COMM Options History — August 2020

In August 2020, COMM traded between $9.45 and $11.06. ATM implied volatility averaged 63.2%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 0.1% (HV 20d: 63.1%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.19.

Notable Days

  • 2020-08-06: Highest Volume — 26,609 contracts
  • 2020-08-06: Largest IV drop — 40.9% change
  • 2020-08-03: Highest IV Rank — 46.6%
  • 2020-08-03: Largest Expected Move — 30.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.42$9.45$11.06$9.57$10.32
Max Pain$9.24$9.00$10.00$9.00$10.00
ATM IV63.2%52.2%104.7%104.7%55.4%
Expected Move18.2%15.0%30.0%30.0%15.9%
HV 20d63.1%44.2%68.5%56.2%61.0%
HV 60d65.3%61.1%70.5%66.6%61.1%
IV Rank16.8%8.1%46.6%46.6%10.3%
IV Percentile40.5%22.2%90.1%90.1%29.4%
Term Structure2.1%-22.2%13.3%-19.8%13.3%
VWIV63.1%51.5%102.4%101.2%54.7%
Skew 25d2.1%-6.7%8.6%-6.7%5.1%
Skew 10d2.1%-13.3%30.6%3.8%5.7%
Call IV 25d63.3%49.1%107.9%104.7%55.9%
Put IV 25d65.3%52.0%105.0%98.0%60.9%
Bid-Ask Spread %67.4028.1385.6571.2985.65
Gamma HHI0.340.200.500.460.30
Net GEX443.8K136.5K738.0K479.8K175.3K
Net DEX-12.5M-28.1M-3.2M-14.8M-3.5M
Net VEX-61.5K-78.6K-50.0K-78.6K-50.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.000.930.050.03
Total Volume2,658.28613926,6093,227570
Total OI47,577.28628,40961,26561,03229,998

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$9.57$9.00104.7%30.0%56.2%46.6%101.2%-6.7%-19.8%479.8K-14.8M-78.6K0.0571.29N/AN/A3,07814948,36412,668
2020-08-04$9.68$9.00101.4%29.1%44.2%44.3%102.1%-2.0%-20.4%512.3K-14.9M-78.3K0.0184.47N/AN/A1,3721848,55212,713
2020-08-05$9.45$9.00104.7%30.0%44.9%46.5%102.4%-2.9%-22.2%468.1K-13.3M-74.9K0.0371.32N/AN/A6,56922248,18312,720
2020-08-06$10.99$9.0061.8%18.4%66.9%18.7%62.8%-1.6%2.8%738.0K-28.1M-77.2K0.0962.07N/AN/A24,5002,10947,44112,785
2020-08-07$11.06$9.0056.5%17.3%66.7%16.2%59.9%3.7%9.7%537.0K-19.6M-73.1K0.2856.59N/AN/A1,60944539,11313,434
2020-08-10$10.76$9.0059.8%17.1%68.4%15.6%60.7%4.5%7.2%568.4K-16.6M-66.8K0.1168.39N/AN/A2,06421738,86213,603
2020-08-11$10.72$9.0062.1%17.5%67.9%16.8%61.1%-0.3%6.1%562.7K-15.6M-65.9K0.2328.13N/AN/A86119438,49113,705
2020-08-12$10.62$9.0057.1%16.4%68.5%13.9%57.9%3.9%9.1%614.0K-14.9M-63.6K0.1173.26N/AN/A1,03111338,49213,644
2020-08-13$10.60$9.0057.8%16.6%68.5%12.0%58.7%0.7%7.0%613.8K-14.4M-62.4K0.3354.03N/AN/A55918738,71413,745
2020-08-14$10.57$9.0058.8%16.9%64.1%12.7%57.5%3.1%7.9%666.3K-14.7M-62.0K0.3772.13N/AN/A36913538,83813,753
2020-08-17$10.27$9.0060.0%17.2%65.5%13.6%59.5%2.8%6.0%725.8K-11.4M-58.2K0.3158.41N/AN/A58218238,79513,840
2020-08-18$10.61$9.0056.6%16.2%66.1%11.1%56.9%2.4%8.2%727.3K-15.3M-57.6K0.0536.72N/AN/A8554138,54913,834
2020-08-19$10.82$9.0053.9%15.4%65.8%9.2%56.0%7.5%11.0%613.3K-17.4M-57.2K0.3678.28N/AN/A1,33947738,75913,840
2020-08-20$10.56$9.0053.6%15.4%66.9%9.1%54.6%4.2%4.2%354.6K-15.3M-53.7K0.4172.93N/AN/A54822638,91714,078
2020-08-21$10.36$9.0054.1%15.5%65.7%9.4%53.5%1.4%2.1%136.5K-14.4M-51.6K0.1679.37N/AN/A2,42237838,76814,153
2020-08-24$10.38$9.0052.2%15.0%65.3%8.1%53.1%-1.7%3.2%146.8K-3.2M-51.3K0.0268.86N/AN/A1,0592320,7637,646
2020-08-25$10.47$10.0054.4%15.6%65.1%9.6%51.5%8.6%1.0%166.5K-3.9M-52.8K0.0074.65N/AN/A426021,7277,679
2020-08-26$10.28$10.0055.5%15.9%63.0%10.4%52.7%3.5%0.8%166.0K-3.3M-50.4K0.1372.95N/AN/A3204122,1347,679
2020-08-27$10.32$10.0052.4%15.0%62.5%8.2%56.8%2.6%4.9%171.8K-3.6M-52.2K0.9370.57N/AN/A726722,2707,755
2020-08-28$10.43$10.0054.8%15.7%61.3%9.9%51.8%4.8%1.1%176.3K-3.8M-52.9K0.0075.34N/AN/A395022,2937,826
2020-08-31$10.32$10.0055.4%15.9%61.0%10.3%54.7%5.1%13.3%175.3K-3.5M-50.0K0.0385.65N/AN/A5551522,1727,826