COMM Options History — November 2015

In November 2015, COMM traded between $26.50 and $33.24. ATM implied volatility averaged 37.3%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 6.8% (HV 20d: 44.2%). Max pain ranged from $29.00 to $32.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 7.67.

Notable Days

  • 2015-11-06: Highest Volume — 26,239 contracts
  • 2015-11-06: Largest IV spike — 69.9% change
  • 2015-11-06: Highest IV Rank — 65.6%
  • 2015-11-06: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.97$26.50$33.24$32.80$28.62
Max Pain$30.55$29.00$32.00$31.00$30.00
ATM IV37.3%31.0%79.3%41.0%32.0%
Expected Move10.1%8.9%13.4%11.8%9.2%
HV 20d44.2%20.5%53.8%21.3%52.6%
HV 60d37.5%31.9%41.3%33.0%36.9%
IV Rank28.2%14.8%65.6%47.2%18.3%
IV Percentile49.1%29.0%95.6%88.5%33.7%
Term Structure-0.8%-9.2%4.6%-7.2%-1.0%
VWIV35.3%27.7%47.1%42.1%29.4%
Skew 25d5.5%1.8%7.0%5.0%6.7%
Skew 10d14.1%5.5%26.9%22.8%6.2%
Call IV 25d32.9%28.6%46.3%39.5%29.3%
Put IV 25d38.4%34.0%48.1%44.5%36.0%
Bid-Ask Spread %81.0740.86110.5785.0798.11
Gamma HHI0.590.270.940.320.49
Net GEX-562.7K-3.6M263.7K153.4K245.7K
Net DEX13.1M-3.2M43.9M-2.6M-2.8M
Net VEX-15.6K-43.3K-5.7K-8.2K-23.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.670.0060.160.870.02
Total Volume4,445.851226,23940259
Total OI11,232.752,86529,3082,8655,802

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$32.80$31.0041.0%11.8%21.3%47.2%42.1%5.0%-7.2%153.4K-2.6M-8.2K0.8785.07N/AN/A2151871,937928
2015-11-03$33.24$31.0041.8%12.0%20.5%49.6%40.3%7.0%-8.1%162.6K-3.1M-7.7K0.1881.69N/AN/A1,2312211,944936
2015-11-04$32.25$32.0044.0%12.6%22.5%56.6%42.2%6.4%-9.2%263.7K-2.9M-10.1K1.0493.76N/AN/A1,1431,1942,883977
2015-11-05$32.39$29.0046.7%10.6%22.4%34.3%38.6%5.7%-3.7%132.8K-1.5M-12.3K0.8255.64N/AN/A1,1439332,8831,906
2015-11-06$32.31$29.0079.3%13.4%22.5%65.6%47.1%1.8%-6.2%51.2K-1.2M-14.1K60.16110.57N/AN/A42925,8102,8832,403
2015-11-09$28.49$32.0036.4%9.8%50.6%25.2%32.9%6.1%0.8%-3.6M43.9M-43.3K45.0073.39N/AN/A39717,8653,17526,133
2015-11-10$27.78$31.0033.0%9.6%51.1%22.9%27.7%6.7%4.6%-2.3M39.2M-23.1K14.0688.94N/AN/A75010,5463,42718,555
2015-11-11$27.57$31.0033.2%9.5%51.0%22.0%34.8%5.3%1.2%-1.1M22.9M-16.0K12.68103.85N/AN/A83210,5463,77411,207
2015-11-12$27.20$31.0033.6%9.6%50.5%23.4%32.7%5.9%1.5%-1.1M26.0M-12.8K4.1179.12N/AN/A5802,3823,87711,784
2015-11-13$26.55$31.0034.2%9.8%49.9%25.2%36.6%5.5%1.2%-643.7K28.1M-9.9K1.9774.17N/AN/A4649143,88111,965
2015-11-16$26.50$31.0035.8%10.3%49.9%30.3%0.0%6.6%0.3%-555.5K28.4M-8.2K0.3370.83N/AN/A933,91911,937
2015-11-17$26.60$31.0034.0%9.7%50.0%24.5%39.1%5.3%1.0%-540.6K28.8M-7.3K2.3382.18N/AN/A3909093,91711,955
2015-11-18$27.43$31.0032.1%9.2%52.0%18.5%35.6%6.5%2.8%-1.5M27.1M-8.9K2.3886.41N/AN/A3618613,91911,952
2015-11-19$27.36$30.0032.7%9.4%51.6%20.3%32.2%4.4%2.3%-1.6M27.4M-7.4K2.3678.85N/AN/A3458143,94311,929
2015-11-20$28.12$30.0031.0%8.9%52.4%14.8%29.1%4.2%4.3%-71.1K15.1M-5.7K0.2082.23N/AN/A4,2118323,94211,936
2015-11-23$28.96$30.0031.3%9.0%53.8%16.0%31.5%5.9%-0.4%238.4K-3.2M-23.8K3.1274.95N/AN/A822564,522706
2015-11-24$28.41$30.0031.9%9.2%53.8%17.9%0.0%3.4%-0.2%203.0K-2.4M-23.5K0.0075.47N/AN/A1804,542960
2015-11-25$28.25$30.0031.8%9.1%52.1%17.4%28.7%6.1%0.0%198.8K-2.2M-23.3K0.8885.42N/AN/A5324704,560960
2015-11-27$28.60$30.0031.0%8.9%52.6%14.9%29.4%6.1%-0.2%240.6K-2.6M-23.4K0.8340.86N/AN/A5364474,830966
2015-11-30$28.62$30.0032.0%9.2%52.6%18.3%0.0%6.7%-1.0%245.7K-2.8M-23.3K0.0298.11N/AN/A5814,834968