COMM Options History — September 2022

In September 2022, COMM traded between $9.31 and $12.65. ATM implied volatility averaged 66.7%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 4.2% (HV 20d: 62.5%). Max pain ranged from $8.00 to $11.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2022-09-06: Highest Volume — 13,711 contracts
  • 2022-09-12: Largest IV spike — 34.6% change
  • 2022-09-29: Highest IV Rank — 46.5%
  • 2022-09-29: Largest Expected Move — 21.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.29$9.31$12.65$11.91$9.31
Max Pain$10.24$8.00$11.00$8.00$9.00
ATM IV66.7%53.0%74.2%60.6%72.6%
Expected Move18.9%16.6%21.3%17.4%20.8%
HV 20d62.5%56.9%69.1%58.9%66.5%
HV 60d65.2%56.6%77.8%76.1%62.3%
IV Rank37.0%27.1%46.5%31.8%44.3%
IV Percentile50.3%24.6%71.4%37.3%67.5%
Term Structure5.6%0.1%9.4%0.1%5.5%
VWIV65.0%51.6%73.6%56.2%69.2%
Skew 25d4.4%-0.9%8.6%7.0%5.2%
Skew 10d10.7%-16.4%34.2%10.2%-13.1%
Call IV 25d64.0%57.9%70.3%57.9%69.0%
Put IV 25d68.4%63.3%76.1%64.9%74.2%
Bid-Ask Spread %62.7435.1979.6167.9249.33
Gamma HHI0.170.140.200.190.20
Net GEX497.1K374.6K668.5K477.0K623.5K
Net DEX-36.7M-46.6M-23.7M-41.3M-24.2M
Net VEX-135.1K-146.8K-118.0K-137.5K-118.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.011.291.070.78
Total Volume3,457.0951913,7111,8643,147
Total OI64,533.04858,15971,55658,15971,556

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$11.91$8.0060.6%17.4%58.9%31.8%56.2%7.0%0.1%477.0K-41.3M-137.5K1.0767.92N/AN/A90196354,6973,462
2022-09-02$12.65$8.0060.8%17.4%60.8%32.1%51.6%3.7%3.8%445.5K-46.4M-142.1K0.0340.65N/AN/A7,05821154,5174,407
2022-09-06$11.81$11.0069.3%18.9%67.2%38.7%66.3%1.5%5.5%512.0K-41.8M-144.4K0.5353.82N/AN/A8,9504,76157,8494,569
2022-09-07$12.26$11.0060.8%18.1%65.4%33.7%65.6%4.5%5.9%422.1K-43.4M-146.8K0.3963.60N/AN/A4,2451,64256,8617,893
2022-09-08$12.64$11.0063.2%17.3%60.4%30.0%62.8%3.4%7.3%433.8K-46.6M-146.3K0.4161.80N/AN/A28111656,8458,085
2022-09-09$12.57$11.0053.0%16.6%60.3%27.1%62.0%2.9%7.1%444.5K-46.5M-144.6K0.4466.96N/AN/A1767756,9148,116
2022-09-12$12.49$11.0071.4%17.8%56.9%32.4%66.0%5.3%7.0%446.0K-45.7M-143.2K0.5766.83N/AN/A1237057,0278,185
2022-09-13$11.80$11.0073.4%18.2%61.3%34.4%66.0%3.1%7.6%386.2K-39.8M-141.1K1.1368.12N/AN/A1,4321,62457,0238,238
2022-09-14$11.68$11.0064.9%18.6%61.5%36.0%61.6%5.5%9.4%374.6K-40.8M-136.7K0.0475.07N/AN/A6843056,9678,214
2022-09-15$11.72$11.0063.8%18.3%60.9%34.6%63.0%5.6%5.3%406.7K-39.8M-139.6K0.0679.61N/AN/A18157,5738,229
2022-09-16$11.74$11.0064.6%18.5%59.9%35.6%64.0%6.8%4.6%495.1K-39.6M-139.1K1.1968.97N/AN/A1,3541,61657,5698,230
2022-09-19$11.78$11.0065.8%18.9%58.8%37.1%65.5%5.3%4.7%498.3K-37.9M-137.3K0.1164.02N/AN/A1211354,9964,313
2022-09-20$11.43$11.0067.8%19.5%57.2%39.7%66.1%3.8%3.6%504.7K-34.6M-135.0K0.1670.42N/AN/A911555,0784,315
2022-09-21$11.32$11.0065.6%18.8%57.5%36.8%63.8%2.4%6.5%494.1K-34.7M-134.1K0.3670.79N/AN/A893255,0374,327
2022-09-22$11.07$11.0065.6%18.8%58.3%36.8%64.0%6.6%7.0%484.0K-31.8M-131.1K0.7673.71N/AN/A584455,0614,329
2022-09-23$9.99$11.0069.2%19.9%68.1%41.5%70.9%-0.9%7.1%426.4K-23.7M-120.1K0.0168.99N/AN/A11,99512855,0584,365
2022-09-26$9.96$9.0070.8%20.3%66.8%43.6%73.6%2.1%5.7%649.5K-30.9M-130.4K0.1235.19N/AN/A11,6091,34866,8124,419
2022-09-27$9.57$9.0071.9%20.6%68.2%43.4%69.4%4.6%2.9%634.5K-26.5M-123.1K1.1955.91N/AN/A1,1061,32166,8234,458
2022-09-28$10.07$9.0070.9%20.3%69.1%42.0%64.4%8.6%6.5%668.5K-31.4M-128.3K0.9767.60N/AN/A1,3721,32966,7964,437
2022-09-29$9.32$9.0074.2%21.3%69.1%46.5%72.5%6.1%4.3%611.7K-23.8M-118.4K1.2948.19N/AN/A1,0701,37867,1034,441
2022-09-30$9.31$9.0072.6%20.8%66.5%44.3%69.2%5.2%5.5%623.5K-24.2M-118.0K0.7849.33N/AN/A1,7701,37767,1024,454