COMM Options History — March 2021 In March 2021, COMM traded between $14.22 and $16.80. ATM implied volatility averaged 48.3%, placing in the 2.3% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 5.5% (HV 20d: 53.8%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.05.
Notable Days 2021-03-23 : Highest Volume — 22,639 contracts2021-03-08 : Largest IV spike — 12.5% change2021-03-04 : Highest IV Rank — 6.3%2021-03-04 : Largest Expected Move — 15.9%Monthly Statistics Metric Avg Min Max Open Close Price $15.56 $14.22 $16.80 $15.27 $15.51 Max Pain $15.30 $14.00 $16.00 $14.00 $16.00 ATM IV 48.3% 40.9% 54.4% 51.7% 40.9% Expected Move 13.9% 11.7% 15.9% 14.8% 11.7% HV 20d 53.8% 39.5% 64.8% 58.8% 47.4% HV 60d 47.4% 44.6% 49.9% 44.6% 49.2% IV Rank 2.3% 0.0% 6.3% 3.4% 0.0% IV Percentile 3.6% 0.0% 20.6% 4.8% 0.0% Term Structure 6.8% -0.9% 10.2% -0.9% 10.2% VWIV 48.8% 41.4% 56.4% 49.8% 41.4% Skew 25d 1.3% -2.5% 4.7% 4.5% 1.5% Skew 10d 5.0% -14.1% 25.8% 0.9% 6.4% Call IV 25d 48.8% 41.9% 56.9% 49.4% 41.9% Put IV 25d 50.1% 43.4% 58.8% 53.9% 43.4% Bid-Ask Spread % 51.47 19.16 83.41 74.88 30.02 Gamma HHI 0.43 0.17 0.65 0.55 0.49 Net GEX -40.9K -931.5K 429.3K 318.4K -931.5K Net DEX -5.9M -15.2M 7.9M -8.8M 5.0M Net VEX -61.1K -176.0K -28.3K -31.1K -176.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.05 0.01 6.50 0.03 0.12 Total Volume 3,082.478 96 22,639 666 96 Total OI 25,012.13 12,391 60,597 13,410 60,597
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-03-01 $15.27 $14.00 51.7% 14.8% 58.8% 3.4% 49.8% 4.5% -0.9% 318.4K -8.8M -31.1K 0.03 74.88 N/A N/A 649 17 11,327 2,083 2021-03-02 $14.91 $14.00 50.4% 14.5% 57.0% 2.5% 50.9% 0.9% -0.3% 325.4K -7.8M -30.4K 0.58 71.85 N/A N/A 108 63 11,363 2,067 2021-03-03 $14.89 $14.00 51.0% 14.6% 57.0% 2.9% 50.8% 4.7% 0.6% 331.6K -7.7M -29.7K 0.55 53.63 N/A N/A 192 106 11,411 2,109 2021-03-04 $14.22 $15.00 54.4% 15.9% 58.5% 6.3% 56.4% 1.9% 7.3% 274.7K -5.5M -28.5K 0.09 68.35 N/A N/A 210 18 11,550 2,216 2021-03-05 $14.57 $15.00 48.1% 14.8% 59.3% 3.5% 51.7% 2.0% 7.3% 337.0K -6.4M -29.0K 0.01 52.38 N/A N/A 129 1 11,701 2,228 2021-03-08 $15.26 $15.00 54.1% 15.4% 61.7% 4.9% 53.8% 0.0% 6.1% 389.4K -9.0M -29.5K 0.15 37.18 N/A N/A 406 59 11,745 2,229 2021-03-09 $15.39 $15.00 50.0% 14.7% 61.7% 3.0% 50.8% 2.0% 7.0% 429.3K -9.8M -29.3K 0.14 19.16 N/A N/A 203 28 12,010 2,253 2021-03-10 $15.65 $15.00 50.6% 14.5% 62.0% 2.7% 51.8% 1.7% 6.7% 416.2K -10.9M -30.0K 0.24 59.89 N/A N/A 784 186 12,101 2,246 2021-03-11 $16.52 $15.00 51.0% 14.6% 64.8% 3.0% 50.7% 1.8% 8.0% 342.2K -14.6M -28.3K 0.76 47.87 N/A N/A 2,010 1,524 12,524 2,415 2021-03-12 $16.71 $15.00 50.8% 14.6% 64.4% 2.8% 51.9% 0.4% 7.1% 239.3K -15.2M -29.9K 6.50 66.22 N/A N/A 768 4,995 13,158 3,683 2021-03-15 $16.76 $15.00 51.9% 14.9% 64.0% 3.6% 52.5% 2.2% 5.2% 46.1K -14.5M -32.5K 0.12 30.90 N/A N/A 564 67 13,136 6,805 2021-03-16 $16.80 $15.00 49.5% 14.2% 63.8% 1.8% 50.0% 1.4% 7.8% 137.5K -14.3M -33.2K 0.68 40.00 N/A N/A 159 108 13,392 6,791 2021-03-17 $16.71 $15.00 48.9% 14.0% 39.5% 1.4% 49.8% -1.3% 9.7% 43.7K -14.2M -31.8K 0.99 70.23 N/A N/A 115 114 13,156 6,805 2021-03-18 $16.05 $16.00 51.3% 14.7% 42.6% 3.2% 51.5% -0.5% 6.7% 8.1K -11.3M -31.9K 0.48 44.00 N/A N/A 1,165 563 13,072 6,888 2021-03-19 $15.88 $16.00 48.2% 13.8% 43.0% 1.1% 48.1% 1.5% 8.5% -127.1K -9.6M -30.5K 0.22 28.20 N/A N/A 530 117 12,184 6,549 2021-03-22 $15.69 $16.00 44.7% 12.8% 43.5% 0.0% 45.3% 0.9% 9.8% -15.6K -3.3M -28.7K 2.02 50.75 N/A N/A 354 716 7,655 4,736 2021-03-23 $14.78 $16.00 43.1% 12.4% 49.5% 0.0% 43.6% 1.8% 9.7% -68.5K -726.8K -29.0K 4.59 83.41 N/A N/A 4,052 18,587 7,780 5,440 2021-03-24 $14.68 $16.00 42.9% 12.3% 46.6% 0.0% 42.9% -0.9% 9.6% -611.6K 7.9M -68.4K 0.99 73.96 N/A N/A 7,394 7,327 10,842 19,015 2021-03-25 $15.35 $16.00 44.5% 12.8% 49.1% 1.8% 44.8% 1.9% 9.0% -628.8K 3.4M -152.2K 1.33 44.46 N/A N/A 2,615 3,475 20,921 29,009 2021-03-26 $15.65 $16.00 43.6% 12.5% 49.3% 0.8% 43.8% 2.6% 7.7% -574.7K 728.4K -166.4K 0.57 43.40 N/A N/A 84 48 23,348 30,451 2021-03-29 $15.27 $16.00 45.9% 13.2% 48.0% 3.6% 47.7% -2.5% 5.6% -707.6K 4.0M -156.9K 2.73 62.48 N/A N/A 2,675 7,315 23,378 30,460 2021-03-30 $15.27 $16.00 44.1% 12.7% 47.1% 1.5% 43.5% 2.2% 7.9% -914.9K 7.7M -172.7K 0.36 30.64 N/A N/A 148 53 23,509 36,941 2021-03-31 $15.51 $16.00 40.9% 11.7% 47.4% 0.0% 41.4% 1.5% 10.2% -931.5K 5.0M -176.0K 0.12 30.02 N/A N/A 86 10 23,626 36,971
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