COMM Options History — August 2015

In August 2015, COMM traded between $27.86 and $32.54. ATM implied volatility averaged 31.4%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 1.3% (HV 20d: 32.7%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 7.55.

Notable Days

  • 2015-08-05: Highest Volume — 4,592 contracts
  • 2015-08-24: Largest IV spike — 24.2% change
  • 2015-08-24: Highest IV Rank — 48.6%
  • 2015-08-24: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.86$27.86$32.54$30.86$32.54
Max Pain$32.57$31.00$33.00$31.00$31.00
ATM IV31.4%27.5%39.8%28.6%35.6%
Expected Move8.9%7.9%11.4%8.2%10.2%
HV 20d32.7%25.6%43.1%28.1%43.1%
HV 60d25.1%21.6%31.6%21.9%31.6%
IV Rank23.3%13.0%48.6%16.1%36.4%
IV Percentile29.9%6.0%79.4%12.7%59.1%
Term Structure0.7%-2.8%4.5%-1.8%-2.2%
VWIV30.3%21.5%39.0%24.8%37.6%
Skew 25d2.0%-0.5%5.1%1.8%3.5%
Skew 10d7.8%-1.0%21.8%-0.1%18.7%
Call IV 25d30.6%27.4%38.5%29.2%34.3%
Put IV 25d32.6%28.3%41.2%31.0%37.8%
Bid-Ask Spread %77.8272.0392.7292.7278.91
Gamma HHI0.460.240.790.340.24
Net GEX-157.0K-841.9K202.8K-359.4K-82.4K
Net DEX580.1K-3.9M9.7M2.6M361.2K
Net VEX-14.2K-23.7K-6.7K-23.7K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.550.0024.500.002.09
Total Volume2,372.095104,592201,009
Total OI8,088.7143,12610,4569,8753,685

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$30.86$31.0028.6%8.2%28.1%16.1%24.8%1.8%-1.8%-359.4K2.6M-23.7K0.0092.72N/AN/A2002,9266,949
2015-08-04$31.13$31.0028.3%8.1%28.2%15.4%28.2%1.8%-1.8%-330.7K1.3M-22.6K12.3389.93N/AN/A2693,3182,9256,949
2015-08-05$31.59$31.0027.5%7.9%25.6%13.0%27.8%1.6%-1.1%-239.8K61.6K-21.0K2.6088.64N/AN/A1,2743,3182,9106,449
2015-08-06$31.15$33.0029.7%8.1%26.3%14.8%31.2%2.3%2.2%-124.4K454.6K-23.0K2.5174.07N/AN/A1,2613,1603,9116,449
2015-08-07$31.22$33.0029.1%8.2%26.3%16.5%31.9%1.4%2.5%-104.8K30.0K-22.1K11.0774.75N/AN/A2813,1103,9336,481
2015-08-10$31.57$33.0029.6%8.2%25.8%16.4%21.5%1.7%2.7%-767-1.5M-19.4K10.5275.91N/AN/A2873,0183,9426,490
2015-08-11$30.50$33.0032.6%7.9%28.7%13.4%0.0%-0.5%4.5%-290.5K3.1M-19.3K0.0076.09N/AN/A1003,9476,498
2015-08-12$31.69$33.0028.9%8.3%31.7%17.1%36.1%1.9%2.2%28.6K-2.9M-17.5K13.8974.54N/AN/A2984,1383,9586,498
2015-08-13$31.51$33.0028.5%8.2%31.8%16.0%22.2%1.4%2.6%53.5K-2.3M-16.0K10.6672.67N/AN/A3884,1383,9595,936
2015-08-14$31.61$33.0028.3%8.1%30.7%15.3%22.6%1.1%2.6%57.8K-2.6M-14.4K10.6679.52N/AN/A3884,1383,8745,936
2015-08-17$31.76$33.0028.4%8.2%30.7%15.7%24.2%1.9%2.3%202.8K-3.9M-11.7K14.5777.03N/AN/A2844,1383,8745,936
2015-08-18$31.33$33.0029.0%8.3%30.7%17.2%23.3%1.7%2.4%-89.2K-2.1M-10.3K14.5778.22N/AN/A2844,1383,8715,936
2015-08-19$31.53$33.0028.8%8.2%30.8%16.7%0.0%1.4%2.3%14.3K-2.7M-9.3K24.5074.21N/AN/A2493,8705,936
2015-08-20$30.61$33.0029.7%8.5%32.6%19.2%32.2%1.5%2.6%-841.9K2.8M-9.1K9.0575.98N/AN/A3343,0223,8715,919
2015-08-21$29.28$33.0032.0%9.2%36.2%26.1%29.5%1.3%1.4%-211.1K9.7M-8.7K2.7079.58N/AN/A2506743,8365,910
2015-08-24$27.86$33.0039.8%11.4%39.4%48.6%39.0%2.7%-2.8%-246.3K3.2M-10.0K3.6872.03N/AN/A943462222,904
2015-08-25$28.35$33.0039.1%11.2%37.0%46.6%35.7%1.5%-2.3%-247.2K2.7M-9.7K4.0772.48N/AN/A853462332,921
2015-08-26$29.47$33.0037.0%10.6%39.2%40.6%35.7%5.1%-0.0%-203.9K1.9M-8.8K3.7275.42N/AN/A973612392,949
2015-08-27$30.65$33.0034.4%9.9%40.8%33.1%35.8%4.0%-1.6%-158.3K1.3M-8.5K2.7275.48N/AN/A1534162703,103
2015-08-28$31.86$32.0034.9%10.0%43.1%34.4%36.6%2.5%-1.6%-123.6K633.1K-6.8K2.6976.08N/AN/A2496693003,158
2015-08-31$32.54$31.0035.6%10.2%43.1%36.4%37.6%3.5%-2.2%-82.4K361.2K-6.7K2.0978.91N/AN/A3276823503,335