COMM Options History — December 2017

In December 2017, COMM traded between $36.09 and $38.78. ATM implied volatility averaged 23.3%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.5% (HV 20d: 17.8%). Max pain ranged from $33.00 to $36.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2017-12-21: Highest Volume — 3,783 contracts
  • 2017-12-13: Largest IV drop — 17.0% change
  • 2017-12-06: Highest IV Rank — 17.0%
  • 2017-12-06: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.79$36.09$38.78$36.09$37.85
Max Pain$35.70$33.00$36.00$33.00$36.00
ATM IV23.3%20.9%26.9%24.8%21.6%
Expected Move6.5%6.0%7.1%7.1%6.2%
HV 20d17.8%15.1%23.5%23.3%15.1%
HV 60d24.0%22.6%25.7%25.6%22.7%
IV Rank9.8%4.6%17.0%16.8%6.7%
IV Percentile25.6%2.8%56.0%54.4%11.5%
Term Structure2.7%-1.4%4.7%-1.4%3.5%
VWIV22.6%20.7%25.6%25.6%21.3%
Skew 25d3.0%1.5%4.0%3.8%1.5%
Skew 10d8.0%0.3%15.5%7.0%6.3%
Call IV 25d20.6%18.9%23.0%21.9%21.5%
Put IV 25d23.6%21.8%26.0%25.7%23.0%
Bid-Ask Spread %68.1450.3495.2195.2150.34
Gamma HHI0.300.210.380.300.37
Net GEX349.7K201.1K608.2K285.6K487.7K
Net DEX-10.0M-14.3M-5.0M-5.0M-11.7M
Net VEX-24.7K-46.5K-15.7K-19.0K-45.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.081.871.370.86
Total Volume1,068.455833,783838594
Total OI5,662.83,5897,2654,3317,265

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$36.09$33.0024.8%7.1%23.3%16.8%25.6%3.8%-1.4%285.6K-5.0M-19.0K1.3795.21N/AN/A3534852,7961,535
2017-12-04$36.56$35.0024.5%6.5%23.5%9.7%23.1%2.2%2.0%312.1K-5.8M-18.5K1.1360.73N/AN/A4174702,8641,608
2017-12-05$36.32$35.0026.1%7.0%19.7%15.9%23.8%3.5%1.8%311.6K-5.5M-18.7K1.1468.35N/AN/A3954502,9181,621
2017-12-06$36.91$35.0026.9%7.1%16.5%17.0%25.1%2.9%2.1%302.9K-6.3M-18.6K0.2354.52N/AN/A2,0914882,9391,634
2017-12-07$37.41$36.0026.2%6.9%16.7%14.4%25.1%3.9%1.5%608.2K-11.1M-21.0K0.8974.48N/AN/A5855194,4051,694
2017-12-08$37.90$36.0022.6%6.7%16.9%12.1%23.9%4.0%1.9%481.9K-12.6M-18.9K0.9252.62N/AN/A5555094,4381,703
2017-12-11$38.41$36.0026.3%6.7%16.4%11.9%23.8%3.0%2.7%360.9K-13.6M-17.0K1.0363.78N/AN/A4935094,4661,721
2017-12-12$38.78$36.0026.7%6.3%16.5%8.4%23.1%2.2%2.3%274.7K-14.2M-15.9K1.0465.84N/AN/A4925114,4851,721
2017-12-13$38.74$36.0022.2%6.4%16.3%8.5%22.1%3.5%2.4%256.2K-14.3M-15.7K0.9768.58N/AN/A4984824,5171,725
2017-12-14$38.02$36.0022.5%6.5%17.9%9.5%20.7%3.6%2.0%297.7K-13.4M-16.2K1.0661.58N/AN/A4574834,4981,725
2017-12-15$37.72$36.0021.3%6.1%18.6%5.5%21.5%1.8%3.5%241.1K-12.9M-16.7K1.0557.49N/AN/A4584834,5081,726
2017-12-18$37.77$36.0022.0%6.3%18.7%7.9%22.7%2.9%3.2%246.5K-6.1M-16.3K1.8760.37N/AN/A3817112,657932
2017-12-19$37.83$36.0022.0%6.3%18.3%8.0%22.0%4.0%3.8%201.1K-5.8M-17.8K0.6778.26N/AN/A3962662,6561,382
2017-12-20$38.24$36.0020.9%6.0%17.9%4.6%21.3%3.3%3.9%209.2K-6.3M-16.8K0.6361.41N/AN/A4362752,6811,382
2017-12-21$38.44$36.0022.2%6.4%17.4%8.7%21.7%2.0%4.7%204.4K-6.6M-17.1K0.0881.45N/AN/A3,5082752,7041,391
2017-12-22$38.30$36.0021.3%6.1%17.4%5.7%20.9%2.9%3.3%471.0K-12.7M-46.4K0.8684.02N/AN/A3152725,8041,391
2017-12-26$38.05$36.0022.4%6.4%16.9%9.3%21.7%3.0%3.3%474.1K-12.2M-46.5K0.8980.23N/AN/A3082755,8601,394
2017-12-27$38.16$36.0021.9%6.3%15.8%7.4%21.8%2.9%4.2%480.8K-12.2M-45.9K0.8959.08N/AN/A3082755,8601,395
2017-12-28$38.25$36.0021.8%6.3%15.4%7.3%21.3%2.7%3.9%487.0K-12.5M-45.5K0.8784.48N/AN/A3162755,8601,395
2017-12-29$37.85$36.0021.6%6.2%15.1%6.7%21.3%1.5%3.5%487.7K-11.7M-45.8K0.8650.34N/AN/A3192755,8701,395