COMM Options History — September 2015

In September 2015, COMM traded between $29.05 and $33.45. ATM implied volatility averaged 36.4%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 3.1% (HV 20d: 39.6%). Max pain ranged from $31.00 to $31.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.17.

Notable Days

  • 2015-09-04: Highest Volume — 1,371 contracts
  • 2015-09-28: Largest IV spike — 16.5% change
  • 2015-09-01: Highest IV Rank — 50.1%
  • 2015-09-28: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.54$29.05$33.45$31.72$29.98
Max Pain$31.00$31.00$31.00$31.00$31.00
ATM IV36.4%33.8%40.8%40.3%35.3%
Expected Move10.4%9.7%11.7%11.6%10.1%
HV 20d39.6%27.0%44.9%44.2%29.0%
HV 60d32.5%31.2%34.1%32.0%34.1%
IV Rank34.1%25.9%50.1%50.1%30.6%
IV Percentile60.0%42.9%82.1%82.1%51.6%
Term Structure2.2%-2.7%4.7%-2.7%4.7%
VWIV37.5%33.5%40.8%39.1%33.5%
Skew 25d4.1%1.9%6.2%1.9%6.2%
Skew 10d8.4%-1.2%16.9%-1.2%7.7%
Call IV 25d35.1%32.7%40.1%39.3%34.0%
Put IV 25d39.1%36.8%44.3%41.2%40.1%
Bid-Ask Spread %66.7547.6786.1180.6886.11
Gamma HHI0.280.220.320.290.32
Net GEX-83.4K-124.4K-43.7K-103.1K-124.4K
Net DEX604.7K-311.5K1.9M563.9K1.5M
Net VEX-8.3K-9.7K-6.3K-8.1K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.170.006.116.110.55
Total Volume820.23881,3711,173880
Total OI3,486.9521,9044,5833,8011,959

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$31.72$31.0040.3%11.6%44.2%50.1%39.1%1.9%-2.7%-103.1K563.9K-8.1K6.1180.68N/AN/A1651,0084533,348
2015-09-02$32.15$31.0038.1%10.9%44.2%43.8%39.6%3.5%-0.8%-118.0K738.9K-9.6K5.7781.63N/AN/A1801,0394973,792
2015-09-03$32.85$31.0035.9%10.2%44.4%31.8%38.4%3.9%1.8%-68.1K261.9K-8.6K4.7157.37N/AN/A2251,0595043,823
2015-09-04$32.70$31.0037.5%10.6%44.4%35.7%39.4%3.5%2.2%-96.1K349.0K-9.1K3.3959.71N/AN/A3121,0595583,843
2015-09-08$33.45$31.0037.9%10.5%44.9%34.6%36.1%3.6%0.3%-43.7K-311.5K-8.9K1.0753.46N/AN/A14156953,790
2015-09-09$33.35$31.0036.3%10.4%42.8%33.6%39.6%2.6%1.1%-51.7K-283.3K-9.1K2.8352.89N/AN/A3249187103,858
2015-09-10$32.95$31.0036.3%10.4%41.2%33.6%39.8%4.5%1.9%-52.8K-125.5K-9.2K2.8650.95N/AN/A3219197223,861
2015-09-11$31.58$31.0037.4%10.7%44.1%37.0%38.8%4.5%1.2%-96.1K617.5K-9.7K1.9147.67N/AN/A3085897213,862
2015-09-14$31.67$31.0036.4%10.4%44.1%34.1%39.1%4.5%2.1%-73.4K457.0K-9.0K1.7860.85N/AN/A3085497303,837
2015-09-15$31.83$31.0035.6%10.2%44.1%31.6%35.1%3.3%3.4%-70.2K324.3K-8.7K0.0063.86N/AN/A807293,797
2015-09-16$32.38$31.0034.6%9.9%44.2%28.2%36.2%4.1%2.9%-63.2K-12.5K-8.3K1.8462.99N/AN/A2995497273,797
2015-09-17$31.90$31.0034.8%10.0%44.5%28.8%36.8%3.8%2.7%-72.1K206.4K-8.4K1.8263.41N/AN/A3015497293,797
2015-09-18$31.48$31.0034.6%9.9%43.4%28.2%35.9%3.5%3.9%-73.3K400.0K-8.3K1.8266.33N/AN/A3015497403,797
2015-09-21$31.20$31.0034.5%9.9%40.2%28.1%36.2%4.6%3.6%-81.6K701.9K-8.0K1.4068.63N/AN/A2603646131,336
2015-09-22$30.67$31.0035.3%10.1%35.9%30.6%36.9%4.6%3.2%-87.0K955.4K-7.9K1.3866.36N/AN/A2643646181,341
2015-09-23$30.95$31.0033.8%9.7%35.6%25.9%36.0%4.0%4.6%-85.3K803.4K-7.9K1.4270.91N/AN/A2643766181,341
2015-09-24$30.76$31.0034.2%9.8%33.4%26.9%35.4%5.0%4.1%-89.1K911.7K-7.6K1.2980.58N/AN/A2913766181,313
2015-09-25$30.22$31.0035.0%10.0%31.0%29.6%35.1%3.5%3.7%-102.1K1.2M-7.3K1.2474.45N/AN/A2913605931,311
2015-09-28$29.50$31.0040.8%11.7%28.3%47.6%40.6%5.9%1.6%-99.5K1.6M-6.7K1.2274.94N/AN/A2913555931,311
2015-09-29$29.05$31.0040.4%11.6%27.0%46.6%40.8%4.2%1.8%-100.7K1.9M-6.3K1.1078.01N/AN/A2963255931,351
2015-09-30$29.98$31.0035.3%10.1%29.0%30.6%33.5%6.2%4.7%-124.4K1.5M-6.8K0.5586.11N/AN/A5683125981,361