COMM Options History — September 2018

In September 2018, COMM traded between $29.52 and $31.43. ATM implied volatility averaged 21.5%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 5.0% (HV 20d: 16.5%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.07.

Notable Days

  • 2018-09-26: Highest Volume — 2,787 contracts
  • 2018-09-24: Largest IV spike — 12.3% change
  • 2018-09-24: Highest IV Rank — 12.9%
  • 2018-09-24: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.50$29.52$31.43$31.43$30.74
Max Pain$31.63$31.00$32.00$32.00$31.00
ATM IV21.5%20.0%23.3%20.2%20.9%
Expected Move6.2%5.7%6.7%5.8%6.0%
HV 20d16.5%13.3%22.0%13.5%22.0%
HV 60d17.1%16.0%19.1%16.0%19.1%
IV Rank8.7%4.6%12.9%5.2%6.8%
IV Percentile12.4%2.4%30.6%2.4%6.0%
Term Structure8.9%0.9%12.3%1.3%12.3%
VWIV21.0%16.7%24.3%17.7%24.3%
Skew 25d2.2%1.3%3.0%1.6%2.7%
Skew 10d6.6%-1.7%35.2%1.4%12.2%
Call IV 25d20.7%19.6%21.7%19.7%19.8%
Put IV 25d22.9%21.3%24.2%21.3%22.4%
Bid-Ask Spread %45.7618.1290.1332.4938.59
Gamma HHI0.220.140.400.400.16
Net GEX188.6K-238.4K1.1M1.1M198.5K
Net DEX363.1K-4.3M4.2M-4.3M-2.5M
Net VEX-22.8K-35.1K-15.8K-35.1K-28.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.351.991.991.21
Total Volume1,544.7371,0252,7871,0841,324
Total OI12,863.9475,35616,14314,9997,021

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$31.43$32.0020.2%5.8%13.5%5.2%17.7%1.6%1.3%1.1M-4.3M-35.1K1.9932.49N/AN/A36272210,9454,054
2018-09-05$31.26$32.0020.6%5.9%13.3%6.0%16.7%1.9%0.9%973.0K-3.3M-33.8K1.9240.99N/AN/A37371710,9694,088
2018-09-06$30.98$32.0020.4%6.2%13.4%9.0%21.8%2.7%7.8%626.4K-1.3M-29.9K1.7482.37N/AN/A40771010,9724,077
2018-09-07$30.47$32.0021.4%6.4%14.0%10.1%21.8%2.1%8.0%283.2K679.4K-25.9K1.7521.29N/AN/A40571011,0394,076
2018-09-10$30.56$32.0021.4%6.2%13.9%8.9%19.8%3.0%9.6%209.3K863.0K-23.9K1.4018.34N/AN/A42759811,0494,076
2018-09-11$30.96$32.0020.7%6.2%14.6%8.5%18.9%2.4%8.8%302.9K-182.4K-24.2K0.9270.15N/AN/A67161410,8174,128
2018-09-12$31.15$32.0022.0%6.3%14.6%9.7%21.6%1.5%8.7%476.4K-1.0M-25.0K0.6650.28N/AN/A90860310,9064,128
2018-09-13$30.77$32.0021.2%6.1%14.7%7.6%21.2%2.8%8.8%17.4K898.9K-21.6K0.6676.63N/AN/A92961511,1074,128
2018-09-14$30.27$32.0021.9%6.3%15.8%9.3%20.1%2.9%9.0%-184.1K2.7M-19.3K0.6876.04N/AN/A90361511,1644,204
2018-09-17$30.27$32.0022.4%6.4%15.7%10.7%18.8%2.1%8.3%-190.2K2.7M-18.1K0.6533.10N/AN/A90258511,1664,186
2018-09-18$29.52$32.0021.8%6.2%17.4%9.1%21.8%2.2%9.3%-165.9K4.2M-15.8K0.9136.89N/AN/A88380211,1664,178
2018-09-19$30.02$32.0021.8%6.3%18.7%9.1%21.5%1.3%9.9%-162.0K3.6M-17.3K0.7918.12N/AN/A1,13389011,1864,409
2018-09-20$30.55$31.0020.0%5.7%19.4%4.6%20.8%1.8%11.4%-238.4K1.9M-19.4K0.7845.60N/AN/A1,24897611,4804,663
2018-09-21$30.45$31.0020.8%6.0%19.3%6.5%21.2%1.9%11.2%75.6K2.6M-17.7K0.8737.97N/AN/A1,1781,02211,2934,453
2018-09-24$30.12$31.0023.3%6.7%18.9%12.9%21.8%2.0%9.5%43.3K69.6K-16.6K0.8142.50N/AN/A8336733,2842,072
2018-09-25$30.20$31.0022.5%6.4%18.4%10.8%22.5%2.4%11.7%48.3K-35.8K-17.0K0.8831.18N/AN/A8367383,3102,121
2018-09-26$30.07$31.0022.3%6.4%17.9%10.4%23.3%1.7%11.9%34.3K136.2K-17.2K0.3590.13N/AN/A2,0677203,3472,163
2018-09-27$29.74$31.0021.9%6.3%17.8%9.5%24.2%2.5%11.6%94.0K-797.6K-26.2K1.3426.86N/AN/A5357164,8322,158
2018-09-28$30.74$31.0020.9%6.0%22.0%6.8%24.3%2.7%12.3%198.5K-2.5M-28.6K1.2138.59N/AN/A5997254,8382,183