COMM Options History — March 2016

In March 2016, COMM traded between $25.85 and $28.01. ATM implied volatility averaged 33.1%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 9.4% (HV 20d: 42.5%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2016-03-31: Highest Volume — 1,258 contracts
  • 2016-03-09: Largest IV drop — 9.6% change
  • 2016-03-01: Highest IV Rank — 29.8%
  • 2016-03-01: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.88$25.85$28.01$26.35$28.01
Max Pain$23.55$23.00$24.00$24.00$24.00
ATM IV33.1%29.2%38.5%35.3%29.2%
Expected Move9.4%8.4%10.1%10.1%8.4%
HV 20d42.5%27.1%62.1%62.1%27.1%
HV 60d46.2%45.5%46.7%46.3%46.0%
IV Rank21.5%9.6%29.8%29.8%9.6%
IV Percentile33.0%11.9%46.4%46.4%11.9%
Term Structure3.7%-0.0%6.4%0.6%6.4%
VWIV33.5%30.8%36.8%36.8%32.5%
Skew 25d4.7%3.0%6.3%5.5%6.2%
Skew 10d12.6%3.6%26.4%26.4%23.6%
Call IV 25d31.2%27.2%34.5%34.5%27.2%
Put IV 25d35.9%33.3%40.0%40.0%33.4%
Bid-Ask Spread %91.2073.83110.3492.82110.34
Gamma HHI0.190.120.270.150.25
Net GEX42.4K94084.3K94077.5K
Net DEX-896.3K-1.7M-391.1K-391.1K-1.7M
Net VEX-7.2K-8.3K-5.4K-5.4K-7.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.611.080.890.63
Total Volume872.7276381,2588561,258
Total OI2,327.51,5342,6641,5342,664

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$26.35$24.0035.3%10.1%62.1%29.8%36.8%5.5%0.6%940-391.1K-5.4K0.8992.82N/AN/A452404636898
2016-03-02$27.29$24.0034.4%9.8%55.4%26.7%35.9%5.9%-0.0%24.9K-912.8K-6.4K0.9795.32N/AN/A432419923994
2016-03-03$27.12$24.0034.7%9.8%55.7%25.6%34.4%5.1%4.0%27.3K-932.6K-7.0K0.9774.93N/AN/A4324191,0131,035
2016-03-04$27.40$24.0035.3%9.8%55.7%26.2%34.8%4.7%3.1%30.1K-1.1M-6.7K0.9677.20N/AN/A4043861,0131,035
2016-03-07$26.90$24.0035.3%9.7%53.9%24.7%34.6%5.6%3.6%27.8K-851.0K-6.7K0.9373.83N/AN/A4043771,0231,043
2016-03-08$25.85$24.0038.5%9.9%51.6%26.8%34.4%3.0%3.7%15.3K-392.9K-6.8K0.9481.62N/AN/A4043801,0251,072
2016-03-09$26.25$23.0034.8%10.0%51.3%28.3%34.4%4.5%3.3%19.9K-529.1K-6.7K1.0885.57N/AN/A3553851,0251,075
2016-03-10$26.16$23.0034.7%9.9%51.6%27.8%34.3%4.8%3.0%17.4K-465.3K-7.0K0.7682.84N/AN/A4623491,0441,141
2016-03-11$26.87$23.0032.6%9.4%48.8%21.0%33.1%6.3%3.3%40.4K-896.7K-7.4K0.9178.90N/AN/A3803461,1721,171
2016-03-14$26.85$23.0033.3%9.5%48.5%23.1%33.3%5.1%4.4%43.6K-902.3K-7.4K0.9284.46N/AN/A3753441,2171,202
2016-03-15$26.58$23.0032.9%9.4%43.2%21.7%33.3%5.2%3.5%36.8K-768.1K-7.4K0.8992.02N/AN/A3773371,2281,222
2016-03-16$27.13$23.0033.8%9.7%41.9%25.0%33.5%5.1%2.8%55.2K-1.1M-7.3K0.6495.82N/AN/A5293361,2441,243
2016-03-17$27.44$23.0031.9%9.2%39.8%18.7%32.1%4.5%3.5%84.3K-1.5M-7.7K0.6283.18N/AN/A5453371,3961,243
2016-03-18$27.28$23.0031.4%9.0%33.3%16.8%31.2%3.3%4.3%44.4K-1.5M-7.6K0.6197.79N/AN/A5523371,4031,243
2016-03-21$27.20$23.0032.1%9.2%30.7%19.2%31.9%4.5%4.0%46.6K-827.5K-7.3K0.6689.37N/AN/A3842541,1151,086
2016-03-22$27.13$23.0031.5%9.0%30.5%17.1%33.6%4.5%4.2%48.2K-815.0K-7.3K0.8699.36N/AN/A5284541,1151,086
2016-03-23$26.43$24.0032.0%9.2%32.2%19.1%32.5%3.2%4.2%47.4K-670.1K-8.3K0.86103.90N/AN/A5284541,3461,286
2016-03-24$26.49$24.0031.2%9.0%31.2%16.3%33.3%3.3%5.1%47.7K-623.9K-8.2K0.8692.85N/AN/A5284541,3461,286
2016-03-28$26.47$24.0032.2%9.2%31.2%19.5%32.5%4.1%5.0%52.7K-667.3K-7.8K0.81103.54N/AN/A5584531,3461,286
2016-03-29$26.82$24.0030.6%8.8%31.3%14.2%33.8%5.0%5.2%64.8K-931.6K-7.6K0.79107.59N/AN/A5754531,3461,286
2016-03-30$27.34$24.0030.8%8.8%28.5%14.8%30.8%4.5%4.5%78.8K-1.3M-7.5K0.84103.04N/AN/A5754851,3461,286
2016-03-31$28.01$24.0029.2%8.4%27.1%9.6%32.5%6.2%6.4%77.5K-1.7M-7.3K0.63110.34N/AN/A7734851,3461,318