COMM Options History — July 2017

In July 2017, COMM traded between $34.46 and $38.21. ATM implied volatility averaged 35.7%, placing in the 53.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 10.6% (HV 20d: 25.1%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.74.

Notable Days

  • 2017-07-12: Highest Volume — 4,462 contracts
  • 2017-07-12: Largest IV spike — 60.9% change
  • 2017-07-31: Highest IV Rank — 83.6%
  • 2017-07-31: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.32$34.46$38.21$38.21$36.78
Max Pain$36.15$35.00$38.00$37.00$35.00
ATM IV35.7%22.5%47.7%23.0%47.7%
Expected Move10.8%6.5%13.7%6.6%13.7%
HV 20d25.1%15.2%29.5%19.0%29.4%
HV 60d38.8%23.3%40.6%38.0%23.3%
IV Rank53.7%9.6%83.6%10.3%83.6%
IV Percentile82.6%22.2%98.8%23.0%98.8%
Term Structure-5.6%-14.1%8.9%8.3%-14.1%
VWIV37.7%22.6%47.8%22.6%47.8%
Skew 25d3.6%2.3%4.9%2.7%4.4%
Skew 10d6.7%5.3%8.5%5.6%8.3%
Call IV 25d35.7%21.6%44.7%21.6%44.7%
Put IV 25d39.3%24.3%49.2%24.3%49.2%
Bid-Ask Spread %41.2614.5492.5392.5346.06
Gamma HHI0.140.110.200.130.12
Net GEX141.1K-231.4K335.1K242.4K329.0K
Net DEX-1.0M-5.6M4.4M-2.6M-5.2M
Net VEX-20.9K-24.3K-15.0K-19.2K-21.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.454.602.510.59
Total Volume1,991.758474,4622,2021,007
Total OI6,152.74,1688,1094,1686,650

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$38.21$37.0023.0%6.6%19.0%10.3%22.6%2.7%8.3%242.4K-2.6M-19.2K2.5192.53N/AN/A6281,5742,7991,369
2017-07-05$37.79$37.0022.8%6.5%17.3%9.6%26.0%2.3%8.9%232.0K-2.0M-18.4K2.8882.94N/AN/A5481,5802,8601,369
2017-07-06$37.73$38.0023.4%9.2%17.2%37.7%33.7%3.1%-2.7%227.0K-2.0M-18.6K2.6742.99N/AN/A5931,5812,8811,375
2017-07-07$38.15$38.0022.5%9.4%16.7%39.0%35.9%3.0%-2.5%267.2K-2.6M-19.1K4.5941.93N/AN/A3031,3902,9591,373
2017-07-10$38.16$38.0023.9%9.5%16.1%40.3%37.0%3.6%-2.8%275.5K-2.6M-18.6K4.6047.51N/AN/A3021,3882,9831,379
2017-07-11$37.99$38.0023.8%9.5%15.2%40.6%37.2%3.7%-3.2%271.0K-2.4M-18.0K4.5826.35N/AN/A3031,3882,9831,379
2017-07-12$35.42$38.0038.3%11.0%28.6%55.8%37.5%3.7%-5.9%69.6K411.4K-15.0K1.1160.14N/AN/A2,1162,3462,9831,379
2017-07-13$35.62$36.0038.3%11.0%28.5%55.8%38.0%4.3%-7.1%-88.4K1.3M-24.3K1.9719.16N/AN/A1,1292,2274,3502,921
2017-07-14$35.20$36.0037.9%10.9%28.4%54.6%36.6%4.9%-5.4%-110.3K2.3M-23.5K1.1147.47N/AN/A1,1151,2374,4242,982
2017-07-17$34.78$36.0039.4%11.3%28.6%58.8%38.7%3.5%-7.3%-92.5K3.3M-21.2K1.3530.66N/AN/A1,0701,4434,4582,983
2017-07-18$34.46$36.0040.6%11.6%27.0%62.4%38.7%3.4%-9.0%-52.3K4.4M-20.3K0.8514.54N/AN/A1,4591,2414,4803,208
2017-07-19$35.15$35.0040.1%11.5%28.4%61.1%38.1%2.9%-8.5%-170.3K2.0M-23.5K1.0818.99N/AN/A1,0911,1824,9303,179
2017-07-20$35.22$35.0040.4%11.6%28.4%61.9%38.7%4.0%-9.0%-231.4K2.0M-22.3K1.0626.41N/AN/A1,1161,1854,8183,169
2017-07-21$35.24$35.0040.1%11.5%28.4%61.1%39.0%4.2%-9.0%220.6K2.1M-21.7K1.1024.90N/AN/A1,0881,2024,8063,191
2017-07-24$35.46$35.0041.1%11.8%28.5%64.0%39.5%3.6%-8.0%233.4K-2.1M-20.9K0.7127.15N/AN/A4953524,4011,766
2017-07-25$35.76$35.0041.8%12.0%28.6%66.1%40.7%2.6%-8.5%265.0K-2.9M-21.8K0.4523.21N/AN/A7833504,5531,776
2017-07-26$35.86$35.0042.7%12.2%28.7%68.7%41.5%4.2%-8.7%281.7K-3.7M-22.9K0.4858.46N/AN/A7123454,8551,780
2017-07-27$36.47$35.0042.7%12.2%29.3%68.7%42.6%3.7%-8.3%317.5K-4.7M-23.3K0.5546.60N/AN/A6383514,8691,789
2017-07-28$36.95$35.0044.2%12.7%29.5%73.1%44.9%3.7%-10.1%335.1K-5.6M-23.3K0.5647.27N/AN/A6263514,8501,795
2017-07-31$36.78$35.0047.7%13.7%29.4%83.6%47.8%4.4%-14.1%329.0K-5.2M-21.8K0.5946.06N/AN/A6343734,8551,795