COMM Options History — February 2018

In February 2018, COMM traded between $36.87 and $39.74. ATM implied volatility averaged 37.0%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 12.2% (HV 20d: 24.8%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.83.

Notable Days

  • 2018-02-15: Highest Volume — 5,234 contracts
  • 2018-02-07: Largest IV drop — 41.0% change
  • 2018-02-08: Highest IV Rank — 85.4%
  • 2018-02-08: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.40$36.87$39.74$39.74$38.77
Max Pain$39.68$39.00$40.00$40.00$39.00
ATM IV37.0%23.0%65.8%48.7%23.7%
Expected Move9.4%6.6%13.2%9.9%6.8%
HV 20d24.8%15.8%28.0%15.8%28.0%
HV 60d19.3%17.7%20.3%18.3%19.5%
IV Rank43.0%11.1%85.4%48.0%13.3%
IV Percentile72.7%36.9%97.2%78.6%45.6%
Term Structure-2.7%-9.0%5.0%-1.9%0.7%
VWIV33.2%23.3%47.2%34.9%25.6%
Skew 25d4.8%2.4%8.2%3.1%2.4%
Skew 10d8.4%-8.5%22.8%9.5%-3.4%
Call IV 25d30.5%21.4%43.0%32.4%25.4%
Put IV 25d35.3%25.2%48.9%35.5%27.9%
Bid-Ask Spread %80.2536.46112.5945.34109.28
Gamma HHI0.260.240.480.270.26
Net GEX362.5K36.2K970.5K548.5K371.0K
Net DEX-8.9M-18.7M-1.9M-18.7M-3.9M
Net VEX-46.2K-62.1K-29.5K-61.7K-31.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.281.540.370.77
Total Volume1,795.7894985,2341,734498
Total OI10,893.5795,24716,09013,3416,393

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$39.74$40.0048.7%9.9%15.8%48.0%34.9%3.1%-1.9%548.5K-18.7M-61.7K0.3745.34N/AN/A1,2684669,0074,334
2018-02-02$38.60$40.0050.5%10.3%19.0%53.1%36.2%3.6%-3.8%500.8K-14.5M-62.1K0.3643.04N/AN/A1,1484168,9414,298
2018-02-05$37.50$40.0062.9%11.7%21.6%68.4%39.0%3.6%-5.9%413.2K-10.0M-59.0K0.4450.45N/AN/A1,1525108,8774,298
2018-02-06$37.88$40.0065.8%11.2%21.5%63.0%38.6%6.8%-4.9%430.1K-10.7M-59.1K0.5247.18N/AN/A1,0785618,8844,425
2018-02-07$38.26$40.0038.8%11.1%21.8%61.7%37.6%6.3%-5.6%462.1K-12.6M-58.0K0.5236.46N/AN/A1,0685588,9024,608
2018-02-08$36.87$40.0046.2%13.2%25.0%85.4%47.2%6.0%-8.7%354.6K-7.4M-55.9K0.8872.93N/AN/A9668478,8894,611
2018-02-09$37.06$40.0044.9%12.9%24.3%81.3%44.7%8.2%-9.0%332.1K-7.4M-58.0K0.7780.25N/AN/A1,0357938,8754,871
2018-02-12$37.25$40.0043.4%12.4%24.3%76.6%44.1%6.7%-6.3%362.3K-8.6M-53.6K1.0772.45N/AN/A1,0191,0868,8444,803
2018-02-13$37.73$40.0040.2%11.5%24.6%66.4%41.6%6.1%-5.0%364.7K-9.5M-56.3K1.0974.19N/AN/A9901,0828,9055,410
2018-02-14$38.88$40.0042.1%12.1%27.0%72.2%41.1%7.4%-5.5%431.4K-14.3M-54.6K0.9369.65N/AN/A2,0541,9148,9105,409
2018-02-15$39.20$40.0025.5%7.3%27.0%19.1%27.2%5.8%2.1%970.5K-17.0M-49.4K0.50103.33N/AN/A3,4821,7529,8016,289
2018-02-16$39.05$40.0024.2%6.9%27.0%15.1%24.2%3.0%5.0%36.2K-14.3M-30.7K0.54105.14N/AN/A2,0961,1407,6685,849
2018-02-20$38.80$40.0024.7%7.1%27.1%16.6%24.7%4.8%-1.3%58.9K-2.6M-30.6K1.3098.14N/AN/A2813662,6922,557
2018-02-21$38.55$39.0024.4%7.0%27.1%15.6%26.3%4.1%-0.3%45.4K-2.2M-30.1K1.5493.88N/AN/A2523872,6942,560
2018-02-22$38.28$39.0025.2%7.2%27.2%18.1%24.5%3.7%-0.5%37.6K-1.9M-29.5K0.28106.41N/AN/A1,3783862,7112,536
2018-02-23$38.72$39.0023.0%6.6%27.5%11.1%23.3%3.5%1.0%325.4K-3.8M-33.1K1.1596.52N/AN/A3353863,8052,536
2018-02-26$39.28$39.0024.9%7.1%27.8%17.1%24.3%4.0%-1.8%423.3K-5.1M-31.9K1.44107.58N/AN/A2643803,8352,534
2018-02-27$39.24$39.0024.2%6.9%27.7%14.9%25.9%2.9%-0.2%419.4K-5.0M-31.8K1.37112.59N/AN/A3064203,8622,555
2018-02-28$38.77$39.0023.7%6.8%28.0%13.3%25.6%2.4%0.7%371.0K-3.9M-31.7K0.77109.28N/AN/A2812173,8712,522