COMM Options History — August 2018

In August 2018, COMM traded between $30.50 and $31.97. ATM implied volatility averaged 22.0%, placing in the 3.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.7% (HV 20d: 19.3%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.71.

Notable Days

  • 2018-08-08: Highest Volume — 7,046 contracts
  • 2018-08-13: Largest IV spike — 19.8% change
  • 2018-08-01: Highest IV Rank — 22.4%
  • 2018-08-01: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.34$30.50$31.97$31.95$31.67
Max Pain$31.70$30.00$32.00$30.00$32.00
ATM IV22.0%18.2%29.0%29.0%18.9%
Expected Move6.1%5.2%8.3%8.3%5.4%
HV 20d19.3%13.7%21.3%20.1%13.7%
HV 60d16.7%15.9%18.3%18.3%16.0%
IV Rank3.4%0.0%22.4%22.4%1.7%
IV Percentile9.3%0.0%66.3%66.3%1.2%
Term Structure3.9%-2.3%8.6%-2.3%1.6%
VWIV19.8%12.4%29.9%29.9%17.4%
Skew 25d2.2%0.7%4.0%4.0%3.6%
Skew 10d3.5%-5.2%11.7%5.3%6.2%
Call IV 25d20.5%16.6%28.3%28.3%16.6%
Put IV 25d22.7%20.1%32.4%32.4%20.1%
Bid-Ask Spread %47.7120.3992.2992.2969.46
Gamma HHI0.410.310.560.360.45
Net GEX1.3M398.1K3.5M564.0K1.5M
Net DEX-6.5M-14.5M-109.9K-8.7M-5.8M
Net VEX-36.1K-48.1K-24.0K-24.1K-39.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.071.290.801.28
Total Volume3,276.4351,5207,0462,2683,100
Total OI13,549.4788,36617,8888,36614,971

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-08-01$31.95$30.0029.0%8.3%20.1%22.4%29.9%4.0%-2.3%564.0K-8.7M-24.1K0.8092.29N/AN/A1,2611,0075,8852,481
2018-08-02$31.65$30.0024.2%6.9%20.6%9.6%25.1%1.2%-1.3%614.0K-7.4M-24.0K0.5883.06N/AN/A1,7971,0355,6922,866
2018-08-03$31.59$30.0024.8%7.1%20.7%11.3%23.2%1.3%-1.5%689.3K-7.6M-28.9K0.5328.14N/AN/A1,7509246,5733,288
2018-08-06$31.27$31.0025.4%6.7%20.8%6.9%22.9%1.8%7.2%725.8K-6.1M-27.6K0.4835.37N/AN/A1,1375466,5683,360
2018-08-07$31.52$32.0021.9%6.2%20.9%2.4%21.3%2.2%7.8%805.5K-7.3M-27.5K0.0739.21N/AN/A6,4434356,7343,432
2018-08-08$31.73$32.0021.9%6.0%20.8%0.5%19.6%2.5%8.4%1.6M-13.2M-46.1K0.0963.63N/AN/A6,47057611,6533,496
2018-08-09$31.97$32.0021.7%6.3%20.8%3.6%21.6%2.5%7.2%1.8M-14.5M-48.1K0.5487.02N/AN/A98453611,9223,668
2018-08-10$31.67$32.0022.1%6.0%21.1%0.9%21.2%1.5%8.1%1.7M-12.8M-46.8K0.5567.01N/AN/A99354511,9433,686
2018-08-13$31.39$32.0026.5%6.4%20.7%4.2%21.5%2.1%7.8%1.8M-10.5M-41.8K0.6030.31N/AN/A98159111,9313,686
2018-08-14$31.17$32.0026.9%6.3%20.8%3.5%20.8%2.3%7.6%1.8M-8.6M-39.5K0.6835.54N/AN/A98166511,9643,697
2018-08-15$30.83$32.0022.5%6.5%19.7%5.0%21.3%2.6%7.0%1.7M-5.8M-37.1K0.3338.90N/AN/A2,01365911,9643,781
2018-08-16$30.80$32.0021.2%6.1%19.7%1.5%22.2%3.3%7.6%2.2M-5.3M-35.8K0.7429.77N/AN/A1,6501,21312,3983,781
2018-08-17$30.89$32.0020.8%6.0%19.6%0.5%22.6%1.8%8.6%3.5M-4.7M-38.6K0.7751.47N/AN/A2,1321,64713,0394,849
2018-08-20$31.18$32.0021.6%6.2%19.8%2.5%18.6%1.9%0.7%900.9K-4.1M-38.8K0.9058.69N/AN/A1,8571,6799,5773,338
2018-08-21$31.12$32.0021.3%6.1%19.8%1.7%15.1%1.6%1.2%798.9K-3.3M-36.2K0.8820.39N/AN/A1,9191,6839,3023,559
2018-08-22$30.70$32.0020.7%5.9%20.4%0.1%22.4%1.5%1.6%544.2K-1.1M-32.2K0.8853.69N/AN/A1,8971,6699,4343,651
2018-08-23$30.50$32.0020.5%5.9%20.4%0.0%15.4%2.6%2.3%398.1K-109.9K-29.9K0.8831.34N/AN/A1,8971,6609,4293,660
2018-08-24$30.91$32.0019.7%5.6%21.0%0.0%16.8%3.1%2.3%634.2K-1.6M-32.1K0.9023.60N/AN/A1,9591,7569,4293,653
2018-08-27$31.26$32.0019.9%5.7%21.3%0.7%15.6%0.7%1.7%955.4K-3.6M-34.8K0.8649.82N/AN/A2,2371,9159,7883,745
2018-08-28$31.56$32.0018.5%5.3%13.7%0.0%13.5%1.9%2.0%1.2M-5.1M-37.8K0.6750.28N/AN/A2,6591,78810,1343,918
2018-08-29$31.79$32.0018.6%5.3%14.0%0.2%12.4%1.3%2.3%1.5M-7.6M-43.5K0.9635.34N/AN/A1,8451,76810,9033,918
2018-08-30$31.60$32.0018.2%5.2%13.7%0.0%13.9%3.3%1.9%1.3M-5.3M-39.2K1.2923.02N/AN/A1,3561,74310,9163,976
2018-08-31$31.67$32.0018.9%5.4%13.7%1.7%17.4%3.6%1.6%1.5M-5.8M-39.4K1.2869.46N/AN/A1,3571,74310,9454,026