COMM Options History — April 2014

In April 2014, COMM traded between $23.51 and $26.68. ATM implied volatility averaged 51.1%. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 3.1% (HV 20d: 48.0%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 4.11.

Notable Days

  • 2014-04-29: Highest Volume — 1,080 contracts
  • 2014-04-10: Largest IV spike — 54.7% change
  • 2014-04-28: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.77$23.51$26.68$25.36$26.68
Max Pain$22.86$22.50$25.00$25.00$22.50
ATM IV51.1%35.3%63.8%37.5%43.5%
Expected Move15.6%10.1%18.3%10.8%12.5%
HV 20d48.0%33.1%54.3%53.5%36.6%
HV 60d47.5%46.8%48.4%46.8%48.4%
Term Structure-5.6%-14.9%17.5%14.7%-1.0%
VWIV59.5%31.7%78.6%31.7%43.7%
Skew 25d6.0%-13.4%13.2%4.3%13.2%
Skew 10d13.2%-22.1%27.7%6.9%27.7%
Call IV 25d51.8%30.4%64.7%34.8%30.4%
Put IV 25d57.9%34.2%70.3%39.1%43.5%
Bid-Ask Spread %75.8864.2696.4294.4787.79
Gamma HHI0.480.400.620.620.48
Net GEX-65.4K-93.4K48.3K-78.6K48.3K
Net DEX14.8K-2.4M1.0M76.0K-2.4M
Net VEX-10.6K-13.4K-6.4K-12.0K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.110.2714.330.270.42
Total Volume190.905171,080279518
Total OI4,857.0954,2395,2875,0344,999

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$25.36$25.0037.5%10.8%53.5%0.0%31.7%4.3%14.7%-78.6K76.0K-12.0K0.2794.47N/AN/A220599304,104
2014-04-02$25.71$25.0037.4%10.7%53.6%0.0%38.8%-13.4%14.4%-68.3K-232.2K-11.9K0.4395.81N/AN/A142611,0704,132
2014-04-03$24.89$25.0035.3%10.1%54.3%0.0%36.0%3.7%17.5%-74.7K215.6K-13.4K9.8096.42N/AN/A252451,1774,110
2014-04-04$24.68$22.5035.6%15.1%53.4%0.0%62.3%7.6%-5.4%-73.6K190.7K-13.2K4.4364.26N/AN/A542391,1934,029
2014-04-07$24.39$22.5038.1%15.7%53.5%0.0%55.7%7.8%-7.0%-77.6K376.4K-12.9K0.6065.85N/AN/A86521,2173,995
2014-04-08$24.44$22.5036.0%15.7%51.8%0.0%63.2%7.4%-7.3%-81.6K391.1K-12.6K5.9167.65N/AN/A11651,1823,970
2014-04-09$24.82$22.5037.6%15.6%50.1%0.0%61.1%7.2%-6.8%-73.6K-2.2K-11.8K3.0470.82N/AN/A24731,1823,923
2014-04-10$23.72$22.5058.2%16.7%52.8%0.0%60.9%6.4%-9.2%-85.1K764.7K-12.4K14.3371.21N/AN/A3431,1873,869
2014-04-11$23.51$22.5059.0%16.9%52.7%0.0%62.1%8.1%-8.8%-93.4K1.0M-12.5K3.0069.00N/AN/A371111,1873,898
2014-04-14$23.83$22.5057.4%16.5%52.8%0.0%62.1%6.7%-9.5%-84.4K735.3K-11.7K0.7871.11N/AN/A50391,1773,886
2014-04-15$23.68$22.5059.8%17.1%52.7%0.0%64.4%7.2%-10.0%-85.9K739.2K-11.3K0.0073.22N/AN/A0531,1603,854
2014-04-16$24.39$22.5056.0%16.1%53.5%0.0%65.5%6.9%-8.4%-81.2K261.1K-10.2K2.8872.19N/AN/A24691,0843,743
2014-04-17$24.81$22.5056.1%16.1%53.7%0.0%62.3%6.9%-8.7%-84.1K-82.2K-9.9K6.0876.28N/AN/A12731,0943,751
2014-04-21$25.31$22.5060.5%17.3%42.2%0.0%69.5%7.3%-11.7%-48.3K-291.9K-9.0K5.1372.63N/AN/A15778783,361
2014-04-22$25.02$22.5059.4%17.0%42.4%0.0%66.8%6.0%-10.5%-55.3K-188.2K-8.9K3.0674.36N/AN/A341048893,423
2014-04-23$25.39$22.5060.4%17.3%42.7%0.0%64.7%7.1%-11.5%-50.1K-379.3K-8.6K2.8073.18N/AN/A401129233,472
2014-04-24$25.13$22.5060.2%17.3%41.7%0.0%67.5%7.4%-12.3%-52.6K-284.2K-8.7K6.8072.23N/AN/A10689333,583
2014-04-25$24.65$22.5060.4%17.3%40.5%0.0%68.7%5.7%-12.2%-61.3K-49.3K-9.0K9.6775.68N/AN/A6589383,537
2014-04-28$24.51$22.5063.8%18.3%40.4%0.0%78.6%5.6%-14.9%-63.3K1.2K-8.8K1.8373.92N/AN/A6119363,544
2014-04-29$25.34$22.5060.9%17.5%33.1%0.0%64.0%7.3%-10.1%-48.9K-511.1K-7.7K0.8675.28N/AN/A5824989413,538
2014-04-30$26.68$22.5043.5%12.5%36.6%0.0%43.7%13.2%-1.0%48.3K-2.4M-6.4K0.4287.79N/AN/A3651531,4503,549