COMM Options History — December 2016

In December 2016, COMM traded between $35.30 and $37.38. ATM implied volatility averaged 27.1%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 7.0% (HV 20d: 20.1%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.21.

Notable Days

  • 2016-12-05: Highest Volume — 3,247 contracts
  • 2016-12-14: Largest IV drop — 20.8% change
  • 2016-12-01: Highest IV Rank — 17.1%
  • 2016-12-01: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.72$35.30$37.38$35.30$37.07
Max Pain$35.48$34.00$36.00$34.00$36.00
ATM IV27.1%23.4%35.5%30.4%24.9%
Expected Move7.4%6.7%8.7%8.7%7.2%
HV 20d20.1%15.1%29.5%29.5%15.1%
HV 60d23.4%22.9%24.0%23.9%22.9%
IV Rank4.4%0.0%17.1%17.1%4.6%
IV Percentile5.4%0.0%34.9%34.9%2.8%
Term Structure5.6%-1.6%8.5%-1.6%7.4%
VWIV26.2%21.8%31.5%31.5%24.6%
Skew 25d2.4%1.3%3.5%1.7%1.3%
Skew 10d4.3%-5.2%9.8%-5.2%4.9%
Call IV 25d25.6%23.4%29.6%29.6%25.2%
Put IV 25d28.0%26.1%31.4%31.4%26.5%
Bid-Ask Spread %69.7540.4797.0697.0685.72
Gamma HHI0.190.170.230.170.22
Net GEX584.2K351.8K872.6K351.8K872.6K
Net DEX-16.7M-19.2M-10.1M-10.1M-18.6M
Net VEX-26.0K-31.8K-18.3K-19.5K-29.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.080.300.080.26
Total Volume1,988.191,4113,2472,7981,633
Total OI7,675.4765,4059,0975,4369,097

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$35.30$34.0030.4%8.7%29.5%17.1%31.5%1.7%-1.6%351.8K-10.1M-19.5K0.0897.06N/AN/A2,5952034,700736
2016-12-02$35.78$34.0026.6%7.6%25.3%4.7%29.7%2.9%0.6%363.4K-10.7M-18.8K0.1296.35N/AN/A1,8772214,666739
2016-12-05$35.95$34.0029.5%8.1%25.3%10.0%27.8%3.0%3.3%372.4K-11.0M-18.3K0.0865.86N/AN/A3,0192284,690757
2016-12-06$36.42$34.0028.3%7.7%24.4%5.6%26.2%3.3%6.0%450.1K-14.7M-22.1K0.1160.97N/AN/A2,4602665,720763
2016-12-07$36.69$35.0027.1%7.6%22.6%4.1%26.6%2.9%5.5%470.9K-16.7M-24.2K0.2055.89N/AN/A1,9713876,213801
2016-12-08$36.91$35.0028.5%7.7%22.2%5.8%27.0%2.7%4.7%456.0K-17.2M-23.8K0.2155.02N/AN/A1,7973766,271922
2016-12-09$36.46$35.0029.7%7.7%22.7%5.9%26.5%1.9%5.4%489.8K-16.4M-24.2K0.1864.90N/AN/A1,9043396,280926
2016-12-12$36.89$36.0035.5%7.6%21.4%5.2%27.5%1.9%6.9%566.1K-18.3M-25.7K0.2863.14N/AN/A1,4794086,896924
2016-12-13$37.01$36.0033.5%7.5%16.6%3.6%27.3%2.1%5.3%544.8K-18.6M-25.9K0.3065.65N/AN/A1,4874476,9121,053
2016-12-14$36.61$36.0026.5%7.6%17.3%4.7%26.9%3.5%5.6%589.2K-17.7M-27.0K0.2665.25N/AN/A1,4943837,0661,146
2016-12-15$37.00$36.0026.7%7.6%17.5%5.2%26.6%1.3%5.8%538.6K-18.7M-27.3K0.2360.93N/AN/A1,5513587,1121,228
2016-12-16$36.39$36.0026.5%7.6%18.8%4.6%25.9%3.1%5.5%522.1K-17.9M-28.8K0.2340.47N/AN/A1,5463577,4541,267
2016-12-19$36.95$36.0024.9%7.1%18.5%0.0%25.6%3.0%6.4%561.0K-16.7M-27.0K0.2573.00N/AN/A1,2173106,759834
2016-12-20$37.21$36.0024.8%7.1%18.4%0.0%25.0%2.5%6.0%572.6K-17.4M-27.4K0.2542.55N/AN/A1,1932936,835875
2016-12-21$37.38$36.0024.6%7.1%18.3%0.0%25.1%2.2%7.2%579.5K-17.9M-27.6K0.2574.25N/AN/A1,1912976,897914
2016-12-22$37.18$36.0023.9%6.8%18.5%0.0%23.7%3.3%7.4%594.6K-17.5M-27.7K0.1575.65N/AN/A2,1803246,941927
2016-12-23$37.10$36.0023.4%6.7%18.1%0.0%24.8%1.9%8.5%826.3K-18.8M-31.8K0.2979.42N/AN/A1,1693357,999932
2016-12-27$37.23$36.0025.1%7.2%16.9%5.2%26.0%1.4%7.8%853.7K-19.2M-30.2K0.2879.79N/AN/A1,1633268,010948
2016-12-28$36.74$36.0024.9%7.1%17.2%4.5%21.8%2.0%6.9%827.3K-17.6M-29.3K0.2584.55N/AN/A1,1322798,011959
2016-12-29$36.93$36.0024.1%6.9%17.0%2.1%24.5%2.2%8.0%865.2K-18.1M-29.2K0.2878.24N/AN/A1,2193388,018987
2016-12-30$37.07$36.0024.9%7.2%15.1%4.6%24.6%1.3%7.4%872.6K-18.6M-29.5K0.2685.72N/AN/A1,3013328,0481,049