COMM Options History — January 2020

In January 2020, COMM traded between $12.15 and $14.80. ATM implied volatility averaged 49.6%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 12.3% (HV 20d: 37.3%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 6.81.

Notable Days

  • 2020-01-24: Highest Volume — 4,797 contracts
  • 2020-01-31: Largest IV spike — 26.0% change
  • 2020-01-31: Highest IV Rank — 49.8%
  • 2020-01-31: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.81$12.15$14.80$14.01$12.15
Max Pain$13.33$13.00$14.00$14.00$14.00
ATM IV49.6%40.4%70.1%40.8%70.1%
Expected Move15.5%11.7%20.1%11.7%20.1%
HV 20d37.3%33.2%42.0%34.6%42.0%
HV 60d66.1%63.4%68.5%68.0%64.5%
IV Rank30.8%15.3%49.8%15.3%49.8%
IV Percentile68.7%27.8%91.3%27.8%91.3%
Term Structure0.9%-8.2%18.5%18.5%-8.2%
VWIV54.2%40.7%68.7%40.7%68.7%
Skew 25d8.4%3.4%12.4%3.4%10.6%
Skew 10d22.8%6.8%41.7%9.4%18.5%
Call IV 25d50.0%30.8%62.5%41.5%62.5%
Put IV 25d58.4%43.2%73.1%44.9%73.1%
Bid-Ask Spread %59.3924.8677.9046.7338.22
Gamma HHI0.240.190.300.250.22
Net GEX-30.4K-292.5K114.5K32.4K-238.0K
Net DEX-2.2M-7.8M9.2M-3.3M8.2M
Net VEX-44.7K-67.0K-30.4K-36.9K-65.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.810.0173.952.671.08
Total Volume1,351.7621164,797510283
Total OI27,114.66721,62740,82421,62740,824

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$14.01$14.0040.8%11.7%34.6%15.3%40.7%3.4%18.5%32.4K-3.3M-36.9K2.6746.73N/AN/A13937111,6579,970
2020-01-03$13.64$14.0041.0%11.7%36.1%15.6%40.7%12.4%16.6%-10.7K-2.0M-35.3K0.3177.90N/AN/A35410911,65210,267
2020-01-06$13.65$13.0040.7%15.7%36.1%31.6%54.7%8.8%-0.5%-937-2.1M-34.7K0.3237.10N/AN/A2407711,96410,312
2020-01-07$13.55$13.0043.5%16.6%36.2%35.3%57.5%9.9%-3.1%-2.8K-1.8M-34.4K0.8662.98N/AN/A47540712,04910,293
2020-01-08$14.22$13.0041.9%15.9%39.6%32.5%55.4%8.5%-2.9%45.0K-4.5M-34.6K2.9168.61N/AN/A19757312,45510,560
2020-01-09$14.05$13.0040.5%15.5%39.5%30.9%55.1%9.2%-0.7%16.2K-3.5M-35.4K0.6924.86N/AN/A1268712,50910,970
2020-01-10$13.59$13.0042.0%15.6%41.4%31.3%54.1%5.2%-1.5%-3.4K-1.8M-34.3K0.2370.67N/AN/A1222812,59411,034
2020-01-13$14.03$13.0040.4%16.5%33.8%35.0%57.3%11.5%-4.9%7.1K-3.3M-34.0K0.3264.36N/AN/A1304212,64511,044
2020-01-14$14.30$13.0047.6%15.4%33.4%30.7%54.0%6.5%-0.3%19.1K-4.3M-32.5K4.0065.15N/AN/A17871212,59611,064
2020-01-15$14.19$13.0053.6%15.4%33.2%30.4%51.1%7.2%-0.8%2.9K-3.6M-31.6K4.8267.48N/AN/A5727512,52311,210
2020-01-16$14.72$13.0050.7%14.5%35.5%27.1%54.5%7.7%1.4%21.7K-5.4M-31.4K0.1765.43N/AN/A3436012,56611,129
2020-01-17$14.80$13.0051.5%14.8%35.3%27.9%52.1%9.5%-1.7%46.8K-5.7M-30.4K0.0166.13N/AN/A3,1972812,60711,154
2020-01-21$14.45$13.0057.9%16.6%36.5%35.4%56.0%8.8%-5.7%70.0K-6.4M-47.1K0.6255.29N/AN/A22914114,55710,008
2020-01-22$14.64$13.0055.5%15.9%36.1%32.6%57.8%8.2%-4.2%82.9K-7.2M-47.6K0.1647.02N/AN/A1001614,65810,112
2020-01-23$14.43$13.0058.4%16.7%35.1%36.0%59.2%8.4%-5.4%70.5K-6.5M-46.9K0.0755.38N/AN/A3,84928814,73810,118
2020-01-24$14.15$13.0056.9%16.3%35.6%34.3%56.9%10.1%-2.4%114.5K-7.8M-65.4K73.9564.68N/AN/A644,73318,51910,218
2020-01-27$13.57$14.0052.7%15.1%38.6%29.3%54.9%9.3%6.0%-68.4K-3.0M-66.7K32.9673.43N/AN/A1324,35118,54214,197
2020-01-28$13.03$14.0049.7%14.2%40.9%25.8%53.0%8.1%7.4%-267.0K3.3M-67.0K9.2365.66N/AN/A2562,36318,61018,266
2020-01-29$12.64$14.0051.4%14.7%42.0%27.9%51.5%4.7%6.1%-292.5K6.0M-64.5K6.1064.23N/AN/A3782,30418,73519,937
2020-01-30$12.16$14.0055.6%15.9%42.0%32.8%54.0%7.8%5.3%-284.3K9.2M-62.5K1.5565.90N/AN/A22534819,00921,536
2020-01-31$12.15$14.0070.1%20.1%42.0%49.8%68.7%10.6%-8.2%-238.0K8.2M-65.7K1.0838.22N/AN/A13614719,14721,677