COMM Options History — July 2015

In July 2015, COMM traded between $29.50 and $31.37. ATM implied volatility averaged 33.1%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 11.9% (HV 20d: 21.2%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 5.04.

Notable Days

  • 2015-07-30: Highest Volume — 3,894 contracts
  • 2015-07-28: Largest IV drop — 31.7% change
  • 2015-07-27: Highest IV Rank — 58.0%
  • 2015-07-27: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.60$29.50$31.37$30.75$31.37
Max Pain$30.82$30.00$31.00$30.00$31.00
ATM IV33.1%27.0%43.0%27.0%28.1%
Expected Move9.9%7.7%12.3%7.7%8.0%
HV 20d21.2%17.6%27.5%20.5%27.5%
HV 60d22.9%18.9%24.3%23.0%21.7%
IV Rank33.6%11.4%58.0%11.4%14.6%
IV Percentile49.9%4.0%84.9%4.0%7.5%
Term Structure-2.5%-7.7%8.3%8.3%-1.5%
VWIV34.5%25.3%42.5%26.1%27.4%
Skew 25d1.8%-0.3%3.5%0.3%1.7%
Skew 10d5.1%-2.1%17.0%3.4%16.5%
Call IV 25d34.5%26.7%42.7%27.8%26.7%
Put IV 25d36.3%27.0%45.0%28.1%28.3%
Bid-Ask Spread %71.8358.9594.5791.3891.10
Gamma HHI0.320.270.410.270.35
Net GEX-68.4K-356.5K187.7K111.5K-264.5K
Net DEX606.2K-2.7M6.2M-2.0M683.6K
Net VEX-19.8K-29.7K-8.6K-8.9K-23.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.040.3226.500.6813.49
Total Volume2,355.0451,0723,8941,1833,564
Total OI6,317.0452,8429,5912,8429,356

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$30.75$30.0027.0%7.7%20.5%11.4%26.1%0.3%8.3%111.5K-2.0M-8.9K0.6891.38N/AN/A7064772,181661
2015-07-02$30.77$30.0027.3%7.8%20.4%12.3%25.3%-0.3%5.4%124.1K-2.1M-8.6K0.3294.57N/AN/A1,4964772,196661
2015-07-06$30.55$30.0028.9%9.8%20.3%32.8%34.9%2.1%-2.0%187.7K-2.7M-11.3K0.5258.95N/AN/A7063662,986661
2015-07-07$30.47$30.0031.8%10.5%20.1%39.5%36.5%2.1%-2.7%174.0K-2.7M-11.2K2.6867.82N/AN/A7021,8832,986661
2015-07-08$29.50$31.0034.3%10.7%22.6%41.2%37.0%1.7%-2.7%15.7K938.5K-17.4K2.6866.14N/AN/A7021,8832,9842,233
2015-07-09$29.73$31.0032.7%10.3%22.1%37.6%36.1%1.5%-2.7%14.1K662.7K-17.7K2.6761.61N/AN/A7041,8832,9842,250
2015-07-10$29.78$31.0029.6%10.1%18.0%35.1%34.9%3.5%-2.6%7.5K787.9K-17.1K2.4760.46N/AN/A7331,8092,9842,250
2015-07-13$30.36$31.0028.4%10.1%19.5%35.0%34.7%2.3%-3.0%16.0K36.3K-17.3K2.1262.78N/AN/A7481,5883,0152,251
2015-07-14$30.54$31.0030.4%10.1%19.7%34.9%35.2%1.6%-3.5%25.9K-383.8K-17.6K2.1560.71N/AN/A7381,5883,0362,270
2015-07-15$30.41$31.0035.8%10.3%18.6%37.0%35.3%1.4%-3.7%23.1K-220.0K-17.2K2.4466.86N/AN/A6711,6383,0352,270
2015-07-16$30.64$31.0036.6%10.5%17.6%39.5%36.6%1.3%-5.1%25.1K-372.8K-17.6K1.6574.31N/AN/A8481,3973,0452,320
2015-07-17$31.37$31.0036.2%10.4%19.8%38.2%36.1%1.3%-4.4%-41.3K-232.0K-22.1K1.6564.89N/AN/A8481,3973,2223,321
2015-07-20$31.27$31.0037.2%10.7%19.8%41.2%37.3%2.3%-4.9%-40.1K-189.3K-21.2K4.3665.64N/AN/A3181,3862,6303,201
2015-07-21$30.85$31.0039.1%11.2%20.3%46.7%39.3%2.4%-5.9%-44.8K753.6K-20.7K2.7968.18N/AN/A3188862,6303,201
2015-07-22$30.82$31.0037.4%10.7%20.3%41.7%37.7%2.4%-5.0%-105.4K1.5M-22.2K11.1066.47N/AN/A3183,5292,6303,701
2015-07-23$30.74$31.0040.9%11.7%19.9%51.9%42.5%0.4%-6.5%-168.8K1.9M-26.5K26.5069.64N/AN/A1293,4192,6305,420
2015-07-24$30.63$31.0037.2%10.7%19.9%41.1%38.4%1.6%-3.0%-281.3K3.4M-29.7K19.4972.60N/AN/A1262,4562,6376,398
2015-07-27$29.95$31.0043.0%12.3%21.1%58.0%42.4%2.3%-7.7%-348.3K6.2M-29.7K2.3267.19N/AN/A5111,1842,6336,927
2015-07-28$31.14$31.0029.4%8.4%24.4%18.5%28.9%3.4%0.3%-293.0K2.0M-26.5K1.2577.80N/AN/A9001,1232,8756,498
2015-07-29$30.39$31.0028.9%8.3%25.9%17.1%29.0%1.4%-0.1%-356.5K4.2M-26.3K1.7785.13N/AN/A6351,1272,9396,652
2015-07-30$31.18$31.0028.1%8.0%27.5%14.6%27.9%2.1%-2.3%-284.5K1.1M-24.5K5.7685.97N/AN/A5763,3182,8916,663
2015-07-31$31.37$31.0028.1%8.0%27.5%14.6%27.4%1.7%-1.5%-264.5K683.6K-23.1K13.4991.10N/AN/A2463,3182,9076,449