COMM Options History — September 2019

In September 2019, COMM traded between $10.30 and $13.27. ATM implied volatility averaged 53.1%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded below realized volatility by 16.1% (HV 20d: 69.2%). Max pain ranged from $11.00 to $14.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 6.78.

Notable Days

  • 2019-09-11: Highest Volume — 5,354 contracts
  • 2019-09-09: Largest IV spike — 13.7% change
  • 2019-09-25: Highest IV Rank — 45.3%
  • 2019-09-25: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.91$10.30$13.27$10.30$11.82
Max Pain$11.75$11.00$14.00$14.00$12.00
ATM IV53.1%43.6%59.4%56.7%55.3%
Expected Move15.4%13.7%17.0%16.2%15.8%
HV 20d69.2%64.8%73.4%65.9%65.4%
HV 60d52.2%44.4%56.2%44.4%56.2%
IV Rank39.2%32.5%45.3%43.4%40.4%
IV Percentile81.7%71.0%88.1%86.9%82.9%
Term Structure9.2%-0.3%13.8%-0.3%13.3%
VWIV53.2%43.4%60.9%51.8%55.6%
Skew 25d7.4%4.9%12.0%12.0%7.7%
Skew 10d16.9%-0.5%29.5%20.2%29.5%
Call IV 25d50.6%41.8%57.5%46.7%53.1%
Put IV 25d58.0%51.1%64.5%58.7%60.7%
Bid-Ask Spread %73.7868.5379.5872.4478.86
Gamma HHI0.180.120.510.190.20
Net GEX13.6K-216.2K96.7K11.2K75.5K
Net DEX-888.3K-8.5M4.3M4.3M-1.6M
Net VEX-41.2K-47.2K-34.9K-34.9K-40.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.780.0081.150.430.57
Total Volume1,410.35855,35426285
Total OI29,906.4524,14335,57628,83727,510

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$10.30$14.0056.7%16.2%65.9%43.4%51.8%12.0%-0.3%11.2K4.3M-34.9K0.4372.44N/AN/A1837916,94411,893
2019-09-04$10.59$14.0050.8%14.6%67.5%35.8%50.7%8.7%4.2%9.5K3.8M-35.6K0.0179.58N/AN/A173117,03011,925
2019-09-05$10.90$11.0047.8%14.3%68.6%34.9%49.2%6.6%10.3%10.2K3.0M-37.7K0.0171.04N/AN/A1,0471217,08411,916
2019-09-06$11.28$11.0043.6%14.3%69.7%34.7%47.5%8.1%7.8%12.8K2.1M-38.4K0.0072.08N/AN/A738317,07911,980
2019-09-09$12.01$11.0049.5%13.7%70.1%32.5%47.2%5.9%9.1%-6.9K-722.7K-40.9K0.0471.03N/AN/A1,5426917,36211,983
2019-09-10$12.53$11.0045.9%15.2%67.2%38.3%50.4%5.9%3.9%-1.1K-3.0M-43.7K0.3278.29N/AN/A2,74589017,88412,034
2019-09-11$13.15$11.0050.2%14.4%69.0%35.1%43.4%11.6%6.6%18.5K-6.2M-46.3K1.1270.84N/AN/A2,5312,82318,79612,865
2019-09-12$12.68$11.0048.5%13.9%64.8%33.1%51.4%7.1%10.2%-3.7K-3.3M-43.3K0.3172.40N/AN/A51915917,98713,194
2019-09-13$12.12$11.0051.8%14.9%65.4%37.0%51.2%5.7%11.5%5.7K-582.6K-42.6K0.0668.53N/AN/A3,08718618,40413,311
2019-09-16$13.27$11.0054.3%15.6%70.5%39.9%52.2%5.3%6.9%45.7K-8.5M-47.2K0.9173.74N/AN/A36333020,73713,369
2019-09-17$12.53$11.0057.7%16.5%73.4%43.8%60.2%4.9%11.1%4.2K-3.1M-46.0K11.4368.61N/AN/A2653,02819,49713,589
2019-09-18$12.11$12.0057.1%16.4%73.4%43.1%55.9%8.6%10.1%-68.0K1.6M-44.0K1.9676.92N/AN/A11322119,58015,956
2019-09-19$12.06$12.0054.5%15.6%73.4%40.1%52.9%8.4%11.2%-28.1K2.0M-42.8K6.6770.40N/AN/A5234719,62015,864
2019-09-20$12.02$12.0058.4%16.7%73.3%44.6%58.8%5.2%7.8%-216.2K2.2M-41.6K12.6172.09N/AN/A1842,32019,62615,950
2019-09-23$12.07$12.0054.7%15.7%70.5%39.8%54.4%6.5%11.5%90.5K-2.8M-40.0K3.5376.18N/AN/A23181515,3168,827
2019-09-24$11.53$12.0054.9%15.7%72.2%39.9%60.9%7.5%12.3%64.1K-1.1M-38.3K7.7274.19N/AN/A7255615,5669,239
2019-09-25$11.93$12.0059.4%17.0%71.4%45.3%57.0%9.4%9.8%76.3K-2.5M-40.1K0.1779.09N/AN/A64811215,6049,244
2019-09-26$11.57$12.0055.5%15.9%66.6%40.6%58.6%7.1%13.8%96.7K-1.7M-40.0K81.1572.53N/AN/A131,05516,9439,234
2019-09-27$11.72$12.0056.5%16.2%65.9%41.9%53.8%6.6%12.5%75.7K-1.7M-41.0K6.5376.69N/AN/A8152916,94810,239
2019-09-30$11.82$12.0055.3%15.8%65.4%40.4%55.6%7.7%13.3%75.5K-1.6M-40.4K0.5778.86N/AN/A543116,94410,566