COMM Options History — July 2016

In July 2016, COMM traded between $29.96 and $32.43. ATM implied volatility averaged 38.6%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 0.3% (HV 20d: 38.3%). Max pain ranged from $29.00 to $33.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 3.22.

Notable Days

  • 2016-07-28: Highest Volume — 6,994 contracts
  • 2016-07-28: Largest IV drop — 39.4% change
  • 2016-07-27: Highest IV Rank — 73.0%
  • 2016-07-27: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.43$29.96$32.43$30.78$29.97
Max Pain$31.35$29.00$33.00$33.00$32.00
ATM IV38.6%29.3%48.4%32.4%29.6%
Expected Move11.2%8.4%13.9%9.3%8.5%
HV 20d38.3%26.5%42.4%38.7%30.0%
HV 60d36.8%28.4%40.1%39.9%29.3%
IV Rank41.0%7.6%73.0%17.9%8.5%
IV Percentile69.7%11.9%94.8%31.7%12.3%
Term Structure-3.7%-11.3%4.5%4.5%-0.5%
VWIV40.3%26.9%50.8%33.0%26.9%
Skew 25d6.1%4.0%8.3%4.0%5.8%
Skew 10d14.7%10.4%32.3%15.6%14.5%
Call IV 25d36.8%27.2%46.5%32.4%27.2%
Put IV 25d42.9%33.0%51.4%36.4%33.0%
Bid-Ask Spread %85.3475.32107.9995.50107.99
Gamma HHI0.440.160.800.410.40
Net GEX-382.0K-987.1K24.9K-404.3K-253.5K
Net DEX5.6M2.1M12.7M8.3M6.9M
Net VEX-19.0K-35.1K-7.0K-16.0K-27.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.220.6711.090.752.61
Total Volume2,681.659036,9941,6335,897
Total OI7,956.63,46512,9436,55112,441

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$30.78$33.0032.4%9.3%38.7%17.9%33.0%4.0%4.5%-404.3K8.3M-16.0K0.7595.50N/AN/A9337001,4445,107
2016-07-05$30.17$29.0038.2%11.1%39.1%40.0%39.6%6.4%-1.7%-261.8K9.3M-13.4K0.6980.13N/AN/A9296431,6945,134
2016-07-06$30.65$29.0034.8%11.0%39.6%38.0%40.0%5.2%-1.8%-286.5K8.8M-13.2K0.6783.23N/AN/A9546431,6945,137
2016-07-07$31.15$29.0036.6%10.9%40.0%37.8%39.7%7.5%-2.2%-378.5K7.0M-14.0K1.4877.85N/AN/A4356431,9305,137
2016-07-08$32.28$29.0031.3%10.5%42.2%32.5%40.0%6.5%-1.1%-805.7K3.3M-14.1K1.0475.32N/AN/A4434601,9335,137
2016-07-11$32.16$29.0036.9%10.6%42.0%33.9%38.3%5.6%-1.3%-791.9K4.1M-12.0K0.9380.22N/AN/A5655231,9355,140
2016-07-12$32.43$30.0037.9%10.7%41.7%34.4%38.2%5.6%-3.3%-987.1K3.3M-11.3K0.9580.79N/AN/A5635372,0475,206
2016-07-13$31.79$30.0037.3%10.7%42.3%34.7%38.7%5.2%-1.7%-574.9K5.5M-9.7K1.2784.22N/AN/A4265412,0485,217
2016-07-14$32.05$30.0037.4%10.7%42.4%35.2%39.2%6.7%-1.9%-691.8K5.6M-8.5K0.6882.93N/AN/A7925421,9495,223
2016-07-15$31.91$30.0036.7%10.5%41.6%32.8%36.0%6.4%-1.8%24.9K7.7M-7.0K6.8283.05N/AN/A8105,5221,6975,221
2016-07-18$31.70$33.0041.4%11.9%41.6%49.0%41.1%6.2%-5.7%-183.7K3.2M-14.2K5.1386.77N/AN/A1758987492,716
2016-07-19$31.58$33.0041.7%12.0%41.5%49.9%43.4%6.6%-6.5%-182.0K3.4M-14.1K1.9783.55N/AN/A6591,2987512,738
2016-07-20$32.00$33.0042.7%12.2%41.8%53.4%43.1%6.5%-6.3%-103.2K2.1M-20.7K2.3480.11N/AN/A1,4083,2962,2193,521
2016-07-21$31.65$33.0043.1%12.4%41.9%54.7%46.8%7.6%-7.3%-177.1K3.5M-30.4K5.4083.88N/AN/A4222,2793,2056,044
2016-07-22$31.61$33.0042.5%12.2%41.9%52.6%46.8%8.3%-6.9%-172.8K3.3M-30.3K8.7588.31N/AN/A3222,8183,2716,048
2016-07-25$31.54$33.0045.3%13.0%33.3%62.2%48.8%6.6%-7.7%-199.9K3.7M-30.9K11.0987.03N/AN/A3223,5703,2816,577
2016-07-26$31.47$33.0048.1%13.8%26.9%71.9%50.8%5.6%-10.6%-312.2K5.6M-33.2K9.4184.56N/AN/A3132,9443,2817,597
2016-07-27$31.81$33.0048.4%13.9%26.5%73.0%48.1%4.9%-11.3%-359.8K5.5M-35.1K0.7783.42N/AN/A1,3671,0473,2848,436
2016-07-28$29.96$33.0029.3%8.4%30.7%7.6%27.5%5.7%0.6%-538.5K12.7M-25.4K1.5998.00N/AN/A2,7024,2924,3248,619
2016-07-29$29.97$32.0029.6%8.5%30.0%8.5%26.9%5.8%-0.5%-253.5K6.9M-27.0K2.61107.99N/AN/A1,6354,2625,1397,302