COMM Options History — July 2020

In July 2020, COMM traded between $7.73 and $9.30. ATM implied volatility averaged 86.3%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 25.0%. IV traded above realized volatility by 27.6% (HV 20d: 58.7%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.37.

Notable Days

  • 2020-07-17: Highest Volume — 80,244 contracts
  • 2020-07-17: Largest IV spike — 41.9% change
  • 2020-07-17: Highest IV Rank — 53.1%
  • 2020-07-17: Largest Expected Move — 32.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.46$7.73$9.30$8.22$9.30
Max Pain$9.55$9.00$10.00$10.00$9.00
ATM IV86.3%61.5%114.2%66.9%99.4%
Expected Move25.0%17.6%32.7%19.2%28.5%
HV 20d58.7%49.1%69.4%68.9%57.0%
HV 60d70.3%67.0%72.7%71.0%68.4%
IV Rank34.9%21.7%53.1%25.2%42.9%
IV Percentile80.4%45.2%95.2%54.0%88.5%
Term Structure-6.9%-23.1%15.9%14.0%-15.8%
VWIV87.4%64.5%117.9%67.3%97.8%
Skew 25d1.2%-14.9%11.8%-14.9%2.5%
Skew 10d4.8%-28.6%44.5%-28.6%1.8%
Call IV 25d87.8%65.5%117.6%69.6%94.8%
Put IV 25d89.0%54.7%110.5%54.7%97.3%
Bid-Ask Spread %67.6732.2396.9272.5167.74
Gamma HHI0.290.130.490.140.47
Net GEX168.6K-22.2K439.4K-15.7K439.4K
Net DEX-2.5M-13.0M4.6M3.6M-13.0M
Net VEX-55.2K-82.1K-33.6K-40.2K-79.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.023.080.160.09
Total Volume5,559.27319180,2442982,317
Total OI45,700.27331,92661,55931,92661,002

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$8.22$10.0066.9%19.2%68.9%25.2%67.3%-14.9%14.0%-15.7K3.6M-40.2K0.1672.51N/AN/A2564219,88712,039
2020-07-02$8.41$10.0061.5%17.6%69.4%21.7%64.5%-8.6%15.9%-22.2K3.5M-39.0K0.0396.92N/AN/A4461419,94712,065
2020-07-06$8.75$10.0069.5%22.2%65.5%27.9%79.8%9.7%-4.3%-12.4K2.4M-43.7K0.9281.05N/AN/A81675120,19712,068
2020-07-07$8.01$10.0075.6%22.8%68.4%29.2%73.0%1.1%-5.7%-19.3K4.0M-37.3K0.0577.37N/AN/A5502620,23512,118
2020-07-08$7.88$10.0077.3%24.1%67.7%32.5%85.2%7.5%-7.9%-13.0K4.2M-35.2K3.0884.92N/AN/A6101,87920,58012,135
2020-07-09$7.81$10.0078.3%22.1%67.7%27.8%80.9%11.6%7.8%-18.5K4.4M-35.9K0.2687.12N/AN/A1523920,68412,722
2020-07-10$7.80$10.0072.0%23.8%58.1%31.6%85.6%-3.2%-4.8%-17.4K4.4M-35.6K0.3271.84N/AN/A33610620,71812,754
2020-07-13$7.84$10.0092.7%24.7%58.1%33.8%85.0%-5.7%-10.0%-18.8K4.6M-33.6K0.0276.33N/AN/A510820,96612,718
2020-07-14$7.73$10.0085.4%23.6%58.0%31.3%80.6%1.9%-4.9%-8.1K4.5M-34.0K0.6780.43N/AN/A18112221,24912,721
2020-07-15$7.90$10.0081.8%23.4%49.1%30.8%80.6%11.8%-5.8%-2274.2M-36.0K1.1859.24N/AN/A64776121,35612,743
2020-07-16$8.14$10.0080.5%23.1%50.8%30.0%78.2%3.7%2.4%5.6K3.9M-38.3K0.2471.90N/AN/A47811521,47612,651
2020-07-17$8.81$10.00114.2%32.7%59.7%53.1%117.9%-7.1%-23.1%27.9K803.2K-48.9K0.0558.95N/AN/A76,4643,78021,76212,453
2020-07-20$8.91$9.00109.1%31.3%59.7%49.6%110.4%2.3%-17.0%334.8K-11.7M-82.1K0.0562.25N/AN/A8,25944648,12112,222
2020-07-21$9.01$9.0098.3%28.2%59.7%42.1%99.3%0.2%-7.2%374.1K-11.8M-81.8K0.1051.66N/AN/A3,71338748,95912,164
2020-07-22$8.91$9.0094.1%27.0%55.4%39.3%94.9%9.8%-12.7%386.7K-11.1M-81.1K0.0573.10N/AN/A3,70320049,26912,290
2020-07-23$8.99$9.0089.2%25.6%50.6%35.9%89.0%3.0%-9.5%404.2K-10.7M-78.3K0.1137.47N/AN/A2,90731648,69912,323
2020-07-24$8.68$9.0084.9%24.3%52.2%33.0%85.6%1.2%-6.2%374.6K-8.2M-74.6K0.0550.65N/AN/A2,24110348,47212,300
2020-07-27$8.56$9.0089.6%25.7%51.8%36.2%89.4%-1.1%-13.6%347.3K-6.6M-66.6K0.1232.23N/AN/A1,76221947,88812,242
2020-07-28$8.53$9.0092.5%26.5%51.8%38.2%92.8%1.3%-17.6%340.2K-6.4M-67.6K0.2757.87N/AN/A1,49640647,65812,226
2020-07-29$9.06$9.0091.4%26.2%55.9%37.4%92.5%-0.6%-13.0%414.8K-10.1M-74.0K0.1472.56N/AN/A2,87439347,82912,589
2020-07-30$8.93$9.0094.0%26.9%55.8%39.2%93.5%-0.4%-11.7%405.9K-9.3M-72.0K0.1364.68N/AN/A1,30017348,25312,656
2020-07-31$9.30$9.0099.4%28.5%57.0%42.9%97.8%2.5%-15.8%439.4K-13.0M-79.1K0.0967.74N/AN/A2,13218548,32212,680