COMM Options History — August 2016

In August 2016, COMM traded between $28.49 and $29.95. ATM implied volatility averaged 28.1%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 0.5% (HV 20d: 27.6%). Max pain ranged from $29.00 to $32.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 4.52.

Notable Days

  • 2016-08-01: Highest Volume — 5,866 contracts
  • 2016-08-08: Largest IV spike — 20.0% change
  • 2016-08-02: Highest IV Rank — 15.6%
  • 2016-08-02: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.05$28.49$29.95$29.57$29.49
Max Pain$29.65$29.00$32.00$32.00$29.00
ATM IV28.1%25.8%32.3%29.9%28.1%
Expected Move8.0%7.4%9.1%8.6%8.0%
HV 20d27.6%18.8%31.5%30.3%18.8%
HV 60d30.5%29.4%30.8%29.4%30.7%
IV Rank4.7%0.0%15.6%9.5%7.4%
IV Percentile5.3%0.0%22.6%12.7%7.9%
Term Structure2.5%-1.9%5.2%-0.6%1.4%
VWIV29.4%27.2%43.6%31.6%31.5%
Skew 25d3.3%0.5%7.6%5.5%2.9%
Skew 10d5.9%-65.1%72.8%3.1%2.6%
Call IV 25d27.8%25.1%30.4%28.8%27.0%
Put IV 25d31.1%28.2%35.3%34.4%29.8%
Bid-Ask Spread %104.6586.77120.26107.34103.17
Gamma HHI0.360.210.480.410.24
Net GEX-200.6K-452.7K143.9K-304.5K119.3K
Net DEX6.5M-2.6M12.5M8.5M-2.1M
Net VEX-19.1K-25.1K-13.8K-24.0K-22.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.520.0018.182.650.27
Total Volume3,081.826445,8665,8661,752
Total OI10,261.6524,41313,55412,2906,275

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$29.57$32.0029.9%8.6%30.3%9.5%31.6%5.5%-0.6%-304.5K8.5M-24.0K2.65107.34N/AN/A1,6054,2614,9887,302
2016-08-02$28.65$32.0031.7%9.1%31.5%15.6%31.4%5.0%-1.9%-365.6K11.4M-20.2K18.18109.01N/AN/A2173,9444,8257,330
2016-08-03$29.03$32.0029.9%8.6%31.3%9.5%43.6%3.9%-0.2%-349.4K9.8M-21.8K11.53111.36N/AN/A3423,9444,8397,355
2016-08-04$28.76$32.0029.6%8.7%30.5%10.7%30.9%3.3%2.8%-374.8K10.4M-20.3K10.0791.93N/AN/A3913,9394,8687,355
2016-08-05$29.21$32.0027.0%8.1%27.8%4.2%28.4%3.8%4.4%-349.4K9.7M-20.4K10.3686.77N/AN/A3813,9464,9967,420
2016-08-08$28.49$29.0032.3%8.6%28.7%9.7%29.1%3.1%3.8%-417.7K12.2M-16.9K10.4587.89N/AN/A3803,9715,0437,436
2016-08-09$28.80$29.0028.3%8.0%28.8%2.3%29.0%4.1%4.5%-429.9K11.7M-16.1K12.04105.04N/AN/A3283,9485,0617,456
2016-08-10$28.89$29.0027.8%8.0%28.5%2.4%28.3%2.6%4.7%-414.2K11.4M-15.7K12.1390.17N/AN/A3273,9674,9997,398
2016-08-11$28.55$29.0027.4%7.8%28.2%0.8%28.1%3.6%4.7%-452.7K12.5M-13.9K3.0799.48N/AN/A1,2933,9675,0147,417
2016-08-12$28.82$29.0027.2%7.8%28.7%0.3%28.0%2.9%4.4%-380.5K10.4M-19.1K3.07109.34N/AN/A1,2923,9686,0097,246
2016-08-15$29.05$29.0027.7%7.9%29.1%1.9%27.8%3.6%4.2%-331.2K9.7M-17.4K2.85102.06N/AN/A1,3883,9596,0207,236
2016-08-16$29.01$29.0027.4%7.9%29.1%1.0%27.6%4.5%5.0%-340.8K9.9M-16.5K1.65102.20N/AN/A3886396,1147,255
2016-08-17$28.59$29.0027.2%7.8%28.5%0.1%27.7%7.6%4.5%-309.4K11.5M-14.7K3.89117.78N/AN/A9356,1277,226
2016-08-18$28.54$29.0026.5%7.6%28.5%0.0%27.7%1.6%5.0%-337.1K11.8M-13.8K0.00103.92N/AN/A24516,1297,222
2016-08-19$28.59$29.0026.9%7.7%28.6%1.3%29.7%0.5%5.2%-65.8K11.6M-14.8K0.31120.26N/AN/A1,5094756,3337,221
2016-08-22$28.72$29.0026.6%7.6%28.8%0.4%27.5%3.1%2.2%-39.2K-68.6K-17.4K0.28106.23N/AN/A1,2543452,7101,703
2016-08-23$29.21$29.0025.8%7.4%29.8%0.0%28.4%2.8%2.3%-13.8K-767.6K-18.4K0.28111.69N/AN/A1,3273722,7831,749
2016-08-24$29.95$29.0027.8%8.0%31.1%6.7%27.2%3.2%-0.2%26.7K-1.7M-19.9K0.02115.17N/AN/A1,611302,8661,769
2016-08-25$29.80$29.0026.7%7.7%22.7%2.9%27.4%1.7%0.4%143.9K-2.6M-25.1K0.21100.92N/AN/A1,8923924,4031,779
2016-08-26$29.48$29.0027.7%8.0%23.0%6.4%28.5%2.9%0.7%122.8K-2.1M-24.0K0.20115.96N/AN/A1,8923854,4521,779
2016-08-29$29.53$29.0028.3%8.1%22.6%8.2%27.9%2.1%-0.3%121.7K-2.3M-23.4K0.2092.84N/AN/A1,8923854,4621,793
2016-08-30$29.50$29.0027.9%8.0%19.3%6.9%28.1%2.1%1.4%126.8K-2.2M-23.2K0.20116.48N/AN/A1,9123824,4621,793
2016-08-31$29.49$29.0028.1%8.0%18.8%7.4%31.5%2.9%1.4%119.3K-2.1M-22.9K0.27103.17N/AN/A1,3783744,4821,793