.201.23
Total Volume831.15685,4551961,171
Total OI4,461.053,5848,5583,6616,652

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$22.97$25.0030.0%10.2%22.6%23.8%38.7%-4.1%6.2%38.5K150.5K-8.7K1.2063.50N/AN/A891072,0751,586
2015-01-05$23.10$25.0033.7%10.6%22.2%39.1%39.3%6.1%-0.2%36.2K75.4K-8.8K0.0866.92N/AN/A169142,0821,604
2015-01-06$23.18$25.0033.9%10.5%21.2%33.5%36.8%5.1%0.5%62.3K-297.2K-8.8K2.7266.84N/AN/A461252,2511,617
2015-01-07$23.31$25.0032.8%10.6%21.1%33.9%0.0%5.8%0.5%63.0K-497.9K-9.2K9.5059.76N/AN/A8762,2791,656
2015-01-08$23.71$25.0030.6%10.6%21.9%34.4%36.4%7.7%0.0%48.3K-954.1K-9.3K1.0771.13N/AN/A2372542,2871,714
2015-01-09$23.01$25.0030.9%10.4%18.9%32.2%35.9%5.1%-0.5%76.5K-267.9K-8.9K0.9770.07N/AN/A1481432,3551,707
2015-01-12$21.95$25.0033.1%11.1%25.3%38.3%36.9%3.7%-1.7%87.2K993.8K-7.8K1.0769.59N/AN/A1371462,3691,720
2015-01-13$21.41$25.0035.8%11.1%26.4%38.7%40.6%2.6%-0.7%55.5K1.6M-7.1K1.0967.42N/AN/A1521662,3791,762
2015-01-14$21.41$25.0040.0%11.5%26.4%41.5%40.8%4.3%-2.3%32.7K1.8M-7.0K1.3563.58N/AN/A1532062,3991,826
2015-01-15$20.76$25.0042.9%12.3%28.4%48.6%40.6%5.1%-3.5%1.2K2.0M-6.1K1.1858.72N/AN/A1441702,3881,786
2015-01-16$21.03$25.0042.9%12.3%28.9%48.6%40.7%3.3%-3.2%1.1K1.9M-6.3K0.0262.86N/AN/A26462,4191,826
2015-01-20$21.27$25.0040.2%11.5%28.8%42.0%41.3%4.3%-1.8%-5191.7M-6.3K0.9770.91N/AN/A98951,8311,753
2015-01-21$21.14$25.0042.6%12.2%27.5%47.9%41.0%3.2%-2.9%-1.2K1.8M-6.5K0.0069.39N/AN/A16101,8851,823
2015-01-22$21.25$25.0043.2%12.4%27.1%49.4%40.3%4.2%-4.2%6.0K1.7M-6.6K0.7869.93N/AN/A2642051,9821,823
2015-01-23$21.60$25.0039.2%11.2%27.4%39.7%40.2%4.3%-3.3%5.8K1.6M-7.3K0.5273.16N/AN/A4012071,9821,908
2015-01-26$21.61$25.0040.1%11.5%27.2%41.8%39.9%2.9%-3.9%17.0K1.2M-7.8K0.2870.08N/AN/A53152,2441,898
2015-01-27$25.57$25.0056.1%16.1%66.8%81.0%56.2%1.1%-5.8%14.2K-2.5M-9.5K0.0867.26N/AN/A5,0693862,2571,907
2015-01-28$27.14$25.0057.5%16.5%69.4%84.6%57.0%4.1%-8.8%260.6K-11.6M-19.2K0.1564.50N/AN/A4,0246176,4252,133
2015-01-29$28.07$25.0055.0%15.8%69.8%78.4%58.8%0.8%-8.6%125.1K-7.9M-13.6K1.0459.27N/AN/A4404574,3452,286
2015-01-30$28.00$25.0053.0%15.2%69.7%73.4%56.8%-0.2%-7.3%130.9K-8.1M-13.1K1.2364.66N/AN/A5246474,3982,254