COMM Options History — February 2021

In February 2021, COMM traded between $13.70 and $15.86. ATM implied volatility averaged 66.7%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded above realized volatility by 21.6% (HV 20d: 45.1%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.53.

Notable Days

  • 2021-02-16: Highest Volume — 5,313 contracts
  • 2021-02-10: Largest IV drop — 33.0% change
  • 2021-02-01: Highest IV Rank — 23.8%
  • 2021-02-01: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.85$13.70$15.86$15.35$14.64
Max Pain$14.63$14.00$15.00$14.00$14.00
ATM IV66.7%48.4%98.4%79.3%53.5%
Expected Move17.9%13.9%22.7%22.7%15.3%
HV 20d45.1%30.0%57.7%46.1%57.0%
HV 60d43.7%38.9%47.5%43.7%44.3%
IV Rank11.4%1.1%23.8%23.8%4.8%
IV Percentile34.1%0.8%72.2%72.2%11.1%
Term Structure-2.7%-14.6%2.6%-10.1%-2.4%
VWIV62.7%49.0%82.8%79.1%53.6%
Skew 25d0.7%-4.1%7.0%3.4%3.7%
Skew 10d-1.8%-20.1%16.2%-6.4%13.6%
Call IV 25d63.0%49.0%84.7%78.1%51.4%
Put IV 25d63.7%51.2%81.5%81.5%55.1%
Bid-Ask Spread %61.7138.5078.5472.1464.96
Gamma HHI0.330.210.760.240.54
Net GEX35.7K-510.7K269.0K49.8K269.0K
Net DEX-5.3M-9.1M2.1M-7.2M-6.9M
Net VEX-29.0K-34.4K-21.4K-34.1K-30.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.043.950.070.21
Total Volume1,273.684505,3132,00481
Total OI16,101.9479,85522,43615,92413,376

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$15.35$14.0079.3%22.7%46.1%23.8%79.1%3.4%-10.1%49.8K-7.2M-34.1K0.0772.14N/AN/A1,87512910,1415,783
2021-02-02$15.20$14.0077.7%22.3%43.7%22.6%78.8%-4.1%-11.0%54.3K-6.7M-34.4K0.0566.70N/AN/A3852010,2785,868
2021-02-03$15.52$14.0079.1%22.7%43.1%23.7%82.8%-3.4%-14.6%48.7K-7.4M-33.0K0.0666.03N/AN/A2771610,0805,876
2021-02-04$15.36$15.0079.5%18.9%36.9%13.9%65.9%-0.3%-1.9%46.1K-7.0M-32.5K0.3457.40N/AN/A672310,1715,889
2021-02-05$15.23$15.0079.0%18.7%36.9%13.5%64.8%0.1%-0.5%41.2K-6.8M-32.6K0.2938.50N/AN/A2076110,1685,892
2021-02-08$15.36$15.0089.3%19.1%36.3%14.5%66.4%-1.1%-2.5%41.4K-7.2M-31.4K0.1752.26N/AN/A1422410,1975,948
2021-02-09$15.39$15.0098.4%19.9%35.8%16.5%66.4%0.2%-6.8%45.1K-7.1M-30.4K0.1956.68N/AN/A79215310,1855,970
2021-02-10$15.47$15.0065.9%18.9%32.7%13.9%68.0%-2.2%-2.2%59.4K-7.7M-30.2K0.0746.46N/AN/A1561110,8196,113
2021-02-11$15.20$15.0066.7%19.1%31.4%14.5%68.2%-0.5%-1.9%53.9K-6.7M-30.2K0.2850.91N/AN/A391110,8096,124
2021-02-12$15.57$15.0066.8%19.2%30.3%14.6%65.9%-1.1%-2.4%68.8K-7.8M-29.2K0.2454.33N/AN/A44110510,8076,128
2021-02-16$15.86$15.0067.5%19.4%30.0%15.1%67.7%-1.0%-4.5%93.7K-9.1M-27.2K0.3957.67N/AN/A3,8251,48810,9146,129
2021-02-17$13.90$15.0054.8%15.7%56.5%5.8%54.9%0.5%2.0%-320.4K-47.1K-22.8K0.0467.84N/AN/A3,01012313,9567,310
2021-02-18$13.72$15.0052.4%15.0%56.2%4.0%50.8%3.4%0.3%-510.7K1.3M-21.4K0.3563.23N/AN/A1,31746214,4437,336
2021-02-19$13.70$15.0048.4%13.9%56.2%1.1%49.1%-1.1%2.1%89.5K2.1M-22.1K3.9574.66N/AN/A4191,65615,4057,031
2021-02-22$13.80$15.0048.8%14.0%56.2%1.3%50.4%1.8%2.6%51.8K-2.6M-24.0K0.0858.52N/AN/A1,9691587,2252,630
2021-02-23$13.85$14.0051.6%14.8%55.8%3.4%49.0%3.5%1.4%106.8K-3.2M-26.2K0.0778.54N/AN/A422288,8182,768
2021-02-24$14.53$14.0051.6%14.8%57.7%3.4%52.2%4.8%0.1%152.2K-4.9M-28.4K0.2674.56N/AN/A2,1945739,1092,793
2021-02-25$14.43$14.0056.1%16.1%57.7%6.7%56.8%7.0%0.2%237.5K-6.0M-30.4K2.9971.04N/AN/A3861,15511,0752,373
2021-02-26$14.64$14.0053.5%15.3%57.0%4.8%53.6%3.7%-2.4%269.0K-6.9M-30.9K0.2164.96N/AN/A671411,3012,075