COMM Options History — December 2019

In December 2019, COMM traded between $12.91 and $14.22. ATM implied volatility averaged 45.0%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 1.4% (HV 20d: 46.4%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.33.

Notable Days

  • 2019-12-20: Highest Volume — 2,589 contracts
  • 2019-12-13: Largest IV drop — 6.1% change
  • 2019-12-03: Highest IV Rank — 28.7%
  • 2019-12-03: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.65$12.91$14.22$13.34$14.22
Max Pain$14.00$14.00$14.00$14.00$14.00
ATM IV45.0%40.8%52.2%51.3%41.4%
Expected Move12.8%11.7%15.0%14.7%11.9%
HV 20d46.4%24.6%98.5%98.4%34.8%
HV 60d70.3%67.8%75.1%75.1%68.0%
IV Rank19.7%15.3%28.7%27.7%16.1%
IV Percentile42.9%27.0%70.6%69.4%31.3%
Term Structure10.6%-2.2%17.7%-1.3%17.4%
VWIV45.6%38.6%72.2%47.5%41.7%
Skew 25d6.4%-1.1%11.4%9.2%3.4%
Skew 10d11.5%-13.8%34.8%4.6%-4.8%
Call IV 25d42.0%32.5%49.8%47.3%42.4%
Put IV 25d48.4%43.5%59.9%56.5%45.9%
Bid-Ask Spread %64.4317.0283.1962.1563.56
Gamma HHI0.240.200.270.240.25
Net GEX-12.2K-47.3K46.3K-33.9K40.0K
Net DEX-1.9M-3.8M20.4K-880.2K-3.8M
Net VEX-38.0K-40.7K-35.0K-40.7K-38.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.116.721.571.83
Total Volume391.048522,589113269
Total OI20,826.04820,28021,64220,34821,642

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$13.34$14.0051.3%14.7%98.4%27.7%47.5%9.2%-1.3%-33.9K-880.2K-40.7K1.5762.15N/AN/A44699,78910,559
2019-12-03$13.11$14.0052.2%15.0%98.5%28.7%56.1%10.1%-2.2%-37.3K-324.7K-39.9K3.8583.19N/AN/A542089,81110,567
2019-12-04$13.07$14.0049.3%14.1%97.3%25.3%49.1%5.5%-0.3%-34.0K-520.4K-39.2K6.7282.88N/AN/A291959,85710,423
2019-12-05$13.15$14.0048.2%13.4%95.5%22.3%50.5%9.9%10.6%-41.8K-388.3K-39.0K0.3971.13N/AN/A97389,86510,545
2019-12-06$13.22$14.0049.1%13.2%38.2%21.7%0.0%5.7%9.8%-40.5K-601.7K-39.3K3.7364.85N/AN/A11419,88810,559
2019-12-09$13.10$14.0049.5%13.3%28.6%21.7%44.9%8.3%9.5%-44.2K-284.9K-38.4K1.2366.87N/AN/A57709,89210,581
2019-12-10$12.91$14.0048.0%13.3%24.6%22.0%47.7%7.5%9.2%-47.3K20.4K-37.3K0.7271.98N/AN/A32239,89510,525
2019-12-11$13.11$14.0046.6%13.4%24.8%22.1%72.2%7.2%9.0%-44.8K-376.5K-37.6K2.3077.35N/AN/A531229,88310,527
2019-12-12$14.11$14.0044.0%12.6%37.8%19.1%42.7%8.0%9.8%-25.6K-2.6M-38.1K1.8049.66N/AN/A1572829,91110,449
2019-12-13$13.81$14.0041.3%11.8%37.6%15.9%44.1%6.2%10.2%-28.0K-2.0M-36.7K0.1776.21N/AN/A210369,98210,337
2019-12-16$14.03$14.0043.0%12.3%37.5%17.9%41.7%5.8%10.5%-18.9K-2.7M-36.5K0.1965.65N/AN/A1803510,12310,331
2019-12-17$13.97$14.0043.0%12.3%36.7%18.0%42.1%5.6%10.5%-21.6K-2.5M-35.6K0.9977.87N/AN/A41841410,15110,342
2019-12-18$13.86$14.0042.3%12.1%36.7%17.1%42.2%5.1%10.7%-30.7K-2.2M-35.1K0.3977.35N/AN/A823210,38710,541
2019-12-19$13.98$14.0043.7%12.5%35.2%18.7%43.5%5.0%9.9%-23.5K-2.6M-35.0K0.6572.04N/AN/A71846910,40810,510
2019-12-20$13.77$14.0042.8%12.3%35.1%17.7%40.2%5.8%14.0%-19.5K-1.1M-36.5K0.1272.45N/AN/A2,30628310,49310,851
2019-12-23$14.20$14.0041.0%11.8%36.2%15.6%38.6%11.4%16.3%42.8K-3.7M-39.8K0.1267.41N/AN/A3063611,4379,936
2019-12-24$14.03$14.0040.8%11.7%36.4%15.3%38.6%5.9%17.4%46.3K-3.4M-39.3K0.1866.76N/AN/A2033611,6539,936
2019-12-26$14.03$14.0042.6%12.2%34.6%17.5%44.1%6.0%17.7%41.8K-3.5M-38.8K0.1128.74N/AN/A2192511,5979,941
2019-12-27$13.88$14.0042.0%12.0%34.8%16.8%41.6%3.4%17.6%33.1K-3.2M-38.8K0.1417.02N/AN/A65911,6669,951
2019-12-30$13.85$14.0042.3%12.1%34.6%17.1%43.1%-1.1%17.2%32.3K-3.1M-37.9K0.7937.83N/AN/A15612311,6529,954
2019-12-31$14.22$14.0041.4%11.9%34.8%16.1%41.7%3.4%17.4%40.0K-3.8M-38.0K1.8363.56N/AN/A9517411,61010,032