COMM Options History — October 2015

In October 2015, COMM traded between $29.30 and $32.60. ATM implied volatility averaged 37.3%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 11.1% (HV 20d: 26.2%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.23.

Notable Days

  • 2015-10-09: Highest Volume — 2,158 contracts
  • 2015-10-12: Largest IV spike — 26.1% change
  • 2015-10-30: Highest IV Rank — 46.7%
  • 2015-10-30: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.16$29.30$32.60$29.30$32.46
Max Pain$31.09$31.00$32.00$31.00$31.00
ATM IV37.3%31.3%41.8%37.7%40.9%
Expected Move10.9%10.0%11.7%10.8%11.7%
HV 20d26.2%21.9%30.1%29.1%21.9%
HV 60d33.7%32.6%34.4%33.8%33.0%
IV Rank37.8%27.7%46.7%38.0%46.7%
IV Percentile71.5%48.0%87.7%70.6%87.7%
Term Structure-3.0%-6.5%5.7%4.8%-6.5%
VWIV37.9%34.8%40.6%36.9%40.6%
Skew 25d5.5%3.9%6.5%3.9%5.1%
Skew 10d13.7%4.1%25.0%4.1%21.3%
Call IV 25d36.0%33.4%38.7%36.8%38.1%
Put IV 25d41.5%38.9%44.9%40.7%43.2%
Bid-Ask Spread %79.5064.7290.7585.1878.56
Gamma HHI0.350.250.510.320.33
Net GEX-7.4K-346.7K138.3K-70.3K137.3K
Net DEX-658.4K-3.0M1.6M1.6M-2.2M
Net VEX-8.9K-12.2K-6.6K-7.3K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.464.870.460.82
Total Volume965.409282,158989397
Total OI3,035.1822,3384,6192,4532,806

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$29.30$31.0037.7%10.8%29.1%38.0%36.9%3.9%4.8%-70.3K1.6M-7.3K0.4685.18N/AN/A6773121,0501,403
2015-10-02$29.34$31.0035.0%10.0%27.6%27.7%34.8%4.7%5.7%-76.4K1.6M-7.1K0.5187.83N/AN/A6733421,0501,410
2015-10-05$29.92$32.0034.9%11.3%29.0%42.1%39.9%5.9%-3.2%-67.7K1.1M-7.0K0.0065.86N/AN/A0281,0491,370
2015-10-06$29.55$32.0035.1%11.7%27.3%46.6%40.2%6.2%-3.7%-81.1K1.4M-6.6K1.0364.72N/AN/A2322401,0501,394
2015-10-07$30.39$31.0034.7%11.4%29.8%43.3%39.2%6.2%-4.4%-61.5K654.0K-7.3K1.1474.22N/AN/A2582941,0881,447
2015-10-08$30.68$31.0032.4%10.5%30.1%32.6%36.7%6.3%-2.4%-51.5K387.7K-7.8K0.6072.70N/AN/A1,3207911,1571,551
2015-10-09$30.77$31.0031.3%10.2%26.4%29.2%35.1%5.8%-0.8%-89.6K-2.1K-12.2K0.6378.59N/AN/A1,3208382,1162,051
2015-10-12$31.06$31.0039.4%10.8%26.7%36.3%36.8%6.3%-3.9%-55.8K-762.9K-11.5K0.6779.57N/AN/A1,2748592,1212,024
2015-10-13$30.66$31.0041.8%10.9%26.9%37.3%36.2%4.7%-3.7%-244.4K951.4K-11.4K0.6976.24N/AN/A1,2748752,1162,474
2015-10-14$30.74$31.0037.5%10.8%26.0%35.9%37.3%4.7%-3.4%-296.1K754.9K-10.9K2.7181.42N/AN/A3198652,1162,493
2015-10-15$31.16$31.0037.8%10.8%26.2%36.8%38.2%6.4%-4.5%-346.7K-848.9K-10.3K4.8779.94N/AN/A3381,6472,1162,503
2015-10-16$31.78$31.0035.7%10.2%26.8%30.2%37.0%5.7%-2.8%104.3K-3.0M-8.9K4.6177.64N/AN/A3531,6282,0571,713
2015-10-19$31.68$31.0037.1%10.6%26.6%34.5%37.7%6.1%-3.7%105.3K-1.6M-8.9K0.6977.22N/AN/A2751901,589749
2015-10-20$31.65$31.0037.0%10.6%25.7%34.1%37.0%6.0%-3.2%103.3K-1.5M-8.8K0.7286.01N/AN/A2641901,596784
2015-10-21$31.34$31.0038.7%11.1%25.9%39.6%37.3%5.1%-4.2%101.1K-1.3M-8.8K0.8976.02N/AN/A2141901,638784
2015-10-22$31.69$31.0037.9%10.9%26.0%37.1%37.1%5.2%-4.0%106.1K-1.5M-8.8K1.0779.63N/AN/A1651771,628814
2015-10-23$32.20$31.0037.6%10.8%25.4%36.2%38.6%5.6%-3.7%111.7K-1.9M-8.9K1.2081.99N/AN/A1782141,651857
2015-10-26$32.34$31.0038.9%11.2%23.3%40.3%38.2%5.4%-3.6%116.0K-2.0M-8.8K0.5984.88N/AN/A3331951,698898
2015-10-27$31.65$31.0040.0%11.5%24.1%43.7%39.6%6.5%-4.7%117.3K-1.5M-9.0K0.6182.80N/AN/A3191951,879914
2015-10-28$32.60$31.0038.9%11.1%23.8%40.2%39.9%4.6%-5.1%138.3K-2.4M-9.0K0.6187.14N/AN/A3111891,866914
2015-10-29$32.45$31.0040.0%11.5%21.9%43.7%39.7%5.7%-5.1%137.1K-2.2M-8.8K0.6490.75N/AN/A2971891,866924
2015-10-30$32.46$31.0040.9%11.7%21.9%46.7%40.6%5.1%-6.5%137.3K-2.2M-8.7K0.8278.56N/AN/A2181791,872934