COMM Options History — September 2016

In September 2016, COMM traded between $29.40 and $31.03. ATM implied volatility averaged 27.4%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 10.8% (HV 20d: 16.6%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.24.

Notable Days

  • 2016-09-08: Highest Volume — 3,324 contracts
  • 2016-09-14: Largest IV drop — 20.9% change
  • 2016-09-13: Highest IV Rank — 12.9%
  • 2016-09-13: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.18$29.40$31.03$29.76$30.23
Max Pain$29.90$29.00$30.00$29.00$30.00
ATM IV27.4%25.1%36.8%26.6%25.8%
Expected Move7.8%7.2%8.5%7.6%7.4%
HV 20d16.6%13.9%18.6%18.6%17.8%
HV 60d27.9%23.0%31.1%30.7%23.0%
IV Rank5.7%0.0%12.9%2.5%2.3%
IV Percentile5.4%0.0%16.3%0.8%1.6%
Term Structure5.3%1.6%7.5%1.6%6.9%
VWIV27.8%24.6%32.1%32.1%25.8%
Skew 25d2.2%1.1%3.5%2.2%2.8%
Skew 10d4.7%-4.4%15.9%4.7%15.9%
Call IV 25d27.1%24.5%29.8%27.1%25.9%
Put IV 25d29.4%27.5%32.1%29.3%28.6%
Bid-Ask Spread %84.0464.50112.01112.0198.25
Gamma HHI0.240.200.280.250.23
Net GEX174.6K-3.0K354.0K153.7K186.0K
Net DEX-4.2M-5.7M-2.6M-2.6M-4.4M
Net VEX-23.4K-26.6K-21.0K-23.0K-21.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.160.540.280.25
Total Volume1,931.2381,4063,3241,7121,484
Total OI6,760.196,1007,9806,2746,346

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$29.76$29.0026.6%7.6%18.6%2.5%32.1%2.2%1.6%153.7K-2.6M-23.0K0.28112.01N/AN/A1,3383744,4811,793
2016-09-02$29.90$29.0025.5%7.3%17.9%0.0%26.3%2.9%2.2%182.5K-2.9M-22.6K0.2794.45N/AN/A1,3523674,4811,793
2016-09-06$29.81$30.0026.9%8.1%15.1%8.9%28.8%1.2%4.6%164.2K-2.7M-21.5K0.2864.50N/AN/A1,3943874,5061,795
2016-09-07$29.86$30.0025.8%8.0%14.8%8.0%28.8%1.7%4.6%177.5K-2.8M-21.4K0.2868.98N/AN/A1,3683874,5511,811
2016-09-08$29.77$30.0026.3%8.1%14.9%9.1%30.0%2.1%4.6%156.2K-2.6M-21.0K0.5475.23N/AN/A2,1601,1644,5521,811
2016-09-09$29.69$30.0027.8%8.0%14.1%8.0%28.3%2.5%5.2%97.5K-3.5M-26.2K0.1669.80N/AN/A2,2103585,3472,565
2016-09-12$29.84$30.0031.6%8.0%13.9%7.4%27.9%2.4%5.9%140.5K-4.1M-26.6K0.1676.47N/AN/A2,2103605,3872,567
2016-09-13$29.40$30.0036.8%8.5%14.9%12.9%29.3%2.3%4.1%17.8K-3.2M-25.4K0.1666.94N/AN/A2,2103605,3872,570
2016-09-14$29.50$30.0029.1%8.3%14.9%11.7%28.5%1.9%4.3%-3.0K-3.3M-24.8K0.1766.01N/AN/A2,2123835,3962,570
2016-09-15$30.41$30.0028.1%8.0%17.1%8.2%28.4%1.5%5.3%354.0K-5.4M-25.7K0.1782.69N/AN/A2,2013655,3942,586
2016-09-16$30.52$30.0027.5%7.9%17.0%6.5%28.8%3.5%4.7%195.8K-5.4M-24.4K0.1778.02N/AN/A2,2123745,3942,573
2016-09-19$31.03$30.0026.9%7.7%17.6%4.6%28.4%2.9%6.1%221.2K-5.7M-24.2K0.2675.97N/AN/A1,1483014,6741,426
2016-09-20$30.85$30.0027.0%7.8%18.0%4.9%28.2%2.4%5.4%216.4K-5.5M-24.3K0.2777.84N/AN/A1,1053014,7151,452
2016-09-21$30.57$30.0027.2%7.8%17.8%5.5%28.3%3.5%5.3%195.8K-4.9M-23.4K0.2495.74N/AN/A1,2022934,7211,452
2016-09-22$30.92$30.0025.1%7.2%16.1%0.0%26.5%3.2%7.4%229.4K-5.5M-24.1K0.2493.71N/AN/A1,2212934,8251,452
2016-09-23$30.32$30.0025.4%7.3%17.6%1.1%27.3%2.0%7.1%200.4K-4.8M-23.3K0.2495.50N/AN/A1,2212934,8501,452
2016-09-26$30.30$30.0027.1%7.8%17.1%6.4%26.1%1.1%5.8%195.2K-4.7M-22.5K0.2498.97N/AN/A1,2212934,8501,452
2016-09-27$30.50$30.0025.4%7.3%17.2%0.9%24.6%1.2%7.5%211.7K-5.0M-22.7K0.2399.12N/AN/A1,1912744,8501,452
2016-09-28$30.48$30.0026.4%7.6%17.2%4.3%25.6%2.3%7.1%202.4K-4.9M-22.0K0.2584.26N/AN/A1,1912944,8491,493
2016-09-29$30.08$30.0027.1%7.8%18.0%6.4%26.5%1.4%6.1%170.7K-4.3M-21.4K0.2590.31N/AN/A1,1902944,8501,493
2016-09-30$30.23$30.0025.8%7.4%17.8%2.3%25.8%2.8%6.9%186.0K-4.4M-21.5K0.2598.25N/AN/A1,1902944,8531,493