COMM Options History — January 2021

In January 2021, COMM traded between $12.95 and $15.12. ATM implied volatility averaged 59.3%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded above realized volatility by 18.4% (HV 20d: 41.0%). Max pain ranged from $10.00 to $14.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.59.

Notable Days

  • 2021-01-15: Highest Volume — 7,284 contracts
  • 2021-01-07: Largest IV drop — 17.5% change
  • 2021-01-29: Highest IV Rank — 22.8%
  • 2021-01-29: Largest Expected Move — 22.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.49$12.95$15.12$12.95$14.65
Max Pain$12.26$10.00$14.00$10.00$14.00
ATM IV59.3%50.0%77.9%56.9%77.9%
Expected Move17.3%15.9%22.3%16.8%22.3%
HV 20d41.0%30.8%44.5%30.8%43.9%
HV 60d45.6%43.8%46.9%45.3%43.9%
IV Rank10.0%6.3%22.8%12.4%22.8%
IV Percentile33.5%21.8%71.0%32.1%71.0%
Term Structure3.5%-10.5%14.9%2.8%-10.5%
VWIV60.7%55.5%78.7%57.7%78.7%
Skew 25d-1.3%-11.1%7.5%7.5%0.5%
Skew 10d0.1%-27.7%25.6%6.1%25.6%
Call IV 25d63.5%56.0%81.3%60.0%81.3%
Put IV 25d62.2%56.1%81.8%67.5%81.8%
Bid-Ask Spread %74.3069.1183.6673.6272.53
Gamma HHI0.260.170.370.170.26
Net GEX178.0K29.0K370.1K235.8K37.1K
Net DEX-12.5M-21.6M-4.8M-12.6M-5.3M
Net VEX-33.3K-37.1K-27.9K-33.7K-34.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.012.781.370.46
Total Volume1,042.474627,284204506
Total OI26,973.63214,50437,67736,71115,905

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$12.95$10.0056.9%16.8%30.8%12.4%57.7%7.5%2.8%235.8K-12.6M-33.7K1.3773.62N/AN/A8611825,22711,484
2021-01-05$13.35$10.0056.7%17.4%31.1%10.0%60.3%1.0%1.4%237.7K-14.5M-33.7K0.0374.03N/AN/A264725,24311,592
2021-01-06$14.30$10.0060.7%17.0%38.9%9.0%60.1%4.3%6.6%303.6K-18.4M-34.6K0.0875.73N/AN/A5234225,27511,592
2021-01-07$14.18$11.0050.0%16.9%38.0%8.7%56.9%6.1%6.1%294.5K-18.5M-32.1K0.6476.94N/AN/A16210425,13711,613
2021-01-08$13.97$11.0051.6%15.9%38.6%6.3%57.6%-0.5%7.5%266.5K-17.3M-31.5K0.1872.83N/AN/A2945425,14811,618
2021-01-11$14.27$11.0058.5%16.9%39.0%8.7%57.6%-1.4%2.3%292.2K-18.6M-30.9K0.0172.28N/AN/A8131125,09511,637
2021-01-12$14.90$11.0056.9%16.6%41.3%8.0%58.3%-0.7%5.6%348.8K-21.6M-30.6K0.1574.32N/AN/A1,84726925,48511,646
2021-01-13$14.47$11.0058.0%16.6%42.2%8.1%58.9%-1.1%4.8%370.1K-19.0M-27.9K0.3671.81N/AN/A37713624,72211,860
2021-01-14$14.97$11.0059.3%17.0%43.3%9.1%60.4%-2.9%5.2%322.4K-21.1M-28.8K0.0373.29N/AN/A1,6955424,70211,984
2021-01-15$14.72$11.0057.0%16.3%43.7%7.3%55.5%-11.1%14.9%128.3K-19.7M-28.1K0.9377.41N/AN/A3,7673,51725,66712,010
2021-01-19$14.89$14.0056.1%16.1%43.7%6.7%56.8%-0.9%5.0%98.0K-7.1M-35.0K2.7874.08N/AN/A4251,18310,1854,319
2021-01-20$15.12$14.0057.3%16.4%43.9%7.6%58.6%-2.1%4.7%82.6K-7.2M-37.1K0.0573.58N/AN/A2751510,5745,329
2021-01-21$15.03$14.0056.3%16.1%42.3%6.8%57.5%-3.0%6.0%84.6K-7.2M-36.6K2.6269.11N/AN/A13334910,6845,334
2021-01-22$14.81$14.0056.8%16.3%42.5%7.2%56.8%-3.7%5.1%68.6K-6.4M-36.6K0.4871.36N/AN/A422010,7525,663
2021-01-25$15.03$14.0059.0%16.9%42.6%8.8%60.0%-1.4%5.9%76.6K-7.1M-35.9K0.0771.90N/AN/A3152210,7685,673
2021-01-26$14.56$14.0060.9%17.5%44.1%10.2%60.2%-5.9%3.9%59.7K-5.8M-35.7K0.0380.23N/AN/A1,5433910,9965,688
2021-01-27$14.40$14.0065.2%18.7%44.5%13.4%68.2%-9.9%-0.7%29.0K-4.8M-34.5K0.9083.66N/AN/A17015310,1675,693
2021-01-28$14.80$14.0072.7%20.8%43.8%18.9%73.7%0.7%-9.7%46.6K-5.8M-35.1K0.1173.02N/AN/A4294810,2415,791
2021-01-29$14.65$14.0077.9%22.3%43.9%22.8%78.7%0.5%-10.5%37.1K-5.3M-34.3K0.4672.53N/AN/A34715910,0635,842