COMM Options History — November 2017

In November 2017, COMM traded between $33.45 and $36.77. ATM implied volatility averaged 24.2%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 6.5% (HV 20d: 30.7%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.42.

Notable Days

  • 2017-11-02: Highest Volume — 4,253 contracts
  • 2017-11-03: Largest IV drop — 14.1% change
  • 2017-11-29: Highest IV Rank — 19.7%
  • 2017-11-29: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.58$33.45$36.77$34.19$36.00
Max Pain$33.24$33.00$34.00$33.00$33.00
ATM IV24.2%22.5%26.3%24.0%24.4%
Expected Move6.9%6.5%7.4%6.9%7.0%
HV 20d30.7%25.1%32.1%27.1%25.1%
HV 60d24.7%22.7%25.7%22.7%25.6%
IV Rank14.5%9.6%19.7%13.3%15.7%
IV Percentile42.2%25.4%59.5%40.1%49.6%
Term Structure0.3%-1.8%1.9%-0.2%-0.9%
VWIV24.3%22.1%26.9%26.9%25.3%
Skew 25d2.7%1.3%4.4%4.4%3.6%
Skew 10d8.6%-4.9%24.7%24.7%3.5%
Call IV 25d22.6%20.7%23.9%22.9%23.5%
Put IV 25d25.3%23.3%27.3%27.3%27.0%
Bid-Ask Spread %73.0232.95100.6886.81100.68
Gamma HHI0.360.230.700.320.30
Net GEX707.9K68.4K2.2M780.8K274.7K
Net DEX-5.1M-10.4M-1.7M-7.4M-5.0M
Net VEX-20.9K-29.1K-15.0K-29.1K-19.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.384.634.631.65
Total Volume1,530.8577174,2533,902775
Total OI8,585.9053,20611,86410,8394,321

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$34.19$33.0024.0%6.9%27.1%13.3%26.9%4.4%-0.2%780.8K-7.4M-29.1K4.6386.81N/AN/A6933,2096,6454,194
2017-11-02$33.45$34.0026.3%7.3%28.3%18.5%24.7%3.5%-1.0%516.8K-2.5M-27.6K2.6877.09N/AN/A1,1553,0986,1824,862
2017-11-03$33.51$34.0022.6%6.7%28.2%11.8%24.1%2.2%0.9%730.2K-4.5M-24.7K2.8543.48N/AN/A6241,7816,1964,107
2017-11-06$34.87$33.0024.7%6.7%31.3%12.0%26.1%3.0%1.3%833.8K-10.4M-24.4K0.4061.60N/AN/A2,4389696,3164,496
2017-11-07$33.86$34.0026.1%7.0%32.0%15.2%25.6%3.1%1.6%801.1K-5.9M-24.7K1.3467.92N/AN/A6008056,4694,557
2017-11-08$33.85$34.0023.1%6.6%32.0%11.6%24.1%1.7%1.9%870.6K-5.6M-24.5K1.4366.99N/AN/A6339056,7284,818
2017-11-09$34.03$34.0023.7%6.8%31.9%13.4%24.1%2.0%1.9%941.1K-6.4M-24.0K1.2464.63N/AN/A6207686,7624,901
2017-11-10$33.78$33.0025.0%7.2%32.1%17.5%24.4%2.8%1.1%1.0M-5.3M-23.1K1.2459.02N/AN/A5626956,7844,934
2017-11-13$33.94$33.0024.6%7.0%31.8%16.2%24.6%3.5%1.2%1.4M-6.3M-19.8K1.1864.93N/AN/A5626636,8154,935
2017-11-14$33.82$33.0024.6%7.1%31.7%16.4%24.8%2.8%1.4%1.4M-5.5M-19.1K1.0566.59N/AN/A5625926,8354,939
2017-11-15$33.55$33.0025.5%7.3%32.0%19.2%25.2%2.0%1.0%1.3M-3.8M-17.8K0.7877.33N/AN/A6635156,8464,925
2017-11-16$33.69$33.0024.1%6.9%32.0%14.6%22.8%2.9%1.5%2.2M-5.1M-16.7K0.8471.10N/AN/A6935826,9304,918
2017-11-17$33.90$33.0023.9%6.9%31.0%14.1%22.8%2.9%1.8%68.4K-2.7M-15.2K0.9390.88N/AN/A6155736,9264,938
2017-11-20$34.44$33.0024.6%7.0%31.2%16.2%24.9%2.4%-1.0%98.3K-1.7M-15.0K0.3885.69N/AN/A9353541,8901,316
2017-11-21$35.03$33.0023.0%6.6%31.5%11.1%23.0%2.5%0.2%218.4K-3.7M-19.7K0.9172.39N/AN/A4063692,6121,391
2017-11-22$35.56$33.0022.5%6.5%30.9%9.6%23.1%3.2%-0.4%253.7K-4.4M-19.7K1.0888.96N/AN/A3533832,7101,392
2017-11-24$35.43$33.0023.1%6.6%30.9%11.4%22.1%2.6%-0.3%256.3K-4.3M-19.4K1.1332.95N/AN/A3443882,7281,382
2017-11-27$36.10$33.0023.7%6.8%31.1%13.5%23.5%1.3%-1.5%288.6K-5.3M-18.7K1.1380.30N/AN/A3794302,7401,394
2017-11-28$36.77$33.0023.8%6.8%31.4%13.8%24.5%2.2%-1.1%284.5K-6.1M-18.1K1.4189.17N/AN/A2984192,7701,440
2017-11-29$36.47$33.0025.7%7.4%31.9%19.7%24.7%2.3%-1.8%280.2K-5.6M-18.8K1.5184.84N/AN/A2954452,7781,482
2017-11-30$36.00$33.0024.4%7.0%25.1%15.7%25.3%3.6%-0.9%274.7K-5.0M-19.2K1.65100.68N/AN/A2924832,7901,531