COMM Options History — February 2015

In February 2015, COMM traded between $28.98 and $31.48. ATM implied volatility averaged 45.5%, placing in the 50.0% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 15.1% (HV 20d: 60.6%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.39.

Notable Days

  • 2015-02-04: Highest Volume — 2,193 contracts
  • 2015-02-11: Largest IV drop — 23.4% change
  • 2015-02-04: Highest IV Rank — 79.3%
  • 2015-02-04: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.31$28.98$31.48$28.98$31.48
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV45.5%35.7%57.4%53.4%35.7%
Expected Move12.4%10.2%15.9%15.3%10.2%
HV 20d60.6%25.8%71.0%70.2%25.8%
HV 60d45.5%44.0%48.4%48.3%44.9%
IV Rank50.0%31.0%79.3%74.5%31.0%
IV Percentile73.6%53.6%93.3%91.3%53.6%
Term Structure-4.7%-11.1%0.3%-7.5%-1.0%
VWIV44.9%36.1%54.6%54.6%37.0%
Skew 25d2.5%-6.3%13.3%3.8%7.5%
Skew 10d11.1%-10.8%62.9%1.3%62.9%
Call IV 25d45.1%35.9%62.5%55.7%38.7%
Put IV 25d47.6%33.8%64.6%59.4%46.2%
Bid-Ask Spread %77.2056.4392.6365.0882.81
Gamma HHI0.630.340.830.470.34
Net GEX103.4K24.5K164.7K113.1K51.1K
Net DEX-9.1M-12.8M-4.4M-9.1M-5.0M
Net VEX-12.3K-16.4K-9.6K-12.0K-11.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.166.080.362.86
Total Volume1,2453372,1934821,689
Total OI6,639.2113,2648,1177,0524,702

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$28.98$25.0053.4%15.3%70.2%74.5%54.6%3.8%-7.5%113.1K-9.1M-12.0K0.3665.08N/AN/A3541284,3832,669
2015-02-03$29.38$25.0053.9%15.5%70.2%75.7%52.6%2.2%-8.6%121.7K-9.9M-12.9K1.0756.43N/AN/A4845194,5992,727
2015-02-04$30.00$25.0055.4%15.9%70.2%79.3%51.2%3.2%-11.1%120.8K-10.7M-12.1K0.2966.13N/AN/A1,6984954,6492,755
2015-02-05$29.44$25.0050.7%13.1%71.0%55.3%48.5%1.9%-4.7%111.8K-9.0M-11.5K0.3770.91N/AN/A1,4855524,2172,769
2015-02-06$29.60$25.0052.6%12.6%71.0%51.1%49.3%3.6%-4.2%141.9K-10.1M-16.4K0.6373.14N/AN/A8785514,7982,814
2015-02-09$29.70$25.0057.1%12.9%69.5%53.5%51.9%3.8%-4.6%141.8K-9.9M-15.5K0.5559.47N/AN/A8744824,6802,813
2015-02-10$29.70$25.0057.4%12.6%66.0%51.0%47.2%3.4%-3.8%145.0K-10.1M-14.5K0.6969.14N/AN/A7295044,6842,803
2015-02-11$30.52$25.0044.0%12.6%64.4%51.3%45.7%2.1%-4.6%145.6K-11.0M-13.6K0.9076.33N/AN/A5264744,6832,811
2015-02-12$30.26$25.0043.0%12.3%64.8%48.8%44.2%2.3%-5.4%149.3K-10.8M-13.6K1.0180.25N/AN/A5155194,6802,808
2015-02-13$30.49$25.0043.5%12.5%62.4%50.2%44.7%2.3%-5.8%147.4K-11.1M-13.1K1.0282.45N/AN/A4864964,6812,849
2015-02-17$30.34$25.0044.3%12.7%62.9%52.2%47.1%2.7%-5.4%156.5K-11.0M-12.1K1.1981.57N/AN/A4024784,6992,845
2015-02-18$31.08$25.0045.0%12.9%62.9%53.9%45.3%3.3%-5.2%48.2K-12.8M-10.3K1.4284.88N/AN/A3955604,7072,852
2015-02-19$30.24$25.0046.4%13.3%64.5%57.3%44.9%2.3%-7.6%164.7K-10.8M-11.3K6.0892.63N/AN/A1338094,6792,856
2015-02-20$31.10$25.0035.9%10.3%64.4%31.5%36.1%-2.8%0.3%44.8K-12.8M-9.6K0.1687.65N/AN/A290474,7283,389
2015-02-23$30.71$25.0037.4%10.7%65.3%35.3%37.3%-3.5%-4.1%50.1K-4.6M-10.1K0.5187.36N/AN/A4602332,1161,148
2015-02-24$30.75$25.0036.4%10.4%65.3%32.7%40.2%-6.3%-2.8%24.5K-4.4M-11.0K1.8183.67N/AN/A6971,2642,1202,141
2015-02-25$30.79$25.0036.4%10.4%33.3%32.8%37.6%1.7%-1.3%38.3K-4.5M-11.8K2.7579.44N/AN/A4591,2632,4532,159
2015-02-26$31.30$25.0036.1%10.4%27.7%32.1%37.4%13.3%-1.6%47.5K-4.8M-11.7K2.7287.42N/AN/A4641,2632,5092,170
2015-02-27$31.48$25.0035.7%10.2%25.8%31.0%37.0%7.5%-1.0%51.1K-5.0M-11.0K2.8682.81N/AN/A4381,2512,5322,170