COMM Options History — November 2021

In November 2021, COMM traded between $9.39 and $11.54. ATM implied volatility averaged 66.5%, placing in the 55.1% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded below realized volatility by 8.1% (HV 20d: 74.6%). Max pain ranged from $10.00 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2021-11-23: Highest Volume — 29,760 contracts
  • 2021-11-04: Largest IV drop — 43.0% change
  • 2021-11-03: Highest IV Rank — 94.8%
  • 2021-11-03: Largest Expected Move — 26.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.23$9.39$11.54$11.22$9.99
Max Pain$10.95$10.00$16.00$16.00$10.00
ATM IV66.5%51.8%90.9%83.4%79.9%
Expected Move18.8%13.5%26.1%23.9%22.9%
HV 20d74.6%40.8%84.1%48.1%82.7%
HV 60d51.3%35.9%56.5%36.1%56.5%
IV Rank55.1%23.5%94.8%81.1%80.8%
IV Percentile81.0%38.1%99.6%98.4%98.4%
Term Structure-8.5%-32.5%2.2%-21.5%-13.9%
VWIV65.9%46.2%92.3%81.5%80.4%
Skew 25d2.4%-3.9%12.4%2.9%5.5%
Skew 10d5.3%-21.1%25.9%20.0%-1.0%
Call IV 25d66.0%44.8%90.8%80.7%77.4%
Put IV 25d68.4%51.9%92.2%83.6%82.9%
Bid-Ask Spread %50.4914.0483.7457.2554.46
Gamma HHI0.360.190.560.220.42
Net GEX628.2K275.7K1.1M411.2K971.0K
Net DEX-1.3M-39.2M21.3M8.4M-26.3M
Net VEX-189.6K-247.6K-143.7K-186.3K-212.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.092.690.160.57
Total Volume8,969.8573,38429,7607,8913,848
Total OI170,360.429129,966186,124161,144172,789

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$11.22$16.0083.4%23.9%48.1%81.1%81.5%2.9%-21.5%411.2K8.4M-186.3K0.1657.25N/AN/A6,8001,091122,21538,929
2021-11-02$11.28$16.0086.5%24.8%42.5%87.5%86.2%0.4%-23.7%474.4K5.5M-212.1K0.1656.46N/AN/A6,188964126,99039,284
2021-11-03$11.54$16.0090.9%26.1%40.8%94.8%92.3%1.4%-32.5%523.2K1.5M-228.5K0.2770.10N/AN/A7,5252,068127,39339,635
2021-11-04$9.65$11.0051.8%13.5%73.5%23.5%48.2%9.1%-1.2%358.8K21.3M-143.7K0.8777.78N/AN/A5,5844,842131,21841,101
2021-11-05$10.16$10.0053.3%13.9%76.5%25.5%46.2%1.8%2.2%404.1K11.4M-162.8K0.3524.32N/AN/A5,8402,072132,11935,888
2021-11-08$9.78$11.0054.9%14.3%77.2%28.4%50.7%0.4%1.9%370.8K12.5M-151.4K2.6914.04N/AN/A2,4606,606132,90235,332
2021-11-09$9.66$10.0053.7%14.5%77.2%29.2%52.1%4.0%1.6%280.0K15.9M-161.4K2.0239.87N/AN/A2,4714,985133,09641,862
2021-11-10$9.39$10.0058.5%16.8%77.3%43.3%56.1%2.9%-5.9%275.7K17.2M-152.7K0.4930.24N/AN/A10,2114,995133,15142,034
2021-11-11$9.92$10.0053.0%15.2%79.2%33.7%53.6%-0.6%-3.4%606.9K10.6M-179.2K1.8149.18N/AN/A2,8945,228140,93041,523
2021-11-12$10.22$10.0058.7%16.8%80.4%43.6%60.1%-3.9%-5.0%629.2K6.4M-192.0K1.3840.09N/AN/A4,2845,894141,69241,657
2021-11-15$9.98$10.0059.4%17.0%79.9%44.8%62.0%-0.2%-5.4%702.8K8.3M-183.3K0.6646.03N/AN/A3,4392,279143,49341,355
2021-11-16$10.12$10.0057.5%16.5%80.1%41.6%58.7%1.7%-4.0%760.5K7.1M-183.6K0.7037.39N/AN/A3,2592,283143,75741,242
2021-11-17$10.12$10.0057.5%16.5%78.7%41.5%59.3%4.8%-4.5%831.1K6.8M-186.7K0.7039.40N/AN/A3,1942,232144,83941,285
2021-11-18$9.99$10.0057.9%16.6%78.7%42.2%58.6%1.3%-4.1%1.0M7.4M-183.0K0.4444.04N/AN/A2,4601,078144,83640,663
2021-11-19$9.65$10.0059.9%17.2%78.9%45.7%60.7%-2.9%-4.0%432.4K10.7M-171.1K0.4865.68N/AN/A2,2841,100145,14740,209
2021-11-22$9.82$10.0064.9%18.6%79.0%54.4%64.7%3.1%-5.1%457.0K-17.4M-178.7K0.4724.75N/AN/A2,5601,202117,33712,629
2021-11-23$10.59$10.0078.0%22.3%83.7%77.4%72.8%12.4%-16.7%537.2K-25.2M-198.8K0.2183.74N/AN/A24,6935,067117,99912,983
2021-11-24$10.78$10.0077.5%22.2%84.0%76.5%76.6%1.3%-12.8%888.4K-36.6M-234.5K0.0965.55N/AN/A24,4642,111138,70015,418
2021-11-26$10.61$10.0083.0%23.8%84.1%86.2%84.0%5.1%-11.9%1.1M-39.2M-247.6K0.3372.04N/AN/A2,931958154,80116,734
2021-11-29$10.40$10.0076.9%22.0%84.1%75.5%78.3%0.4%-7.7%1.1M-34.4M-231.9K0.8867.98N/AN/A2,0901,833155,50216,900
2021-11-30$9.99$10.0079.9%22.9%82.7%80.8%80.4%5.5%-13.9%971.0K-26.3M-212.8K0.5754.46N/AN/A2,4571,391155,87116,918