COMM Options History — January 2018

In January 2018, COMM traded between $37.82 and $39.01. ATM implied volatility averaged 33.0%, placing in the 45.9% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 19.5% (HV 20d: 13.5%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.32.

Notable Days

  • 2018-01-05: Highest Volume — 3,392 contracts
  • 2018-01-16: Largest IV spike — 51.9% change
  • 2018-01-30: Highest IV Rank — 91.4%
  • 2018-01-30: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.56$37.82$39.01$38.20$38.62
Max Pain$35.57$35.00$36.00$36.00$36.00
ATM IV33.0%21.0%48.1%22.7%48.0%
Expected Move9.7%6.5%13.8%6.5%13.8%
HV 20d13.5%12.4%15.3%15.3%12.4%
HV 60d21.7%17.4%22.7%22.7%17.4%
IV Rank45.9%9.9%91.4%10.1%91.3%
IV Percentile75.5%31.7%98.8%32.9%98.4%
Term Structure-2.9%-15.4%6.4%3.0%-13.1%
VWIV35.1%23.1%47.9%23.1%47.9%
Skew 25d3.6%1.3%5.4%2.8%1.3%
Skew 10d8.1%4.4%13.5%11.0%4.6%
Call IV 25d31.8%20.7%47.2%20.9%47.2%
Put IV 25d35.4%23.7%48.9%23.7%48.5%
Bid-Ask Spread %84.6272.70104.9579.4679.55
Gamma HHI0.300.220.460.370.22
Net GEX423.1K305.7K591.1K494.1K362.5K
Net DEX-14.5M-17.1M-12.4M-12.4M-12.8M
Net VEX-61.5K-66.2K-44.1K-44.1K-61.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.320.136.220.130.36
Total Volume1,724.1435273,3922,3231,821
Total OI11,343.9057,26812,4667,26812,422

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$38.20$36.0022.7%6.5%15.3%10.1%23.1%2.8%3.0%494.1K-12.4M-44.1K0.1379.46N/AN/A2,0482755,8731,395
2018-01-03$38.15$36.0022.6%6.5%14.9%9.9%25.7%3.2%4.0%591.1K-15.0M-56.5K0.55104.95N/AN/A5052777,1981,484
2018-01-04$37.82$35.0021.9%8.1%15.0%28.3%30.3%4.1%3.5%580.7K-14.2M-58.6K6.2286.70N/AN/A4132,5707,3511,547
2018-01-05$38.07$35.0022.2%7.8%14.2%25.0%28.2%4.5%3.1%314.2K-13.3M-63.9K3.9990.91N/AN/A6802,7127,3543,713
2018-01-08$38.52$35.0021.2%7.0%14.0%15.8%26.6%2.7%6.4%403.7K-15.3M-62.7K3.3993.40N/AN/A4351,4757,6113,845
2018-01-09$38.71$35.0021.0%7.1%13.4%17.2%26.8%3.0%5.1%437.2K-16.0M-62.9K3.4995.27N/AN/A4261,4867,7394,101
2018-01-10$38.22$35.0025.1%7.2%13.5%18.0%27.8%3.1%5.6%336.8K-14.2M-64.3K3.1493.07N/AN/A3891,2237,7644,112
2018-01-11$38.83$35.0023.8%6.8%14.2%13.6%24.8%1.5%6.3%481.0K-16.6M-61.8K2.3099.89N/AN/A5341,2267,7884,130
2018-01-12$38.99$35.0024.9%7.1%14.3%17.2%26.6%5.2%5.8%514.8K-17.1M-61.2K2.3597.21N/AN/A5251,2367,8284,154
2018-01-16$38.55$35.0037.8%10.8%13.2%58.6%37.7%5.4%-7.0%454.7K-14.9M-63.4K2.0985.57N/AN/A7421,5497,8934,169
2018-01-17$38.69$36.0035.9%10.3%12.8%52.5%38.1%3.8%-4.9%500.3K-15.5M-63.8K3.2173.23N/AN/A4011,2888,0524,274
2018-01-18$38.43$36.0037.5%10.7%13.1%57.6%39.9%4.2%-5.9%479.9K-14.8M-63.8K4.1776.65N/AN/A3001,2528,1144,310
2018-01-19$38.65$36.0036.0%10.3%13.2%52.8%38.9%5.0%-5.8%447.4K-15.4M-63.3K3.7477.84N/AN/A3351,2528,1274,339
2018-01-22$38.68$36.0039.0%11.2%12.7%62.5%40.3%5.4%-6.8%438.3K-14.7M-61.5K3.1972.70N/AN/A3231,0307,6893,084
2018-01-23$38.84$36.0038.9%11.1%12.7%62.0%41.0%3.8%-8.0%356.7K-14.4M-66.1K0.9274.56N/AN/A2752527,7923,963
2018-01-24$38.67$36.0039.7%11.4%12.7%64.7%42.4%3.5%-7.6%353.1K-13.9M-66.2K0.8373.94N/AN/A3222667,8354,074
2018-01-25$38.47$36.0039.1%11.2%12.6%62.6%39.5%2.3%-7.0%353.8K-13.2M-65.9K2.2978.23N/AN/A8471,9427,8504,082
2018-01-26$38.83$36.0039.5%11.3%13.0%64.1%40.4%2.6%-7.8%305.7K-13.4M-60.2K0.9683.16N/AN/A4154007,3404,126
2018-01-29$39.01$35.0047.4%13.6%13.0%89.3%44.5%4.5%-13.8%309.0K-13.7M-59.2K0.4586.65N/AN/A1,1785317,3624,083
2018-01-30$38.79$36.0048.1%13.8%12.6%91.4%47.0%2.7%-15.4%368.9K-13.6M-61.3K0.9174.07N/AN/A5505018,0014,254
2018-01-31$38.62$36.0048.0%13.8%12.4%91.3%47.9%1.3%-13.1%362.5K-12.8M-61.3K0.3679.55N/AN/A1,3404818,0974,325