COMM Options History — October 2016

In October 2016, COMM traded between $30.15 and $32.00. ATM implied volatility averaged 36.2%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 16.2% (HV 20d: 20.1%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2016-10-10: Highest Volume — 4,792 contracts
  • 2016-10-12: Largest IV spike — 35.4% change
  • 2016-10-31: Highest IV Rank — 80.0%
  • 2016-10-31: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.21$30.15$32.00$30.25$30.61
Max Pain$30.29$30.00$31.00$30.00$30.00
ATM IV36.2%25.3%50.1%27.8%50.1%
Expected Move10.9%7.4%14.4%8.0%14.4%
HV 20d20.1%17.7%22.0%17.7%22.0%
HV 60d21.4%18.6%23.3%21.7%19.0%
IV Rank41.2%2.9%80.0%8.7%80.0%
IV Percentile66.1%2.4%96.0%11.5%96.0%
Term Structure-4.4%-12.6%8.3%7.0%-12.6%
VWIV38.9%26.7%52.0%27.7%52.0%
Skew 25d2.6%1.0%4.9%1.8%3.4%
Skew 10d4.4%-1.6%7.1%-1.2%5.5%
Call IV 25d38.2%26.2%50.3%27.8%50.3%
Put IV 25d40.7%28.2%53.8%29.6%53.8%
Bid-Ask Spread %80.5140.55102.27102.2783.99
Gamma HHI0.250.210.320.230.21
Net GEX406.1K185.2K601.1K185.2K374.2K
Net DEX-7.6M-10.4M-4.4M-4.6M-6.3M
Net VEX-23.8K-32.2K-20.6K-21.2K-22.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.070.790.230.48
Total Volume2,180.4291,5734,7921,5731,805
Total OI7,898.816,3469,9666,3468,618

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$30.25$30.0027.8%8.0%17.7%8.7%27.7%1.8%7.0%185.2K-4.6M-21.2K0.23102.27N/AN/A1,2792944,8531,493
2016-10-04$30.15$30.0028.3%8.1%17.7%10.4%28.2%2.0%5.7%185.9K-4.4M-20.6K0.2386.12N/AN/A1,2942944,9591,493
2016-10-05$30.81$30.0026.0%7.4%19.2%2.9%26.7%2.0%8.3%252.3K-5.5M-21.2K0.2399.80N/AN/A1,3002945,0061,493
2016-10-06$31.36$31.0026.7%9.9%20.0%29.9%34.5%1.9%-3.9%293.1K-6.4M-21.1K0.2284.73N/AN/A1,3672945,0701,492
2016-10-07$31.49$31.0025.3%9.8%19.9%29.2%34.9%2.6%-2.7%336.0K-6.9M-21.3K0.1982.25N/AN/A1,3972595,2171,492
2016-10-10$32.00$31.0026.5%10.5%20.4%36.8%36.5%3.4%-3.7%383.9K-8.0M-22.3K0.0892.89N/AN/A4,4283645,3801,492
2016-10-11$31.71$31.0027.4%10.5%19.8%36.5%40.0%2.6%-3.9%553.8K-10.4M-30.3K0.3040.55N/AN/A1,2843847,3881,624
2016-10-12$31.08$31.0037.1%10.6%21.6%38.4%37.1%3.4%-4.7%601.1K-9.9M-32.2K0.0784.49N/AN/A4,2722968,3421,624
2016-10-13$30.64$31.0036.7%10.5%19.7%37.3%37.8%2.8%-4.2%317.2K-5.8M-21.7K0.1480.72N/AN/A2,0192865,8981,626
2016-10-14$31.11$30.0037.1%10.6%20.3%38.4%37.5%2.6%-4.2%467.6K-8.1M-25.2K0.1284.14N/AN/A2,3152896,8041,628
2016-10-17$30.97$30.0038.3%11.0%19.6%42.2%38.6%1.5%-5.5%453.4K-7.8M-24.2K0.1372.60N/AN/A2,2202896,7991,633
2016-10-18$31.47$30.0038.1%10.9%20.2%41.7%38.1%2.5%-4.9%499.8K-8.9M-24.2K0.1778.03N/AN/A1,7322896,8021,633
2016-10-19$32.00$30.0037.6%10.8%20.6%40.1%37.8%1.4%-5.1%527.1K-10.2M-24.2K0.1776.26N/AN/A1,7532936,8121,633
2016-10-20$31.83$30.0039.3%11.3%20.5%45.5%40.8%1.0%-7.8%510.4K-9.7M-23.9K0.3174.09N/AN/A1,2934006,8141,653
2016-10-21$31.93$30.0037.5%10.7%18.9%39.7%40.9%1.8%-5.0%500.5K-9.5M-24.1K0.3759.42N/AN/A1,1954476,8391,828
2016-10-24$31.97$30.0040.4%11.6%18.9%49.1%42.4%1.0%-5.8%513.0K-9.7M-23.1K0.7781.83N/AN/A1,1428836,614833
2016-10-25$31.40$30.0042.4%12.1%20.2%55.3%43.9%4.3%-8.6%418.5K-7.9M-24.6K0.7981.02N/AN/A1,1449036,6271,433
2016-10-26$31.40$30.0044.9%12.9%20.2%63.5%46.6%4.3%-8.3%411.7K-7.8M-24.2K0.5681.23N/AN/A1,2857246,6431,435
2016-10-27$30.56$30.0046.1%13.2%22.0%67.2%47.5%4.9%-10.2%371.4K-6.1M-23.3K0.4183.01N/AN/A1,4105836,7911,465
2016-10-28$30.70$30.0047.7%13.7%22.0%72.3%48.6%2.9%-11.6%372.6K-6.4M-24.2K0.4181.23N/AN/A1,4075836,9411,655
2016-10-31$30.61$30.0050.1%14.4%22.0%80.0%52.0%3.4%-12.6%374.2K-6.3M-22.8K0.4883.99N/AN/A1,2215846,9631,655