COMM Options History — March 2020

In March 2020, COMM traded between $5.81 and $11.02. ATM implied volatility averaged 120.7%, placing in the 73.4% IV rank vs the trailing year. The 30-day expected move averaged 33.8%. IV traded above realized volatility by 13.4% (HV 20d: 107.2%). Max pain ranged from $9.00 to $13.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 2.95.

Notable Days

  • 2020-03-13: Highest Volume — 3,280 contracts
  • 2020-03-25: Largest IV spike — 30.0% change
  • 2020-03-12: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 52.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.54$5.81$11.02$11.02$8.93
Max Pain$9.73$9.00$13.00$13.00$9.00
ATM IV120.7%66.7%182.7%66.7%121.9%
Expected Move33.8%19.1%52.4%19.1%34.9%
HV 20d107.2%74.8%152.2%79.1%151.3%
HV 60d76.2%54.9%100.3%54.9%100.2%
IV Rank73.4%45.8%100.0%45.8%60.7%
IV Percentile96.4%83.3%100.0%83.3%96.0%
Term Structure-21.5%-60.2%0.6%-2.9%-28.1%
VWIV120.3%61.9%205.1%71.9%124.6%
Skew 25d27.3%-3.4%69.7%10.3%-0.4%
Skew 10d50.3%-2.1%117.3%25.7%49.2%
Call IV 25d98.9%51.4%162.3%64.8%114.7%
Put IV 25d126.2%71.6%201.3%75.1%114.3%
Bid-Ask Spread %86.3059.98123.0571.6895.61
Gamma HHI0.150.130.170.170.17
Net GEX-21.0K-41.8K13.2K-29.1K-5.2K
Net DEX3.3M-383.6K6.0M2.8M1.5M
Net VEX-46.0K-60.9K-29.2K-60.9K-47.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.950.0217.741.040.02
Total Volume913.909203,28091757
Total OI27,540.40924,58630,38824,58627,184

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$11.02$13.0066.7%19.1%79.1%45.8%71.9%10.3%-2.9%-29.1K2.8M-60.9K1.0471.68N/AN/A44946813,17511,411
2020-03-03$10.43$13.0077.3%22.2%80.9%58.3%64.8%11.0%-10.6%-36.5K3.6M-56.5K0.6377.12N/AN/A26016513,32511,866
2020-03-04$10.32$13.0067.3%19.3%80.9%46.6%61.9%20.2%-3.5%-41.8K3.7M-56.1K0.0359.98N/AN/A3901313,47811,986
2020-03-05$10.36$10.0087.3%21.1%79.0%54.1%77.9%11.6%-2.6%-29.0K3.1M-57.8K8.7165.66N/AN/A5850513,85111,999
2020-03-06$10.28$10.00103.3%24.0%78.9%65.8%91.5%18.3%0.6%-23.6K2.9M-60.0K3.4788.25N/AN/A4141,43813,85212,503
2020-03-09$9.12$10.00117.3%28.0%88.1%82.2%90.8%16.3%-8.2%-37.7K4.4M-53.4K0.6379.94N/AN/A35722514,13213,948
2020-03-10$8.34$10.00115.0%30.2%91.8%91.4%107.1%11.4%-14.4%-39.6K5.5M-43.0K3.0284.51N/AN/A5421,63714,32013,853
2020-03-11$7.62$9.00112.0%32.1%74.8%99.1%113.7%23.9%-17.7%-39.7K6.0M-40.7K1.7076.59N/AN/A38064714,53714,737
2020-03-12$6.65$9.00133.3%38.2%79.9%100.0%125.6%48.0%-14.6%-25.7K5.4M-33.5K17.2691.11N/AN/A1763,03714,43814,313
2020-03-13$7.04$9.00137.4%39.4%86.1%100.0%143.3%39.0%-46.2%-21.9K5.1M-31.5K17.74123.05N/AN/A1753,10514,58613,018
2020-03-16$7.21$9.00159.4%45.7%87.5%100.0%199.4%48.4%-22.0%-19.3K4.7M-37.7K2.8483.47N/AN/A3561,01214,73514,519
2020-03-17$6.68$9.00149.8%43.0%87.8%92.7%205.1%66.3%-34.3%-24.0K4.9M-34.5K4.3888.44N/AN/A6829814,69915,293
2020-03-18$5.81$9.00182.7%52.4%93.3%100.0%181.3%-3.4%-60.2%-19.9K4.7M-29.2K1.2691.76N/AN/A19624714,73815,293
2020-03-19$7.07$9.00143.8%41.2%121.0%74.9%154.8%69.7%-37.2%-24.8K4.7M-37.9K0.0290.71N/AN/A438914,84415,225
2020-03-20$7.17$9.00156.3%44.8%121.8%83.0%138.1%59.9%-41.1%-24.5K4.6M-35.7K0.0493.86N/AN/A6012615,19015,198
2020-03-23$7.40$9.00140.4%40.2%123.3%72.7%134.8%33.1%-48.8%-27.5K2.4M-41.5K1.2575.86N/AN/A8410512,52813,045
2020-03-24$9.20$9.00101.5%29.1%149.8%47.6%101.3%23.7%-3.9%-22.9K2.0M-47.1K0.0292.04N/AN/A1,6252512,55913,146
2020-03-25$9.07$9.00131.9%37.8%149.0%67.3%118.2%33.6%-27.2%5.5K781.1K-51.2K0.1293.53N/AN/A1612013,87913,137
2020-03-26$9.69$9.00105.7%30.3%151.3%50.3%113.7%25.9%-7.0%13.2K-383.6K-54.7K0.4689.50N/AN/A1255813,91013,146
2020-03-27$9.44$9.00126.1%36.2%151.4%63.5%111.3%20.0%-28.5%9.8K-181.4K-54.1K0.1190.55N/AN/A18213,99313,146
2020-03-30$8.93$9.00118.4%34.0%152.2%58.5%115.5%14.2%-14.3%1.3K853.0K-48.8K0.0795.41N/AN/A125914,01213,142
2020-03-31$8.93$9.00121.9%34.9%151.3%60.7%124.6%-0.4%-28.1%-5.2K1.5M-47.0K0.0295.61N/AN/A56114,03613,148