COMM Options History — December 2015

In December 2015, COMM traded between $24.97 and $28.53. ATM implied volatility averaged 33.7%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 2.2% (HV 20d: 35.9%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.98.

Notable Days

  • 2015-12-18: Highest Volume — 2,509 contracts
  • 2015-12-11: Largest IV spike — 20.0% change
  • 2015-12-14: Highest IV Rank — 49.6%
  • 2015-12-14: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.19$24.97$28.53$28.53$25.97
Max Pain$28.18$28.00$30.00$30.00$28.00
ATM IV33.7%30.0%41.8%32.5%30.3%
Expected Move9.5%8.6%12.0%9.3%8.7%
HV 20d35.9%27.9%53.3%52.3%30.4%
HV 60d37.4%36.9%38.5%36.9%37.5%
IV Rank22.3%11.6%49.6%19.6%12.6%
IV Percentile37.9%16.3%88.5%34.9%17.9%
Term Structure3.5%-1.8%6.1%-1.8%5.8%
VWIV31.3%21.6%40.0%34.5%30.2%
Skew 25d4.4%2.0%6.5%3.8%5.3%
Skew 10d8.7%-5.5%21.3%15.2%7.0%
Call IV 25d31.9%28.8%38.5%30.6%28.8%
Put IV 25d36.2%32.2%45.1%34.4%34.0%
Bid-Ask Spread %82.4064.52100.74100.7488.31
Gamma HHI0.450.370.580.480.37
Net GEX110.3K-213.1K411.0K242.5K44.6K
Net DEX13.9K-2.5M1.4M-2.5M635.6K
Net VEX-12.5K-22.8K-7.3K-22.8K-7.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.980.704.850.811.57
Total Volume1,054.95522,5097957
Total OI6,138.9095,7477,4985,7476,045

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$28.53$30.0032.5%9.3%52.3%19.6%34.5%3.8%-1.8%242.5K-2.5M-22.8K0.00100.74N/AN/A074,780967
2015-12-02$27.74$30.0032.5%9.3%52.2%19.7%34.9%3.0%-1.5%196.4K-1.8M-19.9K0.8185.77N/AN/A5614534,780974
2015-12-03$26.95$28.0033.8%9.2%52.1%18.6%32.6%4.8%3.8%150.9K-831.9K-17.7K1.7170.77N/AN/A2664564,785978
2015-12-04$27.48$28.0031.6%9.0%52.9%16.5%32.4%4.4%4.2%167.3K-955.8K-17.2K1.7874.94N/AN/A2674764,786978
2015-12-07$26.72$28.0035.0%9.3%53.3%19.2%0.0%4.2%3.8%128.0K-379.3K-15.4K1.0080.54N/AN/A114,798998
2015-12-08$26.53$28.0037.8%9.3%30.9%19.8%33.9%5.0%3.9%120.7K-292.6K-15.1K1.8373.66N/AN/A2634814,798999
2015-12-09$25.79$28.0034.9%10.0%31.2%27.4%34.5%6.4%3.4%88.8K278.6K-12.3K3.7675.61N/AN/A2639894,7981,006
2015-12-10$26.20$28.0033.1%9.5%31.9%21.8%33.0%5.1%4.1%72.9K384.4K-13.1K3.6477.43N/AN/A2669684,7981,251
2015-12-11$25.84$28.0039.7%11.4%31.9%42.9%37.4%6.5%0.5%71.0K461.4K-12.9K2.6364.52N/AN/A2767274,7941,260
2015-12-14$25.45$28.0041.8%12.0%31.3%49.6%40.0%6.5%-0.2%61.6K621.6K-12.4K0.7066.99N/AN/A1,0387244,8041,270
2015-12-15$25.26$28.0037.0%10.6%31.3%34.3%37.6%6.0%3.4%193.8K431.4K-11.7K2.8474.51N/AN/A2677585,5691,270
2015-12-16$25.39$28.0033.4%9.6%31.4%22.7%35.7%3.4%6.1%163.7K851.8K-8.4K4.8592.46N/AN/A2411,1705,6031,311
2015-12-17$25.88$28.0033.8%9.7%30.0%23.8%30.2%2.0%4.0%411.0K-301.6K-12.3K1.8984.48N/AN/A7451,4095,6131,447
2015-12-18$24.97$28.0033.5%9.6%32.2%22.9%27.4%4.9%4.8%-213.1K1.4M-9.3K0.8575.90N/AN/A1,3581,1516,0961,402
2015-12-21$25.17$28.0032.8%9.4%30.3%20.8%26.2%4.2%4.8%53.2K719.3K-9.1K1.7587.97N/AN/A3395935,006996
2015-12-22$25.39$28.0032.1%9.2%27.9%18.6%24.6%3.2%5.3%54.3K637.2K-8.5K1.7988.70N/AN/A3366015,015996
2015-12-23$26.33$28.0030.6%8.8%31.3%13.7%28.5%3.5%4.6%101.8K-12.2K-11.4K1.7490.78N/AN/A3456015,0211,011
2015-12-24$26.33$28.0030.0%8.6%31.4%11.6%21.6%3.3%5.4%103.1K-132.7K-11.5K1.6484.25N/AN/A3666015,0251,011
2015-12-28$26.13$28.0032.4%9.3%30.8%19.4%29.5%3.3%4.3%77.9K274.8K-9.1K1.6486.89N/AN/A3666014,9981,011
2015-12-29$26.32$28.0031.7%9.1%31.1%17.3%23.5%3.6%3.6%81.4K216.6K-9.0K1.6095.44N/AN/A3745984,9981,002
2015-12-30$25.85$28.0031.6%9.1%31.4%17.0%29.0%4.0%4.3%54.7K569.2K-7.9K1.6192.06N/AN/A3645855,0061,002
2015-12-31$25.97$28.0030.3%8.7%30.4%12.6%30.2%5.3%5.8%44.6K635.6K-7.3K1.5788.31N/AN/A3725855,0411,004