COMM Options History — July 2021 In July 2021, COMM traded between $19.79 and $21.95. ATM implied volatility averaged 46.3%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 12.3% (HV 20d: 34.0%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.42.
Notable Days 2021-07-27 : Highest Volume — 1,066 contracts2021-07-12 : Largest IV spike — 23.3% change2021-07-30 : Highest IV Rank — 31.8%2021-07-30 : Largest Expected Move — 16.1%Monthly Statistics Metric Avg Min Max Open Close Price $20.92 $19.79 $21.95 $21.95 $21.14 Max Pain $20.10 $20.00 $21.00 $21.00 $20.00 ATM IV 46.3% 33.9% 56.3% 34.4% 56.3% Expected Move 14.1% 9.7% 16.1% 9.9% 16.1% HV 20d 34.0% 26.9% 41.1% 26.9% 39.6% HV 60d 31.3% 28.8% 33.7% 32.5% 33.7% IV Rank 20.4% 0.2% 31.8% 0.7% 31.8% IV Percentile 33.0% 1.2% 64.3% 1.2% 64.3% Term Structure -4.1% -12.0% 13.1% 11.8% -10.5% VWIV 49.7% 36.0% 57.4% 36.8% 57.4% Skew 25d -0.4% -7.6% 2.6% -2.8% -0.3% Skew 10d -0.7% -13.7% 4.0% -9.8% -13.7% Call IV 25d 50.2% 35.1% 57.7% 37.2% 57.7% Put IV 25d 49.8% 27.6% 57.5% 34.4% 57.4% Bid-Ask Spread % 50.74 23.12 77.65 49.29 57.09 Gamma HHI 0.31 0.30 0.32 0.30 0.31 Net GEX -157.6K -406.6K 107.6K 69.7K -121.8K Net DEX -29.7M -46.5M -11.7M -46.5M -34.8M Net VEX -426.8K -455.6K -402.6K -455.6K -402.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.42 0.00 2.46 0.06 2.46 Total Volume 260 11 1,066 745 308 Total OI 122,441 121,285 123,538 122,176 122,966
Daily Data (21 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 2021-07-01 $21.95 $21.00 34.4% 9.9% 26.9% 0.7% 36.8% -2.8% 11.8% 69.7K -46.5M -455.6K 0.06 49.29 N/A N/A 702 43 54,871 67,305 2021-07-02 $21.49 $21.00 33.9% 9.7% 28.2% 0.2% 36.0% -7.6% 13.1% 17.3K -38.7M -452.1K 0.17 71.73 N/A N/A 262 44 54,713 67,338 2021-07-06 $21.43 $20.00 35.4% 13.5% 28.2% 16.7% 46.8% 2.6% -2.7% 23.1K -37.7M -443.6K 0.16 40.84 N/A N/A 129 21 54,803 67,342 2021-07-07 $21.56 $20.00 37.4% 13.5% 27.2% 16.3% 46.7% -0.2% -2.8% 81.8K -39.7M -445.1K 0.16 36.87 N/A N/A 228 37 54,829 67,341 2021-07-08 $20.90 $20.00 37.2% 13.6% 29.5% 17.1% 48.0% -0.2% -2.7% -182.4K -30.0M -441.2K 0.34 56.94 N/A N/A 125 43 54,742 67,321 2021-07-09 $21.71 $20.00 34.8% 13.5% 32.6% 16.7% 47.1% 0.6% -2.1% 107.6K -41.6M -443.9K 0.57 24.01 N/A N/A 77 44 54,749 68,345 2021-07-12 $21.53 $20.00 42.9% 13.9% 32.4% 18.3% 48.2% -2.1% -2.1% 90.0K -39.1M -435.5K 0.02 30.79 N/A N/A 174 3 54,778 68,326 2021-07-13 $21.47 $20.00 39.2% 13.9% 32.4% 18.2% 48.6% 0.1% -2.8% 44.8K -38.3M -434.4K 0.00 23.12 N/A N/A 62 0 54,921 68,326 2021-07-14 $21.35 $20.00 48.0% 13.8% 32.3% 17.7% 48.7% -1.3% -4.5% 2.4K -36.3M -435.6K 0.11 30.81 N/A N/A 186 20 55,003 68,326 2021-07-15 $20.62 $20.00 48.1% 13.8% 34.1% 17.8% 49.1% 0.2% -7.1% -331.2K -24.1M -433.8K 0.41 43.23 N/A N/A 166 68 55,123 68,335 2021-07-16 $20.55 $20.00 48.2% 13.8% 32.9% 18.0% 48.7% -1.3% -3.8% -292.8K -23.6M -427.2K 0.96 50.85 N/A N/A 124 119 55,181 68,357 2021-07-19 $19.79 $20.00 52.0% 14.9% 34.2% 22.7% 54.1% 0.1% -7.1% -400.1K -11.7M -419.0K 0.22 44.81 N/A N/A 264 58 54,239 67,046 2021-07-20 $20.23 $20.00 51.1% 14.7% 33.8% 23.1% 52.1% 2.4% -4.6% -350.0K -17.9M -422.1K 1.13 52.91 N/A N/A 56 63 54,391 67,026 2021-07-21 $20.87 $20.00 50.6% 14.5% 35.5% 23.7% 50.7% 0.2% -6.2% -234.9K -28.5M -425.1K 0.01 37.20 N/A N/A 346 3 54,441 67,081 2021-07-22 $19.95 $20.00 51.2% 14.7% 38.9% 24.6% 51.9% -0.6% -5.6% -384.8K -14.9M -405.7K 0.19 57.46 N/A N/A 89 17 54,997 67,084 2021-07-23 $20.40 $20.00 51.6% 14.8% 39.8% 25.1% 52.8% 0.7% -7.4% -299.1K -21.3M -418.3K 0.10 56.35 N/A N/A 21 2 55,049 67,111 2021-07-26 $20.59 $20.00 54.1% 15.5% 37.6% 28.7% 54.5% 1.4% -9.1% -298.3K -23.7M -406.2K 0.00 72.89 N/A N/A 39 0 55,049 67,111 2021-07-27 $20.12 $20.00 54.1% 15.5% 38.3% 28.7% 55.9% 0.5% -8.9% -406.6K -17.1M -406.5K 0.02 75.68 N/A N/A 1,044 22 55,044 67,112 2021-07-28 $20.43 $20.00 56.2% 16.1% 38.7% 31.6% 53.6% -1.4% -9.8% -368.1K -21.4M -405.2K 0.57 77.65 N/A N/A 7 4 55,062 67,112 2021-07-29 $21.21 $20.00 55.5% 15.9% 41.1% 30.6% 56.7% 1.2% -12.0% -75.1K -35.9M -404.0K 1.16 75.05 N/A N/A 204 236 55,863 67,102 2021-07-30 $21.14 $20.00 56.3% 16.1% 39.6% 31.8% 57.4% -0.3% -10.5% -121.8K -34.8M -402.6K 2.46 57.09 N/A N/A 89 219 55,862 67,104
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