COMM Options History — October 2017

In October 2017, COMM traded between $31.65 and $33.77. ATM implied volatility averaged 34.3%, placing in the 49.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 13.2% (HV 20d: 21.1%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.66.

Notable Days

  • 2017-10-31: Highest Volume — 3,745 contracts
  • 2017-10-11: Largest IV spike — 48.5% change
  • 2017-10-30: Highest IV Rank — 92.6%
  • 2017-10-30: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.44$31.65$33.77$33.51$32.16
Max Pain$33.00$33.00$33.00$33.00$33.00
ATM IV34.3%20.6%50.7%22.1%49.7%
Expected Move10.3%5.9%14.5%6.3%14.3%
HV 20d21.1%15.3%26.7%26.7%15.3%
HV 60d27.7%19.2%31.8%31.8%19.2%
IV Rank49.1%3.3%92.6%7.5%89.6%
IV Percentile75.7%1.2%99.2%17.5%98.4%
Term Structure-6.2%-15.8%11.2%9.7%-15.1%
VWIV35.3%22.5%51.3%23.8%49.9%
Skew 25d3.8%1.2%5.3%1.6%5.2%
Skew 10d7.9%3.1%13.3%10.4%13.3%
Call IV 25d34.0%19.5%48.4%21.9%48.4%
Put IV 25d37.8%22.5%53.6%23.5%53.6%
Bid-Ask Spread %69.1144.4186.3376.7868.00
Gamma HHI0.250.210.280.270.21
Net GEX420.5K148.0K631.6K571.2K273.2K
Net DEX-3.6M-7.8M-960.5K-7.1M-1.8M
Net VEX-29.2K-36.3K-22.7K-36.3K-26.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.443.831.250.88
Total Volume1,386.56363,7451,6423,745
Total OI8,383.3647,4498,9798,2088,624

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$33.51$33.0022.1%6.3%26.7%7.5%23.8%1.6%9.7%571.2K-7.1M-36.3K1.2576.78N/AN/A7299136,1992,009
2017-10-03$33.77$33.0021.6%6.2%25.9%6.2%22.5%1.2%10.4%582.6K-7.8M-35.9K1.2379.13N/AN/A6287706,1992,009
2017-10-04$33.51$33.0020.6%5.9%25.9%3.3%23.5%3.2%11.2%610.8K-7.3M-35.7K1.9186.33N/AN/A4057746,2922,031
2017-10-05$33.32$33.0022.8%9.2%25.9%37.2%32.7%3.0%-4.7%595.6K-6.7M-35.1K1.2252.07N/AN/A6377746,3232,031
2017-10-06$33.39$33.0022.2%9.1%25.9%36.3%31.1%3.4%-4.4%631.6K-7.1M-35.1K1.0763.87N/AN/A7197716,4232,032
2017-10-09$33.11$33.0025.0%9.6%24.5%41.7%34.6%2.8%-5.4%612.2K-6.3M-33.9K2.0252.01N/AN/A4629326,5122,036
2017-10-10$32.34$33.0023.8%10.2%25.6%47.2%35.4%4.1%-6.7%491.9K-3.7M-31.8K2.2944.41N/AN/A4501,0296,5202,209
2017-10-11$32.32$33.0035.3%10.1%24.9%46.9%35.1%3.6%-7.0%488.2K-3.5M-31.4K3.5552.29N/AN/A2931,0416,5072,306
2017-10-12$32.16$33.0036.3%10.4%24.9%49.8%35.5%3.5%-8.1%405.6K-2.8M-30.5K3.8367.27N/AN/A2861,0946,5012,426
2017-10-13$32.16$33.0035.9%10.3%24.6%48.5%35.1%3.6%-8.4%430.3K-2.6M-30.5K3.3367.29N/AN/A2869516,5092,451
2017-10-16$31.88$33.0037.4%10.7%22.9%53.0%35.6%3.5%-10.1%338.7K-1.5M-27.4K2.3270.96N/AN/A2916746,5092,452
2017-10-17$31.65$33.0037.7%10.8%16.9%53.9%36.0%4.5%-9.9%260.4K-960.5K-26.3K1.5970.74N/AN/A4266796,5092,459
2017-10-18$31.78$33.0035.9%10.3%16.5%48.6%34.8%4.2%-7.9%247.2K-962.8K-26.4K1.3472.43N/AN/A4976666,5092,470
2017-10-19$31.85$33.0037.9%10.9%16.4%54.5%36.0%4.1%-10.4%148.0K-1.1M-25.8K1.5772.76N/AN/A4256676,4492,514
2017-10-20$32.64$33.0036.3%10.4%19.0%49.9%32.4%4.5%-9.1%395.3K-3.4M-28.0K1.2870.21N/AN/A4565826,4492,511
2017-10-23$32.45$33.0038.9%11.1%18.3%57.4%35.7%3.4%-6.7%404.9K-3.6M-26.1K1.4170.40N/AN/A3044305,4871,962
2017-10-24$32.35$33.0040.0%11.5%18.2%60.6%36.2%5.0%-9.2%408.8K-3.3M-25.8K0.7772.94N/AN/A5334135,5801,997
2017-10-25$31.87$33.0040.2%11.5%18.2%61.3%39.7%4.9%-8.7%351.2K-2.1M-24.2K1.7474.70N/AN/A2324045,5602,008
2017-10-26$31.74$33.0041.5%11.9%17.1%65.3%39.2%5.3%-9.5%335.0K-1.8M-23.1K0.4479.42N/AN/A9604205,5682,008
2017-10-27$31.71$33.0042.5%12.2%15.5%68.2%40.7%5.0%-10.7%331.1K-1.7M-22.7K0.4479.50N/AN/A9674225,5712,060
2017-10-30$31.98$33.0050.7%14.5%15.5%92.6%51.3%4.7%-15.8%336.7K-2.6M-23.5K1.0676.95N/AN/A1,1511,2155,5782,075
2017-10-31$32.16$33.0049.7%14.3%15.3%89.6%49.9%5.2%-15.1%273.2K-1.8M-26.0K0.8868.00N/AN/A1,9951,7505,7542,870