COMM Options History — January 2016

In January 2016, COMM traded between $21.34 and $25.57. ATM implied volatility averaged 43.8%, placing in the 55.4% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 14.0% (HV 20d: 29.9%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.73.

Notable Days

2016-01-14: Highest Volume — 1,128 contracts
2016-01-12: Largest IV drop — 15.1% change
2016-01-28: Highest IV Rank — 76.2%
2016-01-28: Largest Expected Move — 14.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.90	$21.34	$25.57	$25.57	$21.73
Max Pain	$25.84	$25.00	$27.00	$27.00	$25.00
ATM IV	43.8%	36.0%	50.1%	36.4%	47.8%
Expected Move	12.5%	10.8%	14.4%	10.8%	13.7%
HV 20d	29.9%	27.4%	32.9%	29.2%	32.9%
HV 60d	38.2%	37.1%	39.4%	37.1%	39.4%
IV Rank	55.4%	36.6%	76.2%	36.6%	74.0%
IV Percentile	88.1%	71.0%	96.0%	71.0%	95.2%
Term Structure	-3.3%	-7.4%	-0.2%	-0.4%	-7.4%
VWIV	42.1%	38.0%	47.0%	38.5%	47.0%
Skew 25d	7.2%	4.8%	14.0%	9.2%	8.0%
Skew 10d	14.3%	9.6%	30.2%	10.3%	30.2%
Call IV 25d	40.7%	35.9%	45.1%	36.0%	44.9%
Put IV 25d	47.9%	41.7%	53.1%	45.3%	53.0%
Bid-Ask Spread %	88.39	81.19	98.53	88.68	94.74
Gamma HHI	0.24	0.16	0.41	0.41	0.30
Net GEX	-926	-33.6K	49.1K	49.1K	-33.6K
Net DEX	1.3M	603.3K	1.9M	680.3K	1.6M
Net VEX	-3.3K	-7.2K	-1.6K	-7.2K	-5.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.73	1.31	3.17	1.37	2.19
Total Volume	902.842	567	1,128	1,011	825
Total OI	5,802.579	5,015	6,285	6,050	6,052

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-01-04	$25.57	$27.00	36.4%	10.8%	29.2%	36.6%	38.5%	9.2%	-0.4%	49.1K	680.3K	-7.2K	1.37	88.68	N/A	N/A	426	585	5,046	1,004
2016-01-05	$25.14	$27.00	36.0%	10.9%	28.4%	37.4%	38.0%	5.8%	-0.2%	4.2K	1.2M	-4.7K	1.35	86.79	N/A	N/A	426	576	5,043	1,004
2016-01-06	$24.33	$27.00	39.1%	11.6%	29.0%	45.6%	38.0%	14.0%	-2.0%	2.2K	1.5M	-4.2K	1.32	89.33	N/A	N/A	439	581	5,043	996
2016-01-07	$23.51	$27.00	44.0%	11.8%	30.8%	47.3%	39.8%	5.3%	-2.1%	-606	1.7M	-3.0K	1.43	83.50	N/A	N/A	405	581	5,064	1,001
2016-01-08	$23.31	$27.00	43.4%	12.0%	29.7%	50.1%	39.4%	6.0%	-2.0%	6.0K	1.8M	-2.7K	1.40	86.50	N/A	N/A	410	575	5,065	991
2016-01-11	$23.29	$27.00	47.3%	12.1%	28.7%	51.4%	39.9%	6.9%	-3.2%	2.9K	1.8M	-2.4K	1.49	81.19	N/A	N/A	399	595	5,067	989
2016-01-12	$23.61	$27.00	40.2%	11.1%	29.4%	39.7%	38.4%	6.8%	-1.1%	1.3K	1.8M	-2.2K	1.49	86.35	N/A	N/A	399	595	5,090	1,005
2016-01-13	$23.04	$27.00	41.5%	11.9%	30.0%	48.5%	40.8%	6.3%	-2.1%	3.7K	1.9M	-2.0K	1.31	89.73	N/A	N/A	453	595	5,090	1,005
2016-01-14	$23.29	$25.00	41.3%	11.8%	30.5%	47.8%	40.2%	6.7%	-2.1%	11.8K	1.7M	-2.3K	1.49	83.43	N/A	N/A	453	675	5,220	985
2016-01-15	$22.73	$25.00	42.8%	12.3%	31.1%	52.8%	41.0%	6.7%	-3.1%	8.7K	1.9M	-2.3K	1.38	87.16	N/A	N/A	453	625	5,220	1,065
2016-01-19	$22.36	$25.00	44.8%	12.8%	29.9%	59.1%	40.1%	8.2%	-3.1%	2.0K	631.9K	-1.8K	1.32	86.80	N/A	N/A	244	323	4,557	458
2016-01-20	$21.85	$25.00	45.3%	13.0%	28.6%	60.7%	45.3%	7.0%	-3.5%	1.1K	665.2K	-1.6K	1.36	98.53	N/A	N/A	245	333	4,582	460
2016-01-21	$21.97	$25.00	46.0%	13.2%	28.5%	63.1%	45.9%	7.3%	-4.1%	2.0K	647.9K	-1.7K	2.01	84.89	N/A	N/A	191	384	4,592	470
2016-01-22	$22.51	$25.00	42.8%	12.3%	30.1%	52.9%	43.8%	7.0%	-3.3%	5.3K	603.3K	-2.1K	3.17	83.48	N/A	N/A	231	733	4,622	521
2016-01-25	$21.71	$25.00	48.0%	13.8%	27.4%	69.5%	46.2%	4.8%	-5.7%	-14.0K	1.1M	-3.4K	1.81	88.15	N/A	N/A	236	428	4,683	874
2016-01-26	$22.31	$25.00	46.6%	13.4%	30.3%	64.9%	46.4%	6.5%	-4.4%	-12.1K	1.1M	-4.0K	2.21	89.35	N/A	N/A	307	678	4,708	923
2016-01-27	$21.48	$25.00	49.7%	14.2%	32.0%	74.8%	46.1%	5.7%	-5.8%	-29.4K	1.5M	-4.5K	2.57	97.15	N/A	N/A	259	666	4,679	1,173
2016-01-28	$21.34	$25.00	50.1%	14.4%	31.4%	76.2%	45.9%	8.0%	-6.2%	-28.2K	1.5M	-4.6K	2.19	93.56	N/A	N/A	259	566	4,727	1,175
2016-01-29	$21.73	$25.00	47.8%	13.7%	32.9%	74.0%	47.0%	8.0%	-7.4%	-33.6K	1.6M	-5.5K	2.19	94.74	N/A	N/A	259	566	4,727	1,325