COMM Options History — November 2020

In November 2020, COMM traded between $9.06 and $12.36. ATM implied volatility averaged 59.9%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 8.8% (HV 20d: 51.1%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.25.

Notable Days

  • 2020-11-13: Highest Volume — 16,307 contracts
  • 2020-11-05: Largest IV drop — 36.6% change
  • 2020-11-03: Highest IV Rank — 37.5%
  • 2020-11-03: Largest Expected Move — 27.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.69$9.06$12.36$9.06$11.80
Max Pain$9.50$9.00$10.00$9.00$10.00
ATM IV59.9%51.1%94.0%93.8%57.6%
Expected Move17.0%14.6%27.0%26.9%16.5%
HV 20d51.1%43.1%56.9%43.1%55.4%
HV 60d48.0%43.4%51.9%43.4%51.2%
IV Rank12.9%7.1%37.5%37.4%11.9%
IV Percentile28.4%14.3%83.3%82.1%28.6%
Term Structure-2.7%-19.8%2.5%-17.8%-0.7%
VWIV60.1%49.9%99.0%99.0%58.1%
Skew 25d2.5%-1.8%6.3%3.9%-1.4%
Skew 10d11.2%-14.9%42.8%12.5%-11.9%
Call IV 25d58.8%47.5%97.4%97.1%59.4%
Put IV 25d61.3%50.6%101.0%101.0%58.0%
Bid-Ask Spread %46.7614.0181.2563.5976.32
Gamma HHI0.490.280.920.340.52
Net GEX926.5K213.3K4.6M213.3K730.5K
Net DEX-12.4M-26.7M268.9K-1.5M-18.2M
Net VEX-54.7K-69.2K-41.2K-42.5K-65.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.001.710.630.02
Total Volume3,997.111916,307119683
Total OI58,238.148,52372,96351,42653,740

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$9.06$9.0093.8%26.9%43.1%37.4%99.0%3.9%-17.8%213.3K-1.5M-42.5K0.6363.59N/AN/A734638,15413,272
2020-11-03$9.53$9.0094.0%27.0%47.0%37.5%97.6%4.2%-19.8%279.5K-4.6M-48.1K0.7663.61N/AN/A1,4001,06538,15413,272
2020-11-04$9.64$10.0090.0%25.8%46.7%34.7%95.9%-1.8%-17.6%303.6K-5.2M-48.7K0.0328.24N/AN/A2,5548238,99114,332
2020-11-05$10.03$9.0057.0%15.2%48.6%8.5%56.2%5.1%-0.0%542.9K-6.6M-46.1K0.6542.54N/AN/A7,2444,73639,39914,368
2020-11-06$9.93$9.0054.4%15.4%47.7%9.2%54.0%4.0%-0.1%391.5K-3.5M-49.4K1.7122.68N/AN/A1,0151,73938,50818,931
2020-11-09$10.22$9.0055.8%14.6%45.6%7.1%52.2%2.4%-0.3%574.0K-5.6M-49.0K0.0278.99N/AN/A5,8469539,08820,443
2020-11-10$9.91$9.0060.5%15.6%46.2%9.7%53.7%1.9%-0.8%328.2K-1.8M-44.6K0.0736.49N/AN/A2881937,24020,412
2020-11-11$9.73$9.0051.3%14.7%46.9%7.4%54.0%3.0%-0.3%233.7K268.9K-41.2K0.0422.70N/AN/A2981337,28020,409
2020-11-12$9.82$9.0051.1%14.6%46.9%7.3%51.1%6.3%-0.2%283.5K-565.2K-41.4K0.0332.52N/AN/A9973337,33420,430
2020-11-13$10.73$9.0052.4%15.0%55.7%8.2%52.9%3.9%-1.1%1.1M-11.6M-46.2K0.0016.03N/AN/A16,2743338,17520,430
2020-11-16$11.07$9.0053.6%15.4%55.7%9.1%54.4%3.1%-0.9%1.1M-18.3M-55.7K0.0236.52N/AN/A3,7527442,51020,310
2020-11-17$11.30$10.0055.3%15.9%55.0%10.2%54.7%2.4%0.2%1.4M-22.9M-56.9K0.0814.01N/AN/A8,58366643,61820,295
2020-11-18$10.95$10.0053.8%15.4%56.7%9.2%53.1%-0.3%1.2%1.7M-20.3M-65.2K0.0772.27N/AN/A1,0507250,38520,830
2020-11-19$10.82$10.0054.8%15.7%55.5%9.9%55.2%2.0%-0.3%2.2M-15.6M-64.2K0.3281.25N/AN/A1,34142551,27320,884
2020-11-20$10.95$10.0051.5%14.8%54.8%7.6%51.4%4.2%2.5%4.6M-19.0M-64.3K0.1239.18N/AN/A1,36015751,78821,175
2020-11-23$11.82$10.0053.0%15.2%56.9%8.6%51.2%1.4%-0.2%478.9K-18.9M-64.4K0.0180.95N/AN/A6,6508234,97813,545
2020-11-24$11.84$10.0052.1%14.9%56.0%8.0%49.9%3.0%-0.1%620.2K-22.2M-67.6K0.4273.38N/AN/A1,11046539,46813,580
2020-11-25$12.32$10.0052.3%15.0%51.0%8.1%53.3%-0.4%-0.1%596.8K-26.7M-63.0K0.0122.59N/AN/A8,5659839,25213,690
2020-11-27$12.36$10.0054.2%15.5%51.1%9.5%53.5%2.6%1.4%777.2K-25.1M-69.2K0.0231.36N/AN/A9411841,09313,726
2020-11-30$11.80$10.0057.6%16.5%55.4%11.9%58.1%-1.4%-0.7%730.5K-18.2M-65.4K0.0276.32N/AN/A6711240,00913,731