COMM Options History — February 2020

In February 2020, COMM traded between $10.80 and $14.47. ATM implied volatility averaged 68.9%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 7.1% (HV 20d: 61.8%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.42.

Notable Days

  • 2020-02-20: Highest Volume — 9,196 contracts
  • 2020-02-20: Largest IV drop — 32.1% change
  • 2020-02-28: Highest IV Rank — 60.0%
  • 2020-02-28: Largest Expected Move — 22.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.68$10.80$14.47$12.22$10.88
Max Pain$13.37$13.00$14.00$14.00$13.00
ATM IV68.9%47.8%90.6%72.7%78.8%
Expected Move18.5%13.7%22.6%20.8%22.6%
HV 20d61.8%39.4%79.8%41.6%78.8%
HV 60d48.9%35.9%63.8%63.8%54.9%
IV Rank43.4%23.5%60.0%52.9%60.0%
IV Percentile81.9%51.2%97.6%93.7%97.6%
Term Structure-6.8%-14.0%3.3%-12.3%-12.1%
VWIV64.0%46.9%76.8%67.4%76.8%
Skew 25d8.8%2.9%16.2%8.4%14.7%
Skew 10d19.3%0.9%37.7%9.5%21.8%
Call IV 25d60.3%45.7%73.0%66.8%72.1%
Put IV 25d69.1%52.9%86.8%75.2%86.8%
Bid-Ask Spread %52.8521.5670.8923.5158.10
Gamma HHI0.210.170.330.220.17
Net GEX-160.3K-316.4K38.8K-253.9K-16.0K
Net DEX2.4M-6.4M10.6M7.8M2.4M
Net VEX-65.7K-76.2K-54.9K-64.2K-61.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.0310.151.070.44
Total Volume2,046.105869,196336253
Total OI38,519.21123,31252,35940,88124,472

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$12.22$14.0072.7%20.8%41.6%52.9%67.4%8.4%-12.3%-253.9K7.8M-64.2K1.0723.51N/AN/A16217419,18821,693
2020-02-04$12.18$14.0071.6%20.5%41.5%51.6%72.3%2.9%-10.9%-241.8K7.8M-64.0K0.0421.56N/AN/A1,8737219,24421,693
2020-02-05$12.68$14.0071.5%20.5%44.6%51.5%71.3%7.4%-14.0%-279.8K5.6M-67.9K0.1739.97N/AN/A1302219,33021,695
2020-02-06$12.43$13.0075.1%17.5%40.5%39.3%62.6%9.9%-4.1%-270.9K7.3M-63.6K1.3242.52N/AN/A374919,37721,715
2020-02-07$12.23$13.0078.5%17.6%40.6%39.8%58.5%9.9%-4.8%-251.8K8.0M-61.8K0.6065.37N/AN/A29517619,40521,757
2020-02-10$12.22$13.0085.5%17.9%39.4%40.6%66.9%10.5%-4.5%-255.9K8.0M-59.7K10.1539.19N/AN/A3213,25919,49821,819
2020-02-11$13.99$13.0090.6%18.5%62.6%43.4%62.9%7.1%-6.8%-260.4K-2.3M-73.1K1.1657.23N/AN/A1,5771,82719,67323,373
2020-02-12$14.44$13.0062.9%18.0%63.3%41.3%63.3%6.2%-3.1%-177.1K-5.4M-76.1K0.2161.81N/AN/A96920720,61422,897
2020-02-13$14.38$13.0069.1%19.8%63.3%48.6%68.6%6.2%-8.9%-201.1K-5.0M-75.3K0.0361.54N/AN/A1,6675420,77523,021
2020-02-14$14.47$14.0068.9%19.8%61.9%48.4%68.7%7.7%-8.7%-155.6K-6.2M-76.2K0.7758.13N/AN/A91870921,68523,014
2020-02-18$14.44$14.0072.6%20.8%61.8%52.7%71.5%7.2%-12.8%-155.1K-6.3M-70.7K0.4661.00N/AN/A1,29560021,94323,156
2020-02-19$14.47$14.0070.3%20.2%61.2%50.1%69.7%6.0%-12.4%-156.6K-6.4M-70.6K1.3055.94N/AN/A2,5063,25022,25523,359
2020-02-20$12.62$14.0047.8%13.7%77.9%23.5%47.7%6.7%3.3%-316.4K9.9M-54.9K2.0358.45N/AN/A3,0346,16224,10423,599
2020-02-21$12.43$13.0051.1%14.7%77.9%27.5%46.9%9.3%3.1%38.8K10.6M-62.1K4.9557.84N/AN/A6913,42224,93027,429
2020-02-24$11.82$13.0053.1%15.2%79.3%29.8%54.8%8.6%-4.3%-10.4K1.1M-64.7K0.6451.59N/AN/A89857812,40310,909
2020-02-25$11.39$13.0059.7%17.1%79.0%37.6%60.8%14.0%-5.9%-22.2K2.2M-60.9K0.6159.27N/AN/A57535212,39210,986
2020-02-26$10.80$13.0060.3%17.3%79.8%38.3%60.0%8.2%-2.0%-35.4K2.9M-59.1K0.4660.17N/AN/A38117712,77511,262
2020-02-27$10.90$13.0068.8%19.7%79.7%48.3%64.7%16.2%-7.3%-24.0K2.7M-61.4K0.5670.89N/AN/A1317313,05011,375
2020-02-28$10.88$13.0078.8%22.6%78.8%60.0%76.8%14.7%-12.1%-16.0K2.4M-61.1K0.4458.10N/AN/A1767713,09011,382