COMM Options History — November 2019

In November 2019, COMM traded between $11.28 and $15.73. ATM implied volatility averaged 62.6%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded below realized volatility by 31.8% (HV 20d: 94.4%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 6.57.

Notable Days

  • 2019-11-07: Highest Volume — 9,155 contracts
  • 2019-11-07: Largest IV drop — 63.3% change
  • 2019-11-01: Highest IV Rank — 100.0%
  • 2019-11-01: Largest Expected Move — 32.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.87$11.28$15.73$11.28$13.61
Max Pain$13.40$12.00$14.00$13.00$14.00
ATM IV62.6%42.9%128.7%112.7%42.9%
Expected Move15.3%12.3%32.3%32.3%12.3%
HV 20d94.4%58.2%108.3%58.2%97.9%
HV 60d74.4%62.0%78.9%63.9%75.2%
IV Rank29.9%17.9%100.0%100.0%17.9%
IV Percentile60.2%36.5%100.0%100.0%36.5%
Term Structure-1.2%-39.9%8.9%-39.9%2.2%
VWIV55.2%43.2%125.2%125.2%45.1%
Skew 25d8.9%5.5%25.8%25.8%7.4%
Skew 10d24.1%0.2%68.7%68.7%0.2%
Call IV 25d49.8%37.8%101.6%101.6%43.4%
Put IV 25d58.7%47.7%127.4%127.4%50.8%
Bid-Ask Spread %64.0525.3678.4678.4625.36
Gamma HHI0.270.170.540.350.23
Net GEX20.0K-246.0K316.7K-165.3K-28.3K
Net DEX-5.0M-16.5M4.4M4.1M-1.5M
Net VEX-43.9K-54.2K-39.2K-50.9K-41.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.570.4263.3363.330.73
Total Volume1,544.35269,1556,17626
Total OI34,874.718,08250,16338,99820,322

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$11.28$13.00112.7%32.3%58.2%100.0%125.2%25.8%-39.9%-165.3K4.1M-50.9K63.3378.46N/AN/A966,08015,73023,268
2019-11-04$11.61$12.00124.1%20.9%58.4%53.2%72.7%12.1%-9.6%-224.9K4.4M-54.2K1.2360.13N/AN/A46156915,73928,991
2019-11-05$12.18$12.00125.0%20.7%60.1%52.4%72.1%11.7%-6.3%-187.9K1.8M-53.8K3.0059.16N/AN/A6011,80315,87029,277
2019-11-06$11.62$12.00128.7%21.2%62.0%54.2%73.4%11.0%-11.4%-246.0K4.4M-53.3K1.9363.98N/AN/A1,2712,45016,27130,128
2019-11-07$14.78$12.0047.3%13.0%104.4%20.6%48.2%7.0%8.9%156.3K-13.7M-45.1K0.5873.45N/AN/A5,7933,36218,21931,492
2019-11-08$15.73$12.0048.7%13.0%105.0%20.5%48.8%7.1%6.7%197.0K-16.5M-41.3K1.8067.78N/AN/A1,2872,31917,57431,135
2019-11-11$14.98$13.0059.8%13.4%107.0%22.3%46.9%8.5%5.7%152.4K-12.4M-43.5K7.8273.39N/AN/A4938317,21432,742
2019-11-12$15.18$14.0057.5%13.4%107.0%22.4%47.6%6.8%6.0%153.9K-13.2M-43.1K0.9875.27N/AN/A14914617,21432,891
2019-11-13$14.97$14.0046.6%13.4%107.5%22.2%50.0%7.9%6.0%139.6K-12.2M-43.2K1.3970.77N/AN/A648917,15233,011
2019-11-14$14.61$14.0045.2%13.0%108.3%20.5%46.0%7.8%8.7%102.2K-10.5M-41.6K12.0069.58N/AN/A78417,13532,983
2019-11-15$14.86$14.0044.6%12.8%108.2%19.9%43.2%5.5%6.0%316.7K-11.5M-40.3K0.4472.31N/AN/A27312017,13432,943
2019-11-18$14.51$14.0043.1%12.3%101.8%18.0%44.6%6.2%0.9%27.9K-4.2M-39.9K0.4262.23N/AN/A231979,4948,588
2019-11-19$14.41$14.0047.2%13.5%101.9%22.9%51.2%6.3%-2.1%28.9K-4.1M-40.3K2.0844.34N/AN/A751569,6848,658
2019-11-20$13.97$14.0047.7%13.7%102.7%23.5%46.3%7.7%-1.9%16.2K-3.2M-40.1K2.7441.12N/AN/A23639,7028,805
2019-11-21$13.73$14.0047.6%13.7%100.0%23.4%50.1%5.5%-0.8%9.8K-2.7M-39.2K8.2273.88N/AN/A1038479,7108,820
2019-11-22$13.97$14.0046.1%13.2%100.1%21.6%46.5%7.6%-0.5%8.3K-2.9M-40.0K14.0671.24N/AN/A951,3369,6989,164
2019-11-25$14.07$14.0045.9%13.2%98.8%21.4%45.2%13.3%-0.4%-10.8K-2.6M-42.6K6.3366.09N/AN/A301909,77010,348
2019-11-26$13.65$14.0045.9%13.2%99.8%21.3%45.1%5.9%-1.8%-23.6K-1.7M-42.7K0.4772.64N/AN/A58279,78410,520
2019-11-27$13.76$14.0045.4%13.0%97.9%20.7%45.1%7.5%-0.8%-21.9K-1.9M-42.1K1.8559.75N/AN/A26489,79010,524
2019-11-29$13.61$14.0042.9%12.3%97.9%17.9%0.0%7.4%2.2%-28.3K-1.5M-41.4K0.7325.36N/AN/A15119,78410,538