COMM Options History — November 2016

In November 2016, COMM traded between $30.30 and $36.36. ATM implied volatility averaged 31.6%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 3.3% (HV 20d: 28.2%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2016-11-03: Highest Volume — 5,986 contracts
  • 2016-11-03: Largest IV drop — 37.2% change
  • 2016-11-01: Highest IV Rank — 90.1%
  • 2016-11-01: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.28$30.30$36.36$30.30$36.00
Max Pain$31.95$30.00$34.00$30.00$34.00
ATM IV31.6%26.6%53.2%53.2%28.2%
Expected Move8.9%7.6%15.3%15.3%8.1%
HV 20d28.2%20.9%31.1%22.3%27.8%
HV 60d22.1%18.3%23.5%18.4%23.4%
IV Rank18.6%4.8%90.1%90.1%10.2%
IV Percentile26.0%3.6%98.0%98.0%19.8%
Term Structure-0.6%-14.6%3.4%-14.3%-1.7%
VWIV31.9%28.5%54.2%54.0%29.7%
Skew 25d2.5%0.9%4.5%4.5%3.1%
Skew 10d4.5%-0.8%10.5%7.5%3.5%
Call IV 25d30.4%26.3%52.7%52.7%27.8%
Put IV 25d32.9%28.5%57.2%57.2%31.0%
Bid-Ask Spread %74.6952.0291.3283.7486.73
Gamma HHI0.280.150.810.210.18
Net GEX443.0K135.8K953.3K349.3K357.1K
Net DEX-12.8M-23.4M-5.6M-5.6M-11.0M
Net VEX-14.6K-21.7K-11.7K-21.7K-19.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.081.250.500.08
Total Volume2,359.2861,2035,9861,9052,758
Total OI7,066.3813,7549,6238,6195,389

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$30.30$30.0053.2%15.3%22.3%90.1%54.0%4.5%-14.3%349.3K-5.6M-21.7K0.5083.74N/AN/A1,2706356,9631,656
2016-11-02$30.36$30.0052.2%15.0%20.9%86.9%54.2%2.6%-14.6%352.8K-5.7M-21.6K0.2389.12N/AN/A4,3579887,0231,712
2016-11-03$31.89$30.0032.8%8.6%26.7%15.6%31.2%2.1%0.4%534.0K-8.8M-18.8K0.1652.02N/AN/A5,1688186,2211,663
2016-11-04$32.11$30.0033.8%8.6%26.8%15.5%31.7%2.3%0.7%517.0K-9.4M-17.6K0.1654.82N/AN/A5,1658185,9051,839
2016-11-07$32.91$30.0031.7%8.1%27.6%9.9%29.1%3.5%1.9%558.2K-11.4M-14.7K0.4660.58N/AN/A1,3536245,9021,839
2016-11-08$33.91$31.0031.7%7.9%29.1%8.4%28.5%4.1%1.6%596.5K-14.3M-14.0K0.4867.99N/AN/A1,2986296,0421,905
2016-11-09$33.65$31.0026.6%7.6%28.1%4.8%28.6%0.9%3.1%640.5K-14.5M-12.8K1.1373.08N/AN/A5656386,1731,910
2016-11-10$34.13$31.0030.1%8.6%27.4%16.2%29.9%2.0%0.8%628.6K-15.6M-12.8K1.2574.14N/AN/A5887336,2821,920
2016-11-11$33.53$31.0029.0%8.3%28.3%12.6%29.5%3.0%1.7%629.5K-14.0M-13.1K0.4973.33N/AN/A1,2546116,3022,047
2016-11-14$34.94$31.0029.9%8.6%31.1%15.5%31.5%2.7%1.1%644.1K-20.1M-14.2K0.4263.39N/AN/A1,0904627,0232,041
2016-11-15$34.99$32.0029.2%8.4%30.9%13.2%30.2%1.9%2.2%663.0K-20.4M-13.7K0.4371.08N/AN/A1,0964687,0672,061
2016-11-16$35.04$32.0029.9%8.6%30.6%15.6%29.8%1.6%2.0%758.8K-20.7M-13.1K0.4468.09N/AN/A1,4466307,1202,072
2016-11-17$35.02$32.0028.9%8.3%30.5%12.2%28.8%2.4%2.4%953.3K-21.5M-13.6K0.4172.40N/AN/A1,5276307,4652,158
2016-11-18$35.67$33.0027.9%8.0%30.8%9.0%29.2%1.6%3.4%135.8K-23.4M-12.3K0.4372.49N/AN/A1,4516237,2072,179
2016-11-21$35.49$33.0028.0%8.0%31.0%9.3%28.6%2.5%-0.4%154.3K-8.4M-12.7K0.1577.84N/AN/A1,2601843,069685
2016-11-22$35.70$34.0027.4%7.8%29.8%7.4%28.8%3.3%0.0%160.7K-8.6M-12.8K0.1879.09N/AN/A1,2372173,116707
2016-11-23$35.94$34.0026.7%7.6%29.7%5.1%28.5%2.7%0.7%162.6K-8.8M-12.4K0.2080.49N/AN/A1,1472253,161737
2016-11-25$36.36$34.0028.0%8.0%26.9%9.2%28.7%1.0%-0.7%153.8K-9.2M-12.0K0.1990.31N/AN/A1,1772283,169735
2016-11-28$35.77$34.0028.9%8.3%28.3%12.4%30.0%2.3%-1.4%173.3K-8.9M-11.7K0.2086.45N/AN/A1,1692283,203738
2016-11-29$36.26$34.0028.7%8.2%28.1%11.7%29.8%1.8%-1.0%179.4K-9.3M-12.0K0.0991.32N/AN/A2,5482323,250738
2016-11-30$36.00$34.0028.2%8.1%27.8%10.2%29.7%3.1%-1.7%357.1K-11.0M-19.6K0.0886.73N/AN/A2,5582004,656733