COMM Options History — March 2017

In March 2017, COMM traded between $38.66 and $42.17. ATM implied volatility averaged 22.3%, placing in the 1.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 6.8% (HV 20d: 29.1%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.76.

Notable Days

  • 2017-03-01: Highest Volume — 2,679 contracts
  • 2017-03-15: Largest IV drop — 20.5% change
  • 2017-03-07: Highest IV Rank — 3.9%
  • 2017-03-07: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.97$38.66$42.17$39.55$41.79
Max Pain$39.04$38.00$40.00$38.00$39.00
ATM IV22.3%19.5%27.5%22.6%19.5%
Expected Move6.3%5.6%6.8%6.5%5.6%
HV 20d29.1%14.8%34.4%33.2%17.3%
HV 60d25.9%25.4%26.3%26.0%25.8%
IV Rank1.3%0.0%3.9%0.0%0.0%
IV Percentile0.9%0.0%3.2%0.0%0.0%
Term Structure5.9%-0.7%8.7%0.5%8.7%
VWIV22.4%18.8%24.6%23.9%19.8%
Skew 25d1.5%0.7%2.5%1.6%0.7%
Skew 10d2.9%-6.6%9.4%5.8%5.6%
Call IV 25d21.6%19.1%23.5%22.6%19.1%
Put IV 25d23.0%19.8%24.9%24.2%19.8%
Bid-Ask Spread %76.0252.8290.3475.9889.31
Gamma HHI0.200.160.380.170.20
Net GEX65.3K-60.9K212.3K-18.2K119.3K
Net DEX-6.0M-7.8M-4.5M-6.0M-7.2M
Net VEX-15.4K-20.1K-12.4K-20.1K-13.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.261.761.031.06
Total Volume1,378.6965982,6792,679927
Total OI5,600.6963,5157,1676,9914,214

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$39.55$38.0022.6%6.5%33.2%0.0%23.9%1.6%0.5%-18.2K-6.0M-20.1K1.0375.98N/AN/A1,3191,3603,8273,164
2017-03-02$39.05$38.0023.3%6.7%33.6%2.1%24.0%0.9%-0.7%22.3K-5.7M-19.5K0.5352.82N/AN/A1,2116413,8932,869
2017-03-03$39.21$38.0022.3%6.4%33.6%0.0%18.8%2.2%0.9%25.6K-5.8M-18.9K0.4490.34N/AN/A1,3776023,8832,894
2017-03-06$39.15$39.0023.4%6.7%33.5%3.6%24.6%1.8%5.1%7.7K-5.5M-17.3K0.5260.75N/AN/A1,3366993,7232,893
2017-03-07$38.66$39.0023.3%6.8%33.7%3.9%24.2%1.6%5.0%-60.9K-4.5M-18.1K0.2962.28N/AN/A1,4254163,7242,981
2017-03-08$38.92$39.0022.9%6.5%33.8%1.1%23.3%1.3%5.7%-11.5K-5.0M-17.4K0.3072.31N/AN/A1,4264243,8603,000
2017-03-09$39.02$39.0023.8%6.7%33.8%3.4%23.7%1.8%5.2%8.0K-5.1M-17.4K0.3064.27N/AN/A1,4214223,8973,026
2017-03-10$38.85$39.0023.1%6.6%33.8%2.0%23.8%1.3%5.3%-13.9K-5.1M-16.8K0.3174.60N/AN/A1,3944273,8933,044
2017-03-13$39.38$39.0024.1%6.6%34.1%2.2%23.5%2.0%5.9%81.9K-6.1M-15.3K0.3466.91N/AN/A1,4274803,8973,055
2017-03-14$39.41$39.0027.5%6.4%34.0%0.5%23.4%1.7%6.3%70.7K-6.2M-15.1K0.3369.27N/AN/A1,3594553,9413,127
2017-03-15$39.78$39.0021.9%6.3%34.1%0.0%23.1%1.0%6.4%164.3K-7.0M-14.6K0.3787.76N/AN/A1,2394623,9373,203
2017-03-16$39.74$39.0021.7%6.2%34.1%0.0%22.1%1.5%6.1%212.3K-7.1M-14.3K0.3978.42N/AN/A1,1974623,9603,205
2017-03-17$39.66$39.0020.9%6.0%34.1%0.0%21.6%0.7%7.3%22.5K-6.8M-13.8K0.2675.84N/AN/A1,2023153,9593,208
2017-03-20$40.24$39.0021.2%6.1%34.4%1.0%21.5%0.9%7.8%44.2K-5.1M-13.1K1.0675.50N/AN/A2903082,0321,483
2017-03-21$39.80$39.0021.8%6.2%34.4%2.6%21.8%1.0%6.5%56.1K-4.9M-14.0K1.7671.66N/AN/A2504412,1601,547
2017-03-22$39.81$39.0021.6%6.2%34.0%2.0%22.3%1.1%7.1%64.7K-5.0M-14.5K1.6875.66N/AN/A2363962,2071,538
2017-03-23$40.50$39.0021.6%6.2%19.8%2.3%22.4%1.4%7.1%88.3K-5.6M-13.8K1.4586.39N/AN/A2563712,2271,530
2017-03-24$41.23$39.0021.0%6.0%19.7%0.3%21.6%1.9%7.7%106.0K-6.4M-13.2K0.7374.67N/AN/A4223062,2561,534
2017-03-27$41.11$40.0021.5%6.2%19.2%1.8%22.2%2.5%7.8%125.2K-6.5M-14.2K0.7785.27N/AN/A3852952,4211,532
2017-03-28$41.24$40.0021.5%6.2%19.2%1.9%21.7%1.8%7.5%132.7K-6.7M-13.6K1.1483.42N/AN/A3463942,4241,535
2017-03-29$40.95$40.0021.0%6.0%14.8%0.2%21.3%1.7%7.5%125.1K-6.4M-13.6K0.8688.60N/AN/A4383752,4331,590
2017-03-30$42.17$40.0020.8%6.0%16.7%0.0%19.4%1.4%8.1%130.3K-7.8M-12.4K1.6386.54N/AN/A2954812,4991,591
2017-03-31$41.79$39.0019.5%5.6%17.3%0.0%19.8%0.7%8.7%119.3K-7.2M-13.6K1.0689.31N/AN/A4494782,4961,718