COMM Options History — September 2021

In September 2021, COMM traded between $13.55 and $15.84. ATM implied volatility averaged 38.9%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 7.4% (HV 20d: 31.5%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2021-09-09: Highest Volume — 2,785 contracts
  • 2021-09-20: Largest IV spike — 10.3% change
  • 2021-09-20: Highest IV Rank — 17.4%
  • 2021-09-20: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.44$13.55$15.84$15.56$13.60
Max Pain$15.71$15.00$16.00$15.00$15.00
ATM IV38.9%33.6%44.4%36.7%41.4%
Expected Move11.2%10.2%12.7%10.5%11.9%
HV 20d31.5%25.7%85.7%85.7%28.7%
HV 60d56.8%56.3%57.2%56.8%56.7%
IV Rank8.8%2.7%17.4%4.7%12.5%
IV Percentile20.4%5.2%31.3%9.9%31.0%
Term Structure8.9%-1.3%13.9%-1.3%11.4%
VWIV38.3%33.7%41.5%37.4%41.4%
Skew 25d2.1%-4.5%12.5%-1.7%-1.5%
Skew 10d4.7%-11.1%17.7%-8.3%-7.2%
Call IV 25d37.8%28.7%43.6%36.7%41.2%
Put IV 25d39.9%35.0%46.2%35.0%39.7%
Bid-Ask Spread %52.4121.9083.6978.0722.88
Gamma HHI0.230.170.340.320.18
Net GEX468.9K-57.3K1.8M1.5M28.1K
Net DEX12.7M-16.2M24.9M-11.1M24.9M
Net VEX-195.0K-284.3K-132.4K-282.0K-132.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.012.260.240.55
Total Volume1,168.7141592,785159269
Total OI125,695.381114,855139,530128,116119,638

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$15.56$15.0036.7%10.5%85.7%4.7%37.4%-1.7%-1.3%1.5M-11.1M-282.0K0.2478.07N/AN/A1283189,95838,158
2021-09-02$15.84$16.0033.6%10.7%30.6%5.5%37.2%1.9%5.2%1.8M-16.2M-284.3K1.5268.19N/AN/A13921190,10938,227
2021-09-03$15.62$16.0035.3%10.2%30.6%2.7%35.4%1.1%10.2%1.6M-11.5M-276.8K0.0142.42N/AN/A1,1791090,17138,245
2021-09-07$15.34$16.0037.8%11.2%29.9%8.7%37.9%2.1%7.7%1.5M-2.7M-250.3K0.2621.90N/AN/A1,05527790,21838,340
2021-09-08$14.97$16.0039.4%11.3%30.7%9.2%38.4%1.8%7.2%1.0M5.7M-227.0K0.0954.55N/AN/A8758291,69038,342
2021-09-09$14.82$16.0038.6%11.1%30.7%7.9%38.0%1.6%8.1%866.1K9.3M-222.3K1.0254.94N/AN/A1,3761,40992,43838,558
2021-09-10$14.52$16.0039.1%11.2%29.5%8.7%37.8%-0.1%8.5%422.0K14.0M-211.7K0.1572.96N/AN/A4326492,97538,603
2021-09-13$14.78$16.0039.5%11.3%28.3%9.3%37.2%3.4%6.5%494.8K13.4M-207.4K0.1553.39N/AN/A1,96229894,34039,987
2021-09-14$14.43$16.0039.3%11.3%28.7%9.0%39.8%0.1%9.1%95.0K18.2M-192.9K1.6449.39N/AN/A6661,09194,44240,024
2021-09-15$14.61$16.0036.9%10.6%28.7%5.2%37.6%2.9%11.3%270.3K15.4M-200.0K0.2970.63N/AN/A1,75650796,37640,106
2021-09-16$14.64$16.0038.9%11.2%27.6%8.4%39.0%0.4%8.2%142.5K14.4M-201.3K0.2441.37N/AN/A3448196,88240,907
2021-09-17$14.27$16.0040.3%11.6%28.9%10.7%40.6%3.0%6.7%54.9K19.3M-187.1K0.7051.48N/AN/A37926798,19741,333
2021-09-20$13.78$16.0044.4%12.7%30.4%17.4%39.8%2.7%8.9%-7.6K20.7M-163.6K0.5464.12N/AN/A38320776,92738,022
2021-09-21$13.62$16.0040.2%11.5%28.0%10.6%40.9%1.7%11.4%-57.3K23.2M-151.0K0.7269.36N/AN/A41229876,84138,014
2021-09-22$13.80$16.0039.0%11.2%27.4%8.6%36.1%3.7%10.6%-2.9K21.3M-157.4K0.0183.69N/AN/A2,1393077,06438,015
2021-09-23$13.85$16.0038.2%11.0%27.5%7.3%35.9%3.3%11.2%-50.3K21.9M-150.3K0.2444.07N/AN/A65315577,33638,162
2021-09-24$13.86$15.0037.0%10.6%27.0%5.4%37.1%2.4%13.9%10.6K21.6M-156.2K0.3351.44N/AN/A2929578,62938,173
2021-09-27$14.09$15.0040.0%11.5%25.7%10.2%33.7%7.1%10.6%58.9K18.9M-161.9K0.0238.80N/AN/A2,2975779,11938,246
2021-09-28$13.55$15.0041.5%11.9%28.2%12.6%41.5%-4.5%10.1%-16.3K23.8M-138.8K0.4735.48N/AN/A32215179,13638,286
2021-09-29$13.68$15.0039.6%11.4%28.7%9.5%41.2%12.5%12.0%59.7K23.1M-141.3K2.2631.55N/AN/A6631,50181,04938,320
2021-09-30$13.60$15.0041.4%11.9%28.7%12.5%41.4%-1.5%11.4%28.1K24.9M-132.4K0.5522.88N/AN/A1739681,22138,417