COMM Options History — September 2023

In September 2023, COMM traded between $3.08 and $3.75. ATM implied volatility averaged 72.5%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded above realized volatility by 18.3% (HV 20d: 54.1%). Max pain ranged from $3.50 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.29.

Notable Days

  • 2023-09-07: Highest Volume — 2,809 contracts
  • 2023-09-05: Largest IV spike — 23.7% change
  • 2023-09-27: Highest IV Rank — 37.0%
  • 2023-09-27: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.43$3.08$3.75$3.50$3.37
Max Pain$4.03$3.50$5.00$4.00$3.50
ATM IV72.5%61.4%85.6%64.1%61.4%
Expected Move20.5%17.6%23.3%18.4%17.6%
HV 20d54.1%38.9%70.3%70.2%49.8%
HV 60d94.4%91.5%96.0%96.0%93.5%
IV Rank25.6%13.9%37.0%17.2%13.9%
IV Percentile55.8%25.4%79.0%38.1%25.4%
Term Structure10.2%3.1%22.2%3.5%22.2%
VWIV71.2%56.5%86.8%64.2%86.8%
Skew 25d4.0%-10.2%29.6%-1.9%29.6%
Skew 10d10.2%-11.7%27.3%-5.2%-11.7%
Call IV 25d66.1%44.8%77.3%52.2%44.8%
Put IV 25d70.1%50.3%79.3%50.3%74.4%
Bid-Ask Spread %32.5616.7562.6129.0654.46
Gamma HHI0.230.210.250.210.24
Net GEX193.6K140.9K319.4K220.9K196.8K
Net DEX-12.1M-20.2M-5.1M-8.2M-9.3M
Net VEX-110.1K-142.7K-69.8K-106.3K-112.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.001.120.400.22
Total Volume873.5552,8092,5502,438
Total OI148,841.75142,977155,074149,772146,658

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$3.50$4.0064.1%18.4%70.2%17.2%64.2%-1.9%3.5%220.9K-8.2M-106.3K0.4029.06N/AN/A1,824726140,9268,846
2023-09-05$3.55$5.0079.3%21.9%70.3%31.5%68.7%26.9%3.5%214.7K-16.4M-142.7K0.0027.57N/AN/A1,8742141,6798,852
2023-09-06$3.51$5.0079.6%21.4%66.6%29.5%73.2%6.3%3.1%208.2K-18.4M-135.4K0.0023.86N/AN/A1,1652143,0278,854
2023-09-07$3.48$4.0076.7%21.9%66.6%31.5%75.7%-1.2%5.8%171.1K-19.7M-109.6K0.1820.80N/AN/A2,385424143,3778,755
2023-09-08$3.62$4.0071.2%20.8%58.6%27.0%75.6%5.1%9.2%204.0K-18.2M-119.3K0.5845.80N/AN/A9756143,5478,673
2023-09-11$3.65$4.0085.6%21.1%58.6%28.1%77.3%1.0%7.8%268.0K-10.5M-111.7K0.0061.21N/AN/A2,2262143,5648,646
2023-09-12$3.75$4.0076.4%21.3%59.4%28.9%75.7%6.8%3.2%319.4K-14.1M-134.3K0.0225.33N/AN/A481145,6768,646
2023-09-13$3.60$4.0074.0%21.2%58.5%28.6%68.8%-2.4%11.7%267.9K-9.4M-112.7K0.0117.17N/AN/A2243146,4288,646
2023-09-14$3.65$4.0068.4%19.6%58.7%22.1%0.0%-3.9%11.7%185.5K-20.2M-129.4K0.2416.75N/AN/A13934146,2828,113
2023-09-15$3.55$4.0071.5%20.5%58.4%25.8%70.8%0.1%10.3%213.7K-10.2M-120.6K0.0619.74N/AN/A31420146,2808,146
2023-09-18$3.41$4.0070.2%20.1%59.9%24.2%64.8%5.0%12.0%195.1K-9.8M-121.8K0.4618.33N/AN/A614283136,4096,568
2023-09-19$3.44$4.0068.2%19.6%50.1%21.9%64.3%7.5%13.0%145.2K-17.0M-100.3K1.1158.51N/AN/A7280136,1636,824
2023-09-20$3.33$4.0065.6%18.8%47.1%18.8%73.5%-10.2%13.0%146.3K-13.7M-109.1K0.0023.63N/AN/A1720136,2306,895
2023-09-21$3.35$4.0070.0%20.1%46.5%23.9%69.1%12.5%12.3%155.3K-5.1M-69.8K1.1220.22N/AN/A114128137,9566,915
2023-09-22$3.33$4.0067.4%19.3%41.5%21.0%65.9%-4.8%21.2%146.1K-15.4M-105.8K0.2827.55N/AN/A257138,0496,822
2023-09-25$3.21$4.0071.2%20.4%42.5%25.4%68.4%14.1%8.9%160.0K-5.8M-82.5K0.0550.02N/AN/A1,34771138,0746,826
2023-09-26$3.13$4.0074.3%21.3%40.8%29.0%80.3%-6.4%17.4%156.5K-7.4M-99.5K0.0462.61N/AN/A51018139,3606,816
2023-09-27$3.08$3.5081.2%23.3%38.9%37.0%56.5%-1.8%4.7%156.6K-7.6M-98.1K0.0018.21N/AN/A50139,8606,797
2023-09-28$3.10$3.5072.8%20.9%39.0%27.3%72.5%-2.1%8.9%140.9K-5.7M-81.1K1.1030.38N/AN/A1011139,8556,795
2023-09-29$3.37$3.5061.4%17.6%49.8%13.9%86.8%29.6%22.2%196.8K-9.3M-112.6K0.2254.46N/AN/A1,995443139,8556,803