COMM Options History — July 2018

In July 2018, COMM traded between $29.22 and $32.03. ATM implied volatility averaged 39.1%, placing in the 68.7% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 25.4% (HV 20d: 13.8%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2018-07-31: Highest Volume — 3,706 contracts
  • 2018-07-11: Largest IV spike — 56.5% change
  • 2018-07-30: Highest IV Rank — 100.0%
  • 2018-07-30: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.07$29.22$32.03$29.27$32.03
Max Pain$28.24$28.00$30.00$30.00$29.00
ATM IV39.1%24.8%58.0%25.7%35.3%
Expected Move12.0%7.4%16.6%7.4%10.1%
HV 20d13.8%11.8%20.0%11.9%20.0%
HV 60d57.8%17.0%67.7%67.7%19.2%
IV Rank68.7%16.7%100.0%16.7%39.3%
IV Percentile89.3%54.0%100.0%54.0%73.8%
Term Structure-6.0%-17.6%13.3%13.3%-6.5%
VWIV42.2%25.7%61.5%25.7%36.4%
Skew 25d4.2%0.7%6.5%2.8%2.4%
Skew 10d9.3%3.1%13.1%10.4%3.1%
Call IV 25d40.0%24.2%57.2%24.2%35.2%
Put IV 25d44.2%27.0%61.7%27.0%37.6%
Bid-Ask Spread %28.4116.8683.3516.8683.35
Gamma HHI0.290.220.440.230.32
Net GEX143.0K39.2K331.1K73.1K254.9K
Net DEX-2.0M-5.4M-330.2K-330.2K-5.4M
Net VEX-15.9K-17.5K-13.5K-17.5K-17.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.221.070.260.27
Total Volume1,475.199793,7061,5943,706
Total OI5,589.5244,2066,3895,5956,218

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$29.27$30.0025.7%7.4%11.9%16.7%25.7%2.8%13.3%73.1K-330.2K-17.5K0.2616.86N/AN/A1,2693253,3772,218
2018-07-03$29.22$30.0026.6%7.6%11.8%19.7%26.7%4.0%12.5%69.4K-339.7K-17.5K0.2734.10N/AN/A1,2203253,4352,213
2018-07-05$29.46$28.0026.8%11.4%12.2%63.1%39.1%5.7%-4.6%91.1K-771.7K-17.3K0.2224.23N/AN/A1,1882673,4462,213
2018-07-06$29.59$28.0024.8%11.2%12.4%61.8%37.9%5.1%-4.4%103.5K-1.0M-17.4K0.2320.56N/AN/A1,1852673,4462,224
2018-07-09$30.00$28.0025.8%11.5%13.3%64.1%39.7%5.3%-5.0%151.3K-1.8M-16.8K0.2323.73N/AN/A1,1852673,4452,224
2018-07-10$29.96$28.0025.8%11.6%13.3%65.9%38.6%5.5%-5.3%148.9K-1.8M-16.3K0.2225.16N/AN/A1,1962683,4452,224
2018-07-11$29.85$28.0040.4%11.6%12.4%65.7%38.5%5.4%-5.5%136.2K-1.5M-15.8K0.2327.85N/AN/A1,1962723,4412,228
2018-07-12$29.91$28.0040.6%11.6%12.3%66.4%43.3%5.5%-5.4%151.9K-1.7M-15.5K0.2342.05N/AN/A1,1912763,4412,233
2018-07-13$29.77$28.0040.9%11.7%12.4%67.3%39.3%5.4%-5.6%124.6K-1.3M-15.1K0.2725.29N/AN/A1,0502863,4612,243
2018-07-16$29.37$28.0042.9%12.3%13.1%73.9%42.4%4.2%-7.1%39.2K-392.3K-13.5K0.3320.99N/AN/A1,0523443,4732,243
2018-07-17$29.72$28.0041.3%11.8%13.7%68.7%39.8%5.6%-6.1%111.9K-1.2M-13.6K0.7524.89N/AN/A5594213,4892,273
2018-07-18$30.42$28.0042.7%12.2%15.5%73.3%40.8%4.7%-7.4%331.1K-3.1M-13.7K0.4319.26N/AN/A1,0054293,5202,396
2018-07-19$30.29$28.0042.9%12.3%15.5%74.1%45.6%5.1%-7.5%320.0K-3.3M-14.7K0.6828.20N/AN/A6244243,9442,408
2018-07-20$30.23$28.0043.0%12.3%14.6%74.4%42.6%5.0%-7.9%120.4K-3.8M-14.3K0.7024.29N/AN/A5774023,9692,420
2018-07-23$30.13$28.0045.3%13.0%14.7%82.0%52.5%6.5%-9.8%115.2K-1.7M-13.7K0.6341.63N/AN/A6674172,7671,439
2018-07-24$30.14$28.0047.4%13.6%14.7%89.1%46.8%0.7%-10.4%119.4K-2.0M-15.2K0.7719.01N/AN/A8376482,9661,573
2018-07-25$30.37$28.0048.1%13.8%14.8%91.2%48.5%1.9%-11.3%127.3K-2.4M-16.8K0.6824.72N/AN/A8665933,2971,893
2018-07-26$30.54$28.0048.1%13.8%13.9%91.4%50.4%0.9%-11.6%136.3K-2.7M-17.0K1.0727.43N/AN/A5716123,3631,913
2018-07-27$30.60$28.0048.9%14.0%13.7%94.1%50.2%1.2%-12.3%142.6K-2.9M-17.2K0.6122.62N/AN/A7534593,4451,933
2018-07-30$30.59$28.0058.0%16.6%12.8%100.0%61.5%4.5%-17.6%135.0K-2.9M-17.3K0.7620.37N/AN/A1,0107703,5241,957
2018-07-31$32.03$29.0035.3%10.1%20.0%39.3%36.4%2.4%-6.5%254.9K-5.4M-17.5K0.2783.35N/AN/A2,9247823,8882,330