COMM Options History — August 2017

In August 2017, COMM traded between $31.75 and $37.08. ATM implied volatility averaged 26.8%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 12.3% (HV 20d: 39.1%). Max pain ranged from $33.00 to $37.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.66.

Notable Days

  • 2017-08-03: Highest Volume — 2,762 contracts
  • 2017-08-03: Largest IV drop — 49.9% change
  • 2017-08-02: Highest IV Rank — 87.0%
  • 2017-08-02: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.13$31.75$37.08$37.03$33.07
Max Pain$33.70$33.00$37.00$35.00$33.00
ATM IV26.8%22.9%48.9%45.9%22.9%
Expected Move7.7%6.6%14.0%13.2%6.6%
HV 20d39.1%17.8%46.2%29.5%17.8%
HV 60d29.7%23.1%30.7%23.1%29.7%
IV Rank21.3%9.9%87.0%78.2%9.9%
IV Percentile40.2%23.0%98.8%97.6%23.0%
Term Structure1.1%-15.3%5.6%-11.8%0.5%
VWIV25.4%20.4%49.2%46.2%22.3%
Skew 25d2.9%1.5%5.1%3.6%3.7%
Skew 10d6.4%-8.1%15.5%6.5%12.0%
Call IV 25d25.4%21.0%46.6%43.8%21.0%
Put IV 25d28.2%24.5%51.7%47.4%24.7%
Bid-Ask Spread %34.056.3179.8224.5479.82
Gamma HHI0.240.120.330.120.25
Net GEX68.8K-130.7K353.3K353.3K191.5K
Net DEX804.6K-5.8M4.9M-5.7M-2.2M
Net VEX-16.0K-21.7K-9.5K-21.7K-20.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.293.890.651.02
Total Volume1,352.2174502,7621,038591
Total OI6,0412,9718,6496,7063,780

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$37.03$35.0045.9%13.2%29.5%78.2%46.2%3.6%-11.8%353.3K-5.7M-21.7K0.6524.54N/AN/A6304084,8701,836
2017-08-02$37.08$35.0048.9%14.0%29.3%87.0%49.2%5.1%-15.3%346.1K-5.8M-21.6K1.7972.09N/AN/A9101,6324,8841,833
2017-08-03$33.60$37.0024.5%7.0%45.4%14.3%24.0%1.5%4.1%57.0K4.7M-12.4K1.736.31N/AN/A1,0131,7494,8842,727
2017-08-04$32.50$35.0025.9%7.5%45.9%19.6%24.5%2.8%3.3%-31.2K4.2M-11.6K1.7429.58N/AN/A8261,4375,0252,484
2017-08-07$32.73$34.0026.5%7.2%46.2%17.0%24.6%3.2%3.5%-61.6K4.1M-11.1K2.2919.22N/AN/A6271,4375,0402,483
2017-08-08$32.20$34.0027.4%7.5%46.2%19.7%24.4%1.9%3.7%-92.9K4.5M-10.0K2.3723.14N/AN/A6141,4585,0902,439
2017-08-09$32.21$34.0025.7%7.4%40.1%18.2%24.8%3.4%3.3%-72.5K4.4M-11.0K2.6034.84N/AN/A5781,5035,1252,558
2017-08-10$31.75$34.0026.5%7.6%40.0%20.7%23.6%2.6%3.7%-116.1K4.9M-9.7K2.6143.65N/AN/A5411,4105,1312,508
2017-08-11$32.01$34.0027.5%7.9%40.3%23.6%25.0%2.8%2.6%-126.1K4.6M-9.5K2.5326.61N/AN/A5451,3785,1262,462
2017-08-14$32.58$34.0024.5%7.0%40.9%14.7%23.5%3.4%4.6%-130.7K4.0M-9.5K3.8939.83N/AN/A3591,3955,1392,462
2017-08-15$32.77$33.0024.7%7.1%41.0%15.5%23.7%3.5%4.6%-119.3K3.8M-9.6K3.7221.64N/AN/A3801,4125,1722,463
2017-08-16$32.92$33.0023.8%6.8%40.2%12.8%23.5%3.0%5.6%-113.1K3.6M-9.6K0.2962.98N/AN/A1,3433955,1662,489
2017-08-17$32.90$33.0025.2%7.2%40.2%16.9%24.5%1.5%4.8%36.0K2.2M-18.3K1.2325.96N/AN/A3484286,1582,491
2017-08-18$33.01$33.0024.3%7.0%40.3%14.2%23.8%2.7%5.0%185.5K2.0M-17.8K1.1018.53N/AN/A3754136,1652,432
2017-08-21$33.02$33.0025.4%7.3%40.1%17.3%23.9%3.3%-1.1%89.2K-1.1M-17.6K0.3527.06N/AN/A7702702,103868
2017-08-22$33.35$33.0024.6%7.0%40.2%15.0%23.8%2.8%0.9%158.2K-2.3M-21.6K0.4125.97N/AN/A6842792,686871
2017-08-23$32.97$33.0024.2%6.9%40.2%13.8%23.2%3.1%0.8%163.1K-2.0M-21.1K1.3318.88N/AN/A2032702,740877
2017-08-24$32.82$33.0023.5%6.8%39.4%11.9%21.4%3.1%0.6%164.3K-1.8M-20.8K1.2127.76N/AN/A2192652,746878
2017-08-25$32.94$33.0023.3%6.7%39.0%11.3%21.1%2.6%0.7%171.7K-1.9M-20.9K1.1921.22N/AN/A2222652,776888
2017-08-28$32.88$33.0023.9%6.9%39.0%13.0%20.8%2.1%0.6%175.0K-1.9M-20.5K1.4344.85N/AN/A1852652,804888
2017-08-29$32.82$33.0024.6%7.0%38.8%15.0%20.4%2.4%-0.3%174.6K-1.8M-20.3K1.4831.91N/AN/A1982942,804888
2017-08-30$32.81$33.0023.0%6.6%38.7%10.4%20.9%2.3%-0.3%180.5K-1.8M-20.3K1.1356.80N/AN/A2713062,827877
2017-08-31$33.07$33.0022.9%6.6%17.8%9.9%22.3%3.7%0.5%191.5K-2.2M-20.7K1.0279.82N/AN/A2922992,891889