COMM Options History — February 2017

In February 2017, COMM traded between $37.21 and $40.54. ATM implied volatility averaged 30.2%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 7.4% (HV 20d: 22.7%). Max pain ranged from $29.00 to $38.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.38.

Notable Days

  • 2017-02-22: Highest Volume — 3,064 contracts
  • 2017-02-23: Largest IV drop — 38.6% change
  • 2017-02-22: Highest IV Rank — 54.5%
  • 2017-02-22: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.61$37.21$40.54$38.03$38.08
Max Pain$37.00$29.00$38.00$29.00$38.00
ATM IV30.2%23.2%39.5%23.5%24.4%
Expected Move9.2%6.7%11.3%6.7%7.0%
HV 20d22.7%12.9%31.7%27.1%31.6%
HV 60d21.8%19.5%25.3%23.0%25.3%
IV Rank29.0%1.2%54.5%1.2%4.2%
IV Percentile52.5%1.2%91.3%1.2%5.2%
Term Structure-1.9%-9.5%8.2%8.2%-0.7%
VWIV33.0%22.6%40.8%24.9%26.7%
Skew 25d2.8%1.1%4.5%2.0%1.6%
Skew 10d6.3%-4.5%12.0%12.0%11.2%
Call IV 25d31.0%23.4%37.7%23.4%23.8%
Put IV 25d33.8%25.0%40.4%25.4%25.4%
Bid-Ask Spread %59.3542.75104.11104.11103.38
Gamma HHI0.180.140.340.150.21
Net GEX93.8K-169.3K212.0K108.7K-169.3K
Net DEX-11.1M-17.4M-1.4M-13.1M-3.0M
Net VEX-16.4K-21.6K-14.0K-14.9K-21.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.131.280.520.53
Total Volume2,067.5267913,0641,2661,997
Total OI6,390.6843,7537,5936,1416,886

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$38.03$29.0023.5%6.7%27.1%1.2%24.9%2.0%8.2%108.7K-13.1M-14.9K0.52104.11N/AN/A8324344,4641,677
2017-02-02$38.15$37.0024.6%9.2%25.0%26.9%32.7%3.4%-0.2%105.5K-13.1M-14.5K0.2345.22N/AN/A1,7203974,4351,718
2017-02-03$38.55$36.0023.2%9.4%25.0%31.8%33.0%3.6%-1.0%111.7K-13.7M-14.0K0.2047.27N/AN/A1,8823764,4531,720
2017-02-06$38.27$37.0025.6%9.6%24.8%33.7%33.7%2.3%-1.3%130.6K-13.5M-15.4K0.2342.75N/AN/A1,7043974,7291,778
2017-02-07$38.41$37.0024.8%9.7%24.8%34.7%34.4%2.8%-2.0%147.3K-13.9M-15.1K0.3043.78N/AN/A1,6434864,7551,798
2017-02-08$38.49$37.0033.7%9.7%24.7%34.2%33.8%2.5%-1.8%154.8K-13.9M-15.3K0.2148.97N/AN/A1,6913554,7441,907
2017-02-09$38.41$37.0033.4%9.6%24.1%33.4%33.6%2.6%-1.6%169.4K-14.1M-15.6K0.2048.78N/AN/A1,6983484,8321,921
2017-02-10$38.43$38.0033.3%9.6%23.8%33.1%33.1%2.1%-1.8%186.6K-14.2M-15.3K0.2245.81N/AN/A1,7373834,8751,954
2017-02-13$38.76$38.0033.7%9.7%23.9%35.0%34.4%3.0%-2.1%198.8K-14.7M-14.7K0.2148.02N/AN/A1,7003514,8752,006
2017-02-14$38.90$38.0034.2%9.8%14.2%36.8%35.0%2.5%-2.5%210.1K-15.0M-14.4K0.2249.47N/AN/A1,6703674,8952,033
2017-02-15$39.03$38.0034.4%9.9%14.0%37.6%35.5%4.5%-3.4%211.5K-15.2M-14.2K0.2352.24N/AN/A1,6643874,9062,057
2017-02-16$39.26$38.0036.6%10.5%13.9%44.7%40.5%4.3%-4.0%212.0K-15.5M-14.1K0.1456.89N/AN/A2,3083264,9012,097
2017-02-17$39.49$37.0037.1%10.6%13.7%46.4%40.1%4.1%-3.9%145.2K-17.4M-16.4K0.1353.99N/AN/A2,2572985,4672,126
2017-02-21$39.99$37.0039.4%11.3%13.9%54.1%39.8%3.1%-9.0%151.9K-7.1M-15.5K0.9957.54N/AN/A3983932,7291,024
2017-02-22$40.54$37.0039.5%11.3%12.9%54.5%40.8%2.8%-9.5%139.9K-7.5M-16.5K1.2863.26N/AN/A1,3441,7202,8371,228
2017-02-23$37.57$38.0024.3%7.0%31.5%3.9%27.8%1.9%0.2%-113.5K-2.7M-21.6K0.3959.95N/AN/A1,4595703,7112,697
2017-02-24$37.21$38.0023.7%6.8%31.6%1.9%24.4%1.1%-0.1%-165.2K-1.4M-21.5K0.4194.60N/AN/A1,3635543,7762,811
2017-02-27$37.93$38.0023.7%6.8%31.7%2.1%22.6%2.1%0.4%-153.4K-2.7M-20.8K0.4961.56N/AN/A1,3916833,7482,853
2017-02-28$38.08$38.0024.4%7.0%31.6%4.2%26.7%1.6%-0.7%-169.3K-3.0M-21.3K0.53103.38N/AN/A1,3076903,7783,108