COMM Options History — March 2018

In March 2018, COMM traded between $38.41 and $40.99. ATM implied volatility averaged 24.3%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.3% (HV 20d: 21.0%). Max pain ranged from $39.00 to $39.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2018-03-06: Highest Volume — 2,854 contracts
  • 2018-03-12: Largest IV spike — 18.0% change
  • 2018-03-01: Highest IV Rank — 25.7%
  • 2018-03-01: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.07$38.41$40.99$38.41$40.01
Max Pain$39.00$39.00$39.00$39.00$39.00
ATM IV24.3%21.5%27.6%27.6%22.0%
Expected Move6.8%6.2%7.9%7.9%6.3%
HV 20d21.0%16.5%28.1%28.1%25.7%
HV 60d20.2%19.4%22.8%19.6%22.8%
IV Rank13.3%6.4%25.7%25.7%7.8%
IV Percentile40.6%9.5%67.9%67.9%16.3%
Term Structure6.1%-1.5%8.7%-1.5%8.7%
VWIV26.5%22.7%34.1%28.4%24.9%
Skew 25d3.8%2.2%5.9%2.8%3.6%
Skew 10d9.0%-36.8%54.1%0.5%4.4%
Call IV 25d22.8%19.9%26.7%26.7%21.9%
Put IV 25d26.6%24.0%30.0%29.5%25.5%
Bid-Ask Spread %89.0062.08113.74111.3199.55
Gamma HHI0.270.200.370.240.26
Net GEX592.6K261.5K1.2M310.7K449.7K
Net DEX-7.1M-12.0M-2.6M-3.3M-4.9M
Net VEX-29.2K-35.6K-24.2K-31.4K-24.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.141.300.960.68
Total Volume756.4764172,854470670
Total OI6,826.3335,9637,9586,4356,130

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$38.41$39.0027.6%7.9%28.1%25.7%28.4%2.8%-1.5%310.7K-3.3M-31.4K0.96111.31N/AN/A2402303,8842,551
2018-03-02$39.51$39.0025.4%7.3%28.1%18.9%29.2%4.0%-1.1%468.2K-5.5M-31.3K0.65113.74N/AN/A3282143,9072,555
2018-03-05$39.90$39.0024.3%6.7%26.1%12.3%23.6%4.5%6.9%535.5K-6.6M-30.3K0.6962.08N/AN/A3082143,9762,580
2018-03-06$40.15$39.0026.2%6.8%23.5%13.9%22.7%3.2%6.5%565.4K-7.3M-29.3K0.1474.80N/AN/A2,5123423,9792,580
2018-03-07$40.00$39.0026.4%6.9%23.5%14.6%26.5%3.6%7.6%788.2K-8.0M-35.6K0.2879.03N/AN/A1,2293425,1572,635
2018-03-08$40.38$39.0025.6%6.8%23.5%13.8%26.4%2.2%7.4%872.9K-9.3M-35.1K0.2693.80N/AN/A1,2333165,1872,635
2018-03-09$40.98$39.0022.6%6.5%18.6%10.3%34.1%5.9%6.9%872.8K-11.2M-33.5K0.9788.36N/AN/A3213105,1782,645
2018-03-12$40.99$39.0026.6%7.1%18.6%16.8%26.2%3.2%6.0%844.7K-11.5M-31.4K1.0884.85N/AN/A3193435,1392,655
2018-03-13$40.98$39.0026.0%6.4%18.7%8.6%26.0%4.1%6.5%920.3K-11.6M-31.1K1.0780.58N/AN/A3203445,1682,688
2018-03-14$40.70$39.0022.1%6.3%18.9%8.1%28.0%3.5%6.9%1.0M-10.7M-30.7K1.2878.87N/AN/A3083935,2232,686
2018-03-15$40.45$39.0022.9%6.6%16.5%10.7%25.9%3.7%8.0%1.2M-9.9M-30.5K1.1086.61N/AN/A3083405,2232,735
2018-03-16$40.93$39.0021.9%6.3%16.7%7.7%25.3%3.8%7.3%453.9K-12.0M-28.8K1.02100.37N/AN/A3313395,2142,722
2018-03-19$40.53$39.0022.0%6.3%17.1%8.0%27.5%2.9%7.6%449.3K-6.1M-28.1K1.2293.64N/AN/A2312813,8142,178
2018-03-20$40.27$39.0022.5%6.5%17.1%9.6%25.3%2.8%6.9%434.4K-5.6M-27.5K1.1082.72N/AN/A2232453,7842,179
2018-03-21$40.40$39.0021.5%6.2%16.8%6.4%25.4%4.2%7.3%467.1K-5.7M-27.3K1.3096.55N/AN/A1912483,8022,205
2018-03-22$39.71$39.0024.4%7.0%17.9%15.7%25.6%4.1%5.9%376.4K-4.5M-26.8K1.1288.28N/AN/A1972203,8002,210
2018-03-23$38.96$39.0027.2%7.8%19.0%24.6%27.3%5.0%4.8%289.0K-3.2M-26.0K0.8091.94N/AN/A2602073,7972,232
2018-03-26$40.15$39.0023.5%6.7%21.2%12.7%25.0%5.1%6.0%447.2K-5.1M-25.8K0.7984.21N/AN/A2612073,8452,251
2018-03-27$39.41$39.0024.1%6.9%22.4%14.8%26.8%3.6%8.3%348.1K-3.8M-25.3K0.8188.47N/AN/A2672153,8462,251
2018-03-28$38.67$39.0025.2%7.2%23.0%18.1%27.4%4.3%5.7%261.5K-2.6M-24.2K0.8189.30N/AN/A2642153,8512,276
2018-03-29$40.01$39.0022.0%6.3%25.7%7.8%24.9%3.6%8.7%449.7K-4.9M-24.2K0.6899.55N/AN/A3992713,8542,276