COMM Options History — February 2016

In February 2016, COMM traded between $19.84 and $25.28. ATM implied volatility averaged 49.3%, placing in the 67.6% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 7.2% (HV 20d: 56.5%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.97.

Notable Days

  • 2016-02-03: Highest Volume — 2,050 contracts
  • 2016-02-10: Largest IV drop — 27.0% change
  • 2016-02-02: Highest IV Rank — 100.0%
  • 2016-02-02: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.67$19.84$25.28$23.07$25.28
Max Pain$21.60$20.00$25.00$25.00$24.00
ATM IV49.3%35.5%70.4%48.3%37.1%
Expected Move13.4%10.2%16.1%13.8%10.6%
HV 20d56.5%40.7%67.5%40.7%63.8%
HV 60d42.4%36.7%45.8%41.5%45.8%
IV Rank67.6%30.6%100.0%75.6%36.0%
IV Percentile84.2%48.8%100.0%96.0%64.3%
Term Structure-4.0%-11.0%2.2%-7.7%-2.1%
VWIV47.7%36.5%58.4%48.2%38.9%
Skew 25d7.0%3.6%10.5%7.9%4.9%
Skew 10d18.4%6.8%27.7%22.6%27.4%
Call IV 25d44.1%32.8%56.9%45.5%34.5%
Put IV 25d51.1%39.4%63.6%53.4%39.4%
Bid-Ask Spread %78.8852.47101.3397.9099.66
Gamma HHI0.180.150.300.270.17
Net GEX-16.6K-40.7K-1.6K-38.5K-2.1K
Net DEX837.7K-456.8K1.9M1.5M-77.1K
Net VEX-4.7K-7.6K-3.3K-7.0K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.971.463.443.041.86
Total Volume966.354822,050974606
Total OI4,8411,0656,7606,2611,396

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$23.07$25.0048.3%13.8%40.7%75.6%48.2%7.9%-7.7%-38.5K1.5M-7.0K3.0497.90N/AN/A2417334,7291,532
2016-02-02$21.47$25.0056.3%16.1%46.9%100.0%55.8%3.6%-11.0%-36.6K1.8M-6.6K2.1193.72N/AN/A4609714,8041,532
2016-02-03$21.87$24.0056.3%16.1%47.8%100.0%58.4%6.7%-9.3%-40.7K1.9M-7.6K3.4494.42N/AN/A4621,5884,9821,778
2016-02-04$22.17$21.0057.3%13.3%47.3%66.5%47.8%7.4%-2.2%-15.0K1.1M-4.9K1.8652.47N/AN/A3516544,9841,178
2016-02-05$21.36$21.0061.2%14.2%47.5%77.1%49.0%6.4%-3.4%-21.9K1.3M-4.4K1.9159.70N/AN/A3436544,9841,162
2016-02-08$20.21$21.0068.0%15.3%50.8%90.1%51.9%9.6%-4.5%-23.9K1.5M-3.5K1.7358.48N/AN/A3836644,9781,162
2016-02-09$20.13$20.0070.4%15.5%50.8%92.5%53.1%7.8%-5.2%-18.4K1.4M-3.7K1.7660.25N/AN/A3836745,0291,172
2016-02-10$20.52$20.0051.3%14.7%51.1%83.3%51.0%7.3%-4.7%-20.9K1.4M-3.9K1.6669.19N/AN/A4056745,0861,182
2016-02-11$19.84$20.0054.0%15.5%51.7%92.3%52.5%10.5%-5.7%-21.3K1.6M-3.3K1.7765.27N/AN/A4237495,1061,182
2016-02-12$20.56$20.0052.1%14.9%53.5%86.0%52.0%9.1%-5.9%-20.4K1.4M-4.0K1.4669.84N/AN/A4266215,1361,257
2016-02-16$22.17$20.0052.5%15.0%60.3%87.1%54.4%7.7%-6.4%-16.5K946.2K-4.2K1.5168.56N/AN/A4076155,1871,308
2016-02-17$23.08$20.0050.2%14.4%61.8%79.7%53.2%7.2%-4.8%-4.0K541.9K-4.4K2.1069.51N/AN/A3076455,1971,312
2016-02-18$22.48$20.0050.0%14.3%62.0%78.9%54.7%6.6%-3.5%-19.5K825.7K-4.1K1.4678.59N/AN/A4917185,1911,362
2016-02-19$24.10$20.0038.0%10.9%66.5%39.0%41.3%4.7%2.2%-10.4K-456.8K-4.1K1.7781.29N/AN/A3957015,3941,190
2016-02-22$25.13$21.0036.2%10.4%67.5%33.0%36.5%7.0%-1.0%-10.7K83.5K-4.1K1.6689.54N/AN/A200331356709
2016-02-23$24.95$21.0036.7%10.5%65.9%34.5%40.1%5.7%-1.9%-1.6K29.8K-4.6K2.2690.86N/AN/A148334497743
2016-02-24$25.24$21.0037.6%10.8%65.5%37.4%39.0%6.7%-2.4%-1.9K-23.0K-4.7K2.1892.02N/AN/A161351496754
2016-02-25$24.78$24.0036.2%10.4%64.1%33.0%38.9%5.9%-0.3%-5.3K87.4K-5.0K1.9784.97N/AN/A178351548829
2016-02-26$25.00$24.0035.5%10.2%63.9%30.6%38.2%6.6%-0.8%-3.0K10.0K-4.9K1.97101.33N/AN/A178351567829
2016-02-29$25.28$24.0037.1%10.6%63.8%36.0%38.9%4.9%-2.1%-2.1K-77.1K-4.9K1.8699.66N/AN/A212394567829