COMM Options History — December 2018

In December 2018, COMM traded between $15.24 and $18.29. ATM implied volatility averaged 44.8%, placing in the 45.5% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 3.9% (HV 20d: 41.0%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.22.

Notable Days

  • 2018-12-07: Highest Volume — 800 contracts
  • 2018-12-12: Largest IV drop — 15.1% change
  • 2018-12-24: Highest IV Rank — 55.4%
  • 2018-12-24: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.81$15.24$18.29$18.29$16.30
Max Pain$18.30$18.00$20.00$20.00$18.00
ATM IV44.8%39.4%49.9%39.6%48.1%
Expected Move12.7%11.3%14.3%11.4%13.8%
HV 20d41.0%26.5%84.8%84.7%36.2%
HV 60d55.2%54.5%56.4%55.0%56.4%
IV Rank45.5%36.9%55.4%37.4%52.1%
IV Percentile84.1%69.4%94.0%73.8%90.1%
Term Structure1.7%-4.3%4.6%0.2%3.5%
VWIV44.2%40.0%50.6%42.0%49.1%
Skew 25d5.5%2.1%9.0%2.1%6.1%
Skew 10d17.4%5.0%30.2%16.4%22.4%
Call IV 25d41.8%36.7%47.9%39.4%45.6%
Put IV 25d47.3%41.5%53.0%41.5%51.7%
Bid-Ask Spread %82.3773.6199.5583.9780.45
Gamma HHI0.410.240.540.240.39
Net GEX-53.1K-70.4K-35.6K-36.7K-48.7K
Net DEX3.2M1.6M4.2M2.3M1.6M
Net VEX-11.6K-13.7K-9.0K-13.7K-9.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.234.001.550.70
Total Volume275.77380079252
Total OI8,861.656,28810,0899,2056,579

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$18.29$20.0039.6%11.4%84.7%37.4%42.0%2.1%0.2%-36.7K2.3M-13.7K1.5583.97N/AN/A31485,0654,140
2018-12-04$17.70$20.0043.2%12.4%84.8%43.6%43.4%5.5%-3.2%-37.2K2.9M-12.9K3.0688.12N/AN/A1524655,0684,116
2018-12-05$17.71$20.0044.5%12.8%84.8%45.9%47.6%7.5%-4.3%-35.6K2.9M-13.0K3.0699.55N/AN/A1524655,0684,116
2018-12-06$17.49$18.0046.2%12.9%84.7%46.9%43.6%6.8%-0.6%-50.2K3.4M-13.6K1.0573.61N/AN/A40425,2034,490
2018-12-07$17.23$18.0044.9%12.0%28.6%41.0%40.3%6.3%1.8%-55.3K3.8M-13.0K4.0078.08N/AN/A1606405,2184,565
2018-12-10$17.41$18.0046.7%12.4%29.1%43.5%40.3%6.5%2.8%-58.5K3.7M-13.3K1.4373.75N/AN/A30435,2334,735
2018-12-11$17.45$18.0046.4%12.3%29.1%43.3%43.0%5.9%2.1%-63.8K3.7M-13.2K1.0275.96N/AN/A62635,2454,776
2018-12-12$17.64$18.0039.4%11.3%26.5%36.9%40.0%5.9%2.2%-62.0K3.5M-13.1K0.2384.32N/AN/A273645,2974,792
2018-12-13$17.10$18.0042.0%12.0%27.8%41.5%41.9%4.7%2.0%-67.0K4.2M-12.3K0.4577.62N/AN/A168755,2574,776
2018-12-14$16.82$18.0040.0%11.5%28.1%38.0%40.1%4.4%3.6%-67.0K4.2M-11.7K0.2874.71N/AN/A176505,2364,624
2018-12-17$16.49$18.0044.8%12.8%28.5%46.4%41.0%4.9%1.8%-65.9K4.1M-10.9K0.6378.53N/AN/A75475,2304,408
2018-12-18$16.70$18.0041.1%11.8%28.6%39.9%42.0%5.5%3.0%-70.4K3.9M-11.2K0.8979.72N/AN/A75675,3024,364
2018-12-19$16.49$18.0043.3%12.4%26.7%43.8%42.0%2.4%3.0%-67.5K4.0M-10.9K0.3097.77N/AN/A207625,3024,364
2018-12-20$16.03$18.0044.4%12.7%27.0%45.7%44.0%3.5%4.6%-60.1K4.0M-10.2K0.6590.89N/AN/A122795,3044,169
2018-12-21$15.45$18.0047.8%13.7%29.2%51.5%50.2%6.4%1.7%-41.2K4.2M-9.1K1.6886.51N/AN/A1332245,3124,107
2018-12-24$15.24$18.0049.9%14.3%26.6%55.4%46.8%5.2%2.4%-40.8K2.1M-9.0K0.6780.67N/AN/A146983,5482,740
2018-12-26$16.19$18.0047.9%13.7%36.1%51.9%49.6%9.0%3.0%-44.0K1.7M-10.0K0.9475.88N/AN/A1151083,5482,807
2018-12-27$16.21$18.0049.5%14.2%36.0%54.5%50.6%5.8%1.2%-43.8K1.6M-10.4K0.8484.55N/AN/A1281083,6392,899
2018-12-28$16.29$18.0047.0%13.5%36.2%50.2%47.1%5.5%2.3%-47.2K1.6M-10.3K0.9582.71N/AN/A1381313,6392,952
2018-12-31$16.30$18.0048.1%13.8%36.2%52.1%49.1%6.1%3.5%-48.7K1.6M-9.9K0.7080.45N/AN/A1481043,6392,940