COMM Options History — December 2020

In December 2020, COMM traded between $12.16 and $13.43. ATM implied volatility averaged 53.5%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 10.5% (HV 20d: 43.1%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.16.

Notable Days

  • 2020-12-04: Highest Volume — 24,073 contracts
  • 2020-12-31: Largest IV drop — 9.7% change
  • 2020-12-10: Highest IV Rank — 11.0%
  • 2020-12-10: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.05$12.16$13.43$12.16$13.43
Max Pain$10.91$10.00$11.00$10.00$11.00
ATM IV53.5%47.0%56.4%56.1%47.0%
Expected Move15.3%13.5%16.2%16.1%13.5%
HV 20d43.1%27.6%55.5%55.5%27.6%
HV 60d46.4%43.7%51.5%51.5%44.5%
IV Rank8.8%4.4%11.0%10.8%4.4%
IV Percentile14.6%0.8%25.8%25.8%0.8%
Term Structure6.0%-2.4%11.8%-2.4%7.7%
VWIV53.1%46.1%56.1%55.0%46.1%
Skew 25d0.2%-10.7%3.5%0.3%-10.7%
Skew 10d-2.7%-21.3%19.5%-4.4%-15.5%
Call IV 25d53.8%50.2%57.3%56.9%53.8%
Put IV 25d54.0%43.1%57.2%57.2%43.1%
Bid-Ask Spread %62.3319.4880.5376.5180.03
Gamma HHI0.270.150.530.530.18
Net GEX502.0K235.3K943.0K800.2K246.1K
Net DEX-19.9M-29.3M-12.1M-22.1M-15.1M
Net VEX-49.4K-66.1K-36.0K-66.1K-36.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.010.550.060.40
Total Volume2,110.2277924,073412198
Total OI45,068.36435,83554,42453,90736,674

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$12.16$10.0056.1%16.1%55.5%10.8%55.0%0.3%-2.4%800.2K-22.1M-66.1K0.0676.51N/AN/A3872540,17113,736
2020-12-02$12.47$10.0055.1%15.8%54.1%10.1%56.1%-1.4%0.1%810.9K-25.9M-63.7K0.1080.53N/AN/A6306540,30613,737
2020-12-03$12.62$11.0053.7%14.9%54.1%8.0%51.9%2.4%8.3%844.4K-27.3M-59.7K0.0241.95N/AN/A3,7856440,20913,792
2020-12-04$12.98$11.0055.3%15.3%53.5%8.9%53.5%0.4%7.5%705.2K-29.3M-58.9K0.0572.16N/AN/A22,9511,12238,58913,808
2020-12-07$13.22$11.0055.8%15.2%52.8%8.8%52.8%1.0%4.3%882.8K-27.1M-59.7K0.1771.10N/AN/A3285538,36514,694
2020-12-08$12.93$11.0055.3%16.1%54.0%10.9%55.0%0.7%3.7%907.7K-24.1M-58.8K0.0663.01N/AN/A3,04917838,46714,732
2020-12-09$13.02$11.0055.3%15.8%51.7%10.2%55.4%2.2%5.2%943.0K-25.4M-59.5K0.0164.62N/AN/A5,7315539,61414,810
2020-12-10$13.14$11.0056.4%16.2%50.4%11.0%55.9%3.3%4.9%676.5K-23.3M-55.5K0.2667.02N/AN/A2095534,83914,848
2020-12-11$13.32$11.0055.5%15.9%50.3%10.4%55.8%-0.6%5.3%615.8K-24.4M-54.9K0.0275.74N/AN/A1,8324533,81814,896
2020-12-14$13.06$11.0055.2%15.8%43.6%10.2%55.7%0.5%4.7%524.7K-20.8M-49.2K0.0270.98N/AN/A2,5824931,93314,911
2020-12-15$13.26$11.0054.4%15.6%42.9%9.6%53.7%3.5%4.4%353.5K-20.7M-47.4K0.4268.55N/AN/A1877830,09314,932
2020-12-16$13.11$11.0054.3%15.6%43.3%9.5%53.7%1.7%2.7%346.2K-19.5M-47.0K0.5576.31N/AN/A1206629,97814,959
2020-12-17$13.20$11.0054.0%15.5%40.8%9.3%54.5%-1.1%10.0%338.8K-20.3M-44.8K0.3373.94N/AN/A1605229,99814,983
2020-12-18$13.27$11.0052.0%14.9%40.0%7.9%51.1%-1.0%10.6%262.3K-20.4M-44.4K0.0473.68N/AN/A5672229,73115,008
2020-12-21$12.91$11.0052.6%15.1%42.2%8.3%53.4%-1.0%6.5%244.7K-12.1M-42.5K0.4964.47N/AN/A27613624,54811,287
2020-12-22$13.23$11.0053.4%15.3%34.4%8.9%52.3%0.8%6.8%262.7K-13.8M-42.4K0.0824.51N/AN/A7155524,69511,341
2020-12-23$13.31$11.0050.4%14.5%34.3%6.8%50.7%-0.0%7.9%269.7K-14.2M-41.3K0.1868.45N/AN/A731325,11111,394
2020-12-24$13.12$11.0050.5%14.5%32.6%6.9%51.2%-1.7%9.2%260.9K-13.5M-40.4K0.0319.48N/AN/A77225,15911,405
2020-12-28$13.24$11.0052.0%14.9%32.6%7.9%52.7%1.3%11.8%265.4K-13.7M-39.8K0.1225.27N/AN/A1982425,15411,405
2020-12-29$12.91$11.0051.4%14.7%29.0%7.5%50.4%3.1%7.8%235.3K-12.3M-37.3K0.0444.97N/AN/A90425,25911,424
2020-12-30$13.18$11.0052.1%14.9%28.1%8.0%51.3%1.6%6.1%246.3K-13.6M-36.6K0.1068.00N/AN/A1051025,26611,425
2020-12-31$13.43$11.0047.0%13.5%27.6%4.4%46.1%-10.7%7.7%246.1K-15.1M-36.0K0.4080.03N/AN/A1415725,23911,435