COMM Options History — March 2015

In March 2015, COMM traded between $28.55 and $31.56. ATM implied volatility averaged 36.0%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 10.9% (HV 20d: 25.1%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.38.

Notable Days

  • 2015-03-05: Highest Volume — 1,826 contracts
  • 2015-03-10: Largest IV spike — 7.2% change
  • 2015-03-13: Highest IV Rank — 35.4%
  • 2015-03-13: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.04$28.55$31.56$31.42$28.55
Max Pain$29.32$25.00$30.00$25.00$30.00
ATM IV36.0%34.4%38.6%36.9%36.2%
Expected Move10.3%9.7%10.7%10.6%10.4%
HV 20d25.1%21.9%28.3%25.8%25.0%
HV 60d44.9%44.6%45.7%44.9%45.7%
IV Rank31.2%26.8%35.4%34.0%32.4%
IV Percentile52.1%45.2%63.5%60.3%54.0%
Term Structure2.1%-2.2%3.9%-2.1%2.7%
VWIV37.0%34.7%42.5%37.4%36.0%
Skew 25d-0.9%-8.9%11.2%-4.5%-5.0%
Skew 10d-1.3%-14.6%18.4%-8.2%-7.1%
Call IV 25d38.6%32.3%44.1%41.1%36.4%
Put IV 25d37.6%31.3%45.9%36.6%31.3%
Bid-Ask Spread %82.1550.72100.5180.59100.51
Gamma HHI0.420.350.580.360.54
Net GEX70.2K1.9K119.8K56.1K67.5K
Net DEX-4.0M-5.8M-1.9M-4.9M-1.9M
Net VEX-11.1K-13.0K-9.8K-11.0K-9.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.003.153.041.69
Total Volume505.54501,8261,660406
Total OI5,059.4554,2876,0414,7064,617

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$31.42$25.0036.9%10.6%25.8%34.0%37.4%-4.5%-2.1%56.1K-4.9M-11.0K3.0480.59N/AN/A4111,2492,5382,168
2015-03-03$31.56$25.0036.8%10.6%23.5%33.8%37.6%-4.0%-2.2%60.4K-5.1M-10.6K2.8487.68N/AN/A4401,2492,5362,158
2015-03-04$31.16$25.0036.6%10.5%24.0%33.2%38.2%-6.7%-1.6%54.4K-4.9M-10.9K2.8488.98N/AN/A4401,2492,5652,147
2015-03-05$30.27$30.0035.1%10.0%25.5%28.7%41.7%4.3%2.0%33.2K-4.3M-11.2K3.1583.32N/AN/A4401,3862,5652,143
2015-03-06$29.67$30.0034.4%9.7%25.6%26.8%35.6%2.1%3.0%1.9K-3.8M-11.6K0.9550.72N/AN/A4384182,5772,281
2015-03-09$29.90$30.0036.0%9.8%25.7%27.4%0.0%0.1%2.9%25.0K-4.2M-10.8K1.5483.46N/AN/A13202,5822,171
2015-03-10$29.07$30.0038.6%10.4%27.6%32.4%42.5%-1.0%2.4%10.3K-3.7M-11.1K0.0371.29N/AN/A694242,5812,171
2015-03-11$29.55$30.0037.1%10.6%28.3%34.5%40.0%0.6%2.0%40.7K-4.1M-11.9K0.0182.32N/AN/A665103,1502,193
2015-03-12$29.80$30.0036.9%10.6%26.6%34.0%0.0%0.3%1.9%72.5K-4.6M-13.0K0.0080.91N/AN/A003,7492,198
2015-03-13$29.65$30.0037.5%10.7%26.5%35.4%0.0%0.1%1.8%72.9K-4.5M-12.8K0.0074.31N/AN/A003,7492,198
2015-03-16$30.22$30.0036.1%10.3%27.3%32.0%38.1%0.3%2.9%93.0K-4.9M-12.1K0.0082.35N/AN/A1003,7492,198
2015-03-17$30.22$30.0035.6%10.2%27.2%30.7%36.0%1.3%2.9%95.6K-5.0M-11.8K0.0782.67N/AN/A8863,7522,198
2015-03-18$30.68$30.0035.5%10.2%26.3%30.6%35.5%-5.9%2.6%115.5K-5.5M-11.6K0.1587.64N/AN/A109163,7992,204
2015-03-19$30.61$30.0034.7%9.9%24.4%28.5%34.7%-5.6%3.9%115.3K-5.4M-11.7K0.6889.26N/AN/A28193,8052,206
2015-03-20$30.86$30.0035.3%10.1%22.4%30.2%35.4%-3.7%2.5%119.8K-5.8M-11.2K0.2087.40N/AN/A4083,8252,216
2015-03-23$30.77$30.0035.3%10.1%21.9%30.0%35.3%-3.7%3.3%116.3K-3.2M-10.7K3.0089.70N/AN/A392,5731,714
2015-03-24$30.27$30.0035.1%10.1%22.7%29.6%35.1%-4.5%2.5%99.0K-2.8M-10.4K2.3369.33N/AN/A372,5731,721
2015-03-25$29.61$30.0035.2%10.1%23.9%29.8%35.2%-8.9%3.2%76.6K-2.4M-10.1K2.6587.73N/AN/A17452,5721,723
2015-03-26$28.88$30.0035.8%10.3%24.2%31.3%35.9%2.2%2.9%45.2K-1.9M-10.2K0.2773.95N/AN/A6001602,5761,750
2015-03-27$28.99$30.0035.8%10.3%24.1%31.4%35.8%11.0%2.6%81.0K-2.2M-10.7K0.3075.88N/AN/A1032,8091,751
2015-03-30$29.19$30.0035.4%10.2%24.4%30.4%36.9%11.2%3.4%92.8K-2.3M-9.9K1.9097.31N/AN/A1342552,8091,748
2015-03-31$28.55$30.0036.2%10.4%25.0%32.4%36.0%-5.0%2.7%67.5K-1.9M-9.8K1.69100.51N/AN/A1512552,8091,808