How much do the gas fees eat into your profits?
Around $1 to $2 per contract interaction. It eats a lot of gas, depending on how busy the network is.
How is the volatility on the interest rate?
It fluctuates daily. It can go straight from 6% to 5% each day. That's understandable because their APR depends on supply and demand. The higher the supply and the lower the borrowed amount, it will go lower, and vice versa.
Has anyone heard of any security issues or concerns with them?
Not yet that I know of. But there are some important potential hacks that you should know of. You can read here:
https://medium.com/@ameensol/what-you-should-know-before-putting-half-a-million-dai-in-compound-fafdb2645f77