COMM Options History — May 2014

In May 2014, COMM traded between $24.41 and $27.84. ATM implied volatility averaged 36.0%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 1.1% (HV 20d: 34.9%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2014-05-15: Highest Volume — 676 contracts
  • 2014-05-02: Largest IV spike — 17.3% change
  • 2014-05-12: Highest IV Rank — 14.6%
  • 2014-05-05: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.06$24.41$27.84$27.68$26.44
Max Pain$23.81$22.50$25.00$22.50$25.00
ATM IV36.0%30.7%41.4%30.7%32.2%
Expected Move10.3%8.8%11.9%8.8%9.2%
HV 20d34.9%25.1%39.4%38.4%25.1%
HV 60d45.5%39.9%50.1%48.8%40.3%
IV Rank12.0%10.0%14.6%14.6%10.0%
IV Percentile65.7%57.6%71.4%71.4%57.6%
Term Structure3.7%0.5%7.5%1.4%4.1%
VWIV34.6%22.4%44.4%29.4%32.0%
Skew 25d7.6%1.0%13.1%3.8%6.8%
Skew 10d12.9%-4.7%23.9%5.6%6.2%
Call IV 25d30.7%21.2%37.2%35.1%25.4%
Put IV 25d38.3%32.2%43.3%38.9%32.2%
Bid-Ask Spread %82.9471.4297.6389.8797.63
Gamma HHI0.650.480.910.580.59
Net GEX116.4K46.9K360.4K66.0K77.0K
Net DEX-2.3M-3.6M-970.6K-3.5M-2.2M
Net VEX-6.3K-7.1K-5.9K-5.9K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.003.710.121.56
Total Volume119.571867619341
Total OI4,149.7142,0546,1515,2552,571

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$27.68$22.5030.7%8.8%38.4%0.0%29.4%3.8%1.4%66.0K-3.5M-5.9K0.1289.87N/AN/A173201,7083,547
2014-05-02$27.84$22.5036.0%10.3%36.0%0.0%44.4%10.4%2.6%65.5K-3.6M-6.1K3.3393.31N/AN/A6201,8073,547
2014-05-05$27.32$22.5037.6%11.9%36.7%0.0%38.1%5.1%1.9%72.6K-3.5M-6.0K0.0475.95N/AN/A6831,8023,566
2014-05-06$26.88$22.5036.9%11.6%37.0%0.0%40.6%3.5%3.7%85.1K-3.3M-6.1K1.4374.93N/AN/A35501,8633,569
2014-05-07$26.03$22.5040.3%11.5%39.3%0.0%40.0%5.1%4.1%113.6K-2.7M-6.4K0.0071.42N/AN/A801,8633,601
2014-05-08$25.69$22.5041.2%11.2%39.4%0.0%23.2%5.4%4.9%119.8K-2.5M-6.4K3.7173.11N/AN/A7261,8583,601
2014-05-09$25.48$22.5038.4%11.2%35.5%0.0%39.0%5.2%5.1%138.1K-2.4M-6.4K0.0076.24N/AN/A1801,8653,621
2014-05-12$25.40$22.5041.4%10.9%35.3%14.6%38.0%6.1%5.8%168.9K-2.3M-6.1K0.4673.60N/AN/A52241,8653,621
2014-05-13$25.02$22.5040.5%10.7%35.7%13.9%37.2%12.4%6.2%192.2K-2.0M-6.0K0.0079.64N/AN/A1901,8863,635
2014-05-14$24.95$22.5038.6%10.7%35.6%14.0%37.3%11.9%6.0%232.0K-1.9M-5.9K0.6080.61N/AN/A83501,8993,635
2014-05-15$24.92$25.0035.4%10.2%34.2%12.5%35.5%10.5%7.3%360.4K-1.8M-5.9K0.2980.38N/AN/A5261501,9423,665
2014-05-16$24.41$25.0035.5%10.2%34.5%12.6%35.9%6.8%7.5%225.8K-1.3M-7.1K2.1678.52N/AN/A1733742,3363,815
2014-05-19$24.79$25.0033.8%9.7%34.2%11.2%33.6%8.8%2.7%46.9K-970.6K-6.5K0.0783.81N/AN/A5441,244810
2014-05-20$25.27$25.0033.4%9.6%34.6%11.0%33.4%9.3%2.2%55.3K-1.3M-6.6K0.2386.02N/AN/A177401,292814
2014-05-21$25.90$25.0034.0%9.7%35.3%11.4%32.2%11.7%1.5%70.3K-1.8M-7.0K0.0080.00N/AN/A2701,469844
2014-05-22$26.44$25.0033.4%9.6%35.7%10.9%32.4%2.0%2.6%68.1K-2.1M-6.7K0.0584.98N/AN/A5531,480844
2014-05-23$26.44$25.0033.6%9.6%34.8%11.1%33.6%13.1%2.1%71.4K-2.2M-6.7K0.0084.98N/AN/A1201,525847
2014-05-27$26.49$25.0035.1%10.1%34.7%12.3%34.3%1.0%0.5%71.6K-2.3M-6.3K0.0089.66N/AN/A4701,535847
2014-05-28$26.78$25.0034.0%9.8%33.0%11.4%22.4%11.7%1.8%72.8K-2.5M-6.0K1.8089.65N/AN/A25451,576847
2014-05-29$27.00$25.0033.8%9.7%27.7%11.2%33.5%9.6%3.1%70.2K-2.6M-6.1K3.0097.41N/AN/A24721,590892
2014-05-30$26.44$25.0032.2%9.2%25.1%10.0%32.0%6.8%4.1%77.0K-2.2M-6.8K1.5697.63N/AN/A16251,607964