COMM Options History — September 2020

In September 2020, COMM traded between $8.41 and $10.95. ATM implied volatility averaged 62.0%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 13.1% (HV 20d: 48.8%). 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 21 of 21 days. Put/call ratio averaged 0.15.

Notable Days

  • 2020-09-01: Highest Volume — 32,136 contracts
  • 2020-09-08: Largest IV spike — 21.7% change
  • 2020-09-08: Highest IV Rank — 23.3%
  • 2020-09-08: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.43$8.41$10.95$10.68$8.99
Max Pain$9.38$9.00$10.00$10.00$9.00
ATM IV62.0%55.7%81.2%60.2%56.6%
Expected Move17.7%16.0%21.2%17.3%16.2%
HV 20d48.8%35.9%61.9%61.9%53.4%
HV 60d57.7%54.1%61.6%61.1%54.1%
IV Rank14.7%10.5%23.3%13.7%11.1%
IV Percentile39.2%25.8%66.7%38.9%25.8%
Term Structure10.7%4.1%16.3%4.1%16.3%
VWIV61.2%56.4%69.5%61.1%56.4%
Skew 25d4.4%-8.0%9.2%-1.2%4.7%
Skew 10d17.5%-9.0%47.6%-9.0%47.6%
Call IV 25d60.8%53.6%86.8%62.9%53.6%
Put IV 25d65.2%58.3%78.8%61.7%58.3%
Bid-Ask Spread %49.9316.7489.9989.9938.60
Gamma HHI0.450.290.530.290.47
Net GEX253.8K122.7K426.1K197.7K178.4K
Net DEX-5.4M-17.2M-201.9K-5.2M-1.7M
Net VEX-60.4K-89.1K-42.8K-53.9K-46.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.010.640.020.25
Total Volume3,564.38132932,13632,136596
Total OI45,929.47630,47454,22530,47442,034

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$10.68$10.0060.2%17.3%61.9%13.7%61.1%-1.2%4.1%197.7K-5.2M-53.9K0.0289.99N/AN/A31,47666022,6357,839
2020-09-02$10.95$10.0062.6%18.0%61.3%15.4%64.5%6.1%5.0%426.1K-17.2M-89.1K0.0287.71N/AN/A3,8369039,8878,429
2020-09-03$10.34$9.0064.7%18.6%35.9%17.0%63.8%6.3%9.4%387.8K-12.4M-80.7K0.1280.00N/AN/A3,28238138,5908,516
2020-09-04$10.43$10.0066.7%19.3%35.9%18.8%66.4%5.8%8.8%388.1K-13.0M-81.2K0.0181.60N/AN/A6,0097838,8978,677
2020-09-08$10.03$10.0081.2%21.2%37.2%23.3%69.5%-8.0%13.5%394.5K-12.9M-82.1K0.0182.77N/AN/A8,66810142,8818,745
2020-09-09$9.64$10.0067.3%19.3%39.4%18.7%66.1%5.3%9.7%392.5K-9.0M-76.5K0.0661.53N/AN/A1,83311644,4779,701
2020-09-10$8.95$10.0065.6%18.8%46.4%17.5%63.7%9.2%5.3%278.7K-3.9M-62.9K0.0181.14N/AN/A9,07612744,4739,752
2020-09-11$8.86$10.0061.0%17.5%46.3%14.3%60.1%2.5%9.6%196.2K-2.2M-55.8K0.1318.93N/AN/A1,00612640,0109,764
2020-09-14$9.12$10.0061.8%17.7%48.2%14.8%60.1%6.1%9.3%224.9K-3.2M-57.8K0.0243.14N/AN/A1,5142840,1689,868
2020-09-15$9.34$9.0057.1%16.4%48.7%11.5%57.5%6.1%13.3%257.8K-4.1M-60.2K0.0863.08N/AN/A7876340,1699,892
2020-09-16$9.68$9.0057.8%16.6%49.0%12.0%57.8%3.6%12.3%316.3K-6.3M-65.6K0.0550.69N/AN/A4952340,1299,887
2020-09-17$9.76$9.0055.7%16.0%48.5%10.5%56.5%9.1%11.9%348.1K-6.3M-63.3K0.5423.78N/AN/A25714040,1639,884
2020-09-18$9.61$9.0058.4%16.7%48.1%12.4%58.4%1.9%11.4%236.8K-5.1M-61.7K0.1924.34N/AN/A3817340,0549,985
2020-09-21$9.28$9.0061.5%17.6%49.0%14.6%62.9%4.1%10.9%209.0K-3.7M-54.8K0.1716.74N/AN/A3926832,1938,878
2020-09-22$9.22$9.0061.1%17.5%49.0%14.3%57.8%3.4%13.8%202.4K-3.3M-54.7K0.1231.14N/AN/A5847232,1958,929
2020-09-23$8.65$9.0059.3%17.0%52.7%13.0%59.4%7.4%11.4%147.1K-1.2M-46.9K0.2270.62N/AN/A59213232,2178,907
2020-09-24$8.41$9.0066.7%19.1%53.1%18.3%62.0%7.7%6.9%122.7K-423.1K-43.7K0.3426.81N/AN/A31310732,2638,949
2020-09-25$8.53$9.0058.4%16.8%53.5%12.4%61.2%0.9%13.4%127.8K-201.9K-42.8K0.6426.11N/AN/A20112832,3478,912
2020-09-28$8.65$9.0058.5%16.8%53.7%12.5%59.9%7.0%14.3%138.0K-659.2K-43.9K0.0422.16N/AN/A5812432,4868,962
2020-09-29$8.82$9.0059.6%17.1%54.7%13.3%58.8%4.2%13.4%160.0K-1.2M-45.5K0.0327.61N/AN/A4231332,7938,982
2020-09-30$8.99$9.0056.6%16.2%53.4%11.1%56.4%4.7%16.3%178.4K-1.7M-46.3K0.2538.60N/AN/A47811833,0508,984