COMM Options History — November 2018

In November 2018, COMM traded between $17.51 and $25.04. ATM implied volatility averaged 51.8%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 21.4% (HV 20d: 73.2%). Max pain ranged from $20.00 to $28.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2018-11-08: Highest Volume — 6,445 contracts
  • 2018-11-08: Largest IV drop — 28.3% change
  • 2018-11-02: Highest IV Rank — 96.9%
  • 2018-11-02: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.85$17.51$25.04$25.04$17.84
Max Pain$21.90$20.00$28.00$28.00$20.00
ATM IV51.8%39.4%85.7%61.2%44.3%
Expected Move12.9%9.7%21.1%17.5%12.7%
HV 20d73.2%29.8%86.7%37.3%83.4%
HV 60d47.6%26.8%54.5%26.9%54.5%
IV Rank46.6%27.2%96.9%74.9%45.5%
IV Percentile85.1%66.3%99.6%97.6%86.9%
Term Structure-1.8%-27.5%20.7%-8.1%-0.9%
VWIV45.3%38.8%70.2%63.3%42.5%
Skew 25d6.1%2.2%23.7%10.5%5.5%
Skew 10d11.0%0.8%21.6%0.8%17.7%
Call IV 25d42.7%32.0%67.0%55.6%41.9%
Put IV 25d48.8%41.2%69.3%66.1%47.4%
Bid-Ask Spread %38.8617.77101.68101.6846.74
Gamma HHI0.230.160.350.190.25
Net GEX-20.6K-56.7K39.1K33.3K-37.3K
Net DEX4.3M1.7M8.7M1.8M3.0M
Net VEX-11.9K-14.2K-2.4K-12.8K-13.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.592.200.590.61
Total Volume2,279.2381,4056,4451,6071,461
Total OI9,936.8577,01114,7167,4759,307

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$25.04$28.0061.2%17.5%37.3%74.9%63.3%10.5%-8.1%33.3K1.8M-12.8K0.59101.68N/AN/A1,0085995,3202,155
2018-11-02$24.81$28.0073.8%21.1%33.7%96.9%70.2%2.2%-27.5%35.4K1.7M-13.0K0.7153.05N/AN/A8826235,3212,165
2018-11-05$24.68$24.0078.9%14.5%33.6%56.2%52.5%6.1%-8.2%33.7K1.8M-12.7K0.7953.61N/AN/A7986275,3232,196
2018-11-06$24.66$24.0085.7%14.3%32.7%55.3%52.7%5.8%-8.1%39.1K1.7M-12.9K0.8753.41N/AN/A7986945,3312,202
2018-11-07$24.52$24.0079.4%14.3%29.8%55.0%49.5%4.7%-7.3%21.9K2.2M-11.5K1.1847.66N/AN/A9871,1675,3312,297
2018-11-08$19.47$25.0057.0%9.7%86.0%27.2%44.1%23.7%20.7%-31.3K5.1M-2.4K1.1466.98N/AN/A3,0093,4365,5032,861
2018-11-09$19.47$21.0042.2%11.4%86.2%37.3%38.8%3.2%1.1%-31.3K6.8M-10.4K1.3828.91N/AN/A1,4952,0658,1425,163
2018-11-12$19.22$21.0049.7%11.4%85.6%37.6%39.7%5.1%1.1%-56.7K7.5M-12.2K1.1622.19N/AN/A1,3591,5788,2316,056
2018-11-13$18.47$21.0054.4%11.5%85.4%38.0%39.4%5.4%0.6%-52.1K8.6M-11.4K0.8320.85N/AN/A1,4061,1698,2776,356
2018-11-14$18.68$21.0039.4%11.3%85.2%37.1%38.8%4.8%0.7%-50.8K8.4M-11.8K0.8318.48N/AN/A1,4001,1678,3456,351
2018-11-15$18.66$21.0041.0%11.7%85.3%39.7%39.7%6.5%-0.4%-50.4K8.6M-11.3K1.4123.44N/AN/A1,3821,9498,3316,373
2018-11-16$18.49$21.0039.9%11.4%85.3%37.8%39.3%4.9%2.7%-49.1K8.7M-10.9K1.4018.11N/AN/A1,3901,9518,3416,375
2018-11-19$18.10$21.0041.4%11.9%85.0%40.4%41.5%5.2%-0.2%-51.8K3.6M-9.9K0.7628.10N/AN/A8866703,4903,521
2018-11-20$17.51$20.0043.9%12.6%85.1%44.8%42.9%7.2%-0.1%-26.2K3.5M-10.4K1.8029.63N/AN/A5339604,1303,520
2018-11-21$17.82$20.0043.2%12.4%85.9%43.6%42.0%5.9%-0.4%-19.9K3.2M-12.8K2.2024.51N/AN/A4399664,3583,763
2018-11-23$17.62$20.0043.9%12.6%85.9%44.8%46.2%3.2%-2.4%-20.4K3.3M-12.5K0.9520.13N/AN/A8327914,3763,805
2018-11-26$18.09$20.0041.0%11.7%86.7%39.7%41.5%4.0%0.4%-14.1K2.4M-13.6K1.3030.71N/AN/A8731,1314,8263,782
2018-11-27$17.91$20.0042.1%12.1%86.7%41.7%41.5%5.0%-1.3%-33.8K2.8M-14.2K1.2217.77N/AN/A8651,0564,9314,151
2018-11-28$18.00$20.0041.7%11.9%86.5%40.9%41.7%7.1%-0.5%-33.2K2.7M-14.1K0.9925.66N/AN/A8628564,9684,167
2018-11-29$17.87$20.0043.3%12.4%85.0%43.8%43.4%2.9%0.0%-38.1K2.8M-14.2K0.8784.49N/AN/A9328124,9674,266
2018-11-30$17.84$20.0044.3%12.7%83.4%45.5%42.5%5.5%-0.9%-37.3K3.0M-13.9K0.6146.74N/AN/A9075545,0404,267