COMM Options History — January 2017

In January 2017, COMM traded between $35.26 and $37.82. ATM implied volatility averaged 26.9%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 4.5% (HV 20d: 22.4%). Max pain ranged from $25.00 to $36.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.27.

Notable Days

  • 2017-01-18: Highest Volume — 2,405 contracts
  • 2017-01-11: Largest IV spike — 34.2% change
  • 2017-01-17: Highest IV Rank — 39.2%
  • 2017-01-17: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.80$35.26$37.82$36.56$37.82
Max Pain$26.90$25.00$36.00$36.00$27.00
ATM IV26.9%23.1%36.3%26.6%24.0%
Expected Move8.2%6.6%10.4%7.6%6.9%
HV 20d22.4%15.5%27.6%15.5%27.6%
HV 60d24.1%22.9%25.2%23.0%24.9%
IV Rank15.4%0.0%39.2%9.6%2.7%
IV Percentile25.9%0.0%69.8%9.9%2.0%
Term Structure3.4%-3.7%8.5%6.3%8.0%
VWIV30.4%23.7%36.4%26.8%25.9%
Skew 25d2.4%0.6%4.0%2.7%1.3%
Skew 10d5.5%0.6%10.0%0.6%9.3%
Call IV 25d27.8%22.6%34.8%26.0%23.9%
Put IV 25d30.3%24.2%38.2%28.7%25.2%
Bid-Ask Spread %87.8570.39104.8081.95104.80
Gamma HHI0.240.110.770.210.14
Net GEX672.5K73.5K1.6M860.6K109.8K
Net DEX-15.2M-20.9M-10.9M-16.8M-13.6M
Net VEX-20.2K-27.0K-15.1K-27.0K-15.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.200.450.220.24
Total Volume1,786.051,3952,4051,5022,292
Total OI8,347.155,88110,0219,2036,254

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$36.56$36.0026.6%7.6%15.5%9.6%26.8%2.7%6.3%860.6K-16.8M-27.0K0.2281.95N/AN/A1,2342688,1501,053
2017-01-04$37.69$36.0026.6%7.6%18.7%9.7%27.1%3.4%5.6%950.1K-20.9M-26.4K0.2298.83N/AN/A1,2922818,1521,066
2017-01-05$37.38$25.0026.1%9.7%18.6%31.3%33.9%2.3%-1.3%955.1K-19.9M-26.2K0.2471.31N/AN/A1,1952828,2051,105
2017-01-06$37.03$25.0025.5%9.5%18.8%29.6%34.4%2.1%-1.5%969.5K-18.5M-26.0K0.2270.39N/AN/A1,1882668,2191,121
2017-01-09$37.22$25.0026.9%9.8%18.8%32.7%35.2%2.4%-2.3%1.0M-19.2M-24.9K0.2175.70N/AN/A1,1852518,2461,175
2017-01-10$37.56$25.0025.1%9.6%18.4%30.6%33.9%3.6%-2.2%1.1M-20.4M-24.0K0.2077.78N/AN/A1,1862388,2481,195
2017-01-11$37.07$25.0033.7%9.7%18.7%31.2%35.3%4.0%-1.8%1.1M-18.6M-23.2K0.2872.66N/AN/A1,1483198,3281,195
2017-01-12$36.76$25.0033.7%9.7%18.9%31.3%36.4%3.7%-1.9%1.1M-17.0M-23.0K0.2478.69N/AN/A1,1442758,3481,301
2017-01-13$37.03$25.0033.6%9.6%18.7%31.0%34.6%3.2%-1.5%1.2M-18.1M-21.9K0.2383.66N/AN/A1,1342618,3941,334
2017-01-17$35.26$25.0036.3%10.4%25.2%39.2%36.2%3.4%-3.7%497.0K-11.1M-19.0K0.4586.05N/AN/A1,3005878,4051,323
2017-01-18$35.70$26.0026.1%7.5%25.2%8.0%24.6%0.7%6.2%689.8K-12.5M-18.1K0.3697.08N/AN/A1,7646418,5001,521
2017-01-19$35.72$26.0025.6%7.3%24.5%6.6%29.0%1.5%6.4%750.5K-10.9M-17.1K0.2892.13N/AN/A1,7514958,0701,628
2017-01-20$36.13$26.0024.7%7.1%24.7%3.8%26.9%1.1%6.9%1.6M-12.8M-16.2K0.2693.17N/AN/A1,7724628,0711,726
2017-01-23$36.20$26.0024.1%6.9%24.6%2.1%24.9%1.8%7.2%73.5K-11.0M-16.2K0.2688.76N/AN/A1,7224484,4511,430
2017-01-24$36.99$28.0023.8%6.8%25.9%1.0%23.7%3.6%7.3%98.9K-12.1M-16.3K0.2194.74N/AN/A1,7313654,5141,514
2017-01-25$36.99$28.0024.3%7.0%25.9%2.6%30.0%2.4%6.5%87.9K-12.4M-15.6K0.2993.06N/AN/A1,6844814,5731,520
2017-01-26$37.27$27.0023.2%6.6%26.0%0.0%27.8%2.8%8.5%99.3K-12.8M-16.1K0.3299.54N/AN/A1,3074244,6241,555
2017-01-27$36.67$26.0023.1%6.6%26.2%0.0%36.1%0.6%8.0%81.0K-12.2M-16.2K0.2798.40N/AN/A1,3013574,6701,546
2017-01-30$36.92$26.0024.8%7.1%26.3%4.9%26.1%2.1%6.5%98.0K-12.3M-15.5K0.3098.31N/AN/A1,3013894,6701,543
2017-01-31$37.82$27.0024.0%6.9%27.6%2.7%25.9%1.3%8.0%109.8K-13.6M-15.1K0.24104.80N/AN/A1,8544384,6721,582