COMM Options History — June 2014

In June 2014, COMM traded between $23.12 and $25.01. ATM implied volatility averaged 34.5%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 1.9% (HV 20d: 32.6%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.97.

Notable Days

  • 2014-06-12: Highest Volume — 1,676 contracts
  • 2014-06-19: Largest IV drop — 12.6% change
  • 2014-06-12: Highest IV Rank — 14.1%
  • 2014-06-25: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.98$23.12$25.01$24.90$23.13
Max Pain$23.16$20.00$25.00$25.00$20.00
ATM IV34.5%31.5%37.4%34.0%35.9%
Expected Move10.5%9.1%12.4%9.7%12.3%
HV 20d32.6%25.4%35.6%32.2%25.4%
HV 60d38.3%31.9%41.9%41.9%31.9%
IV Rank11.9%9.7%14.1%11.4%12.9%
IV Percentile65.0%51.9%73.6%65.0%69.4%
Term Structure7.4%0.7%10.6%0.9%10.6%
VWIV35.6%32.2%44.3%35.1%44.3%
Skew 25d5.4%-1.1%9.1%8.0%-1.1%
Skew 10d10.5%-3.3%19.2%17.9%-3.3%
Call IV 25d32.1%27.4%35.4%30.8%35.4%
Put IV 25d37.6%33.9%40.4%38.8%34.3%
Bid-Ask Spread %62.0220.3689.9579.9020.47
Gamma HHI0.590.340.780.680.47
Net GEX81.0K-1.9K184.5K83.4K35.8K
Net DEX-596.2K-1.8M3.0M-1.2M-145.6K
Net VEX-8.9K-10.6K-7.3K-7.5K-9.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.970.0317.500.512.00
Total Volume274.66711,676735195
Total OI3,709.7142,6005,0222,6003,699

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$24.90$25.0034.0%9.7%32.2%11.4%35.1%8.0%0.9%83.4K-1.2M-7.5K0.5179.90N/AN/A4882471,611989
2014-06-03$24.52$25.0033.1%9.5%32.0%10.7%33.3%5.1%1.1%114.0K-1.3M-8.6K0.1185.66N/AN/A101112,0121,178
2014-06-04$24.88$25.0032.9%9.4%32.5%10.6%32.9%4.0%1.1%130.7K-1.7M-8.8K2.2789.95N/AN/A22502,0921,188
2014-06-05$24.40$25.0033.1%9.5%31.3%10.7%0.0%3.6%0.7%119.7K-1.1M-8.7K0.0987.74N/AN/A2322,0741,238
2014-06-06$24.89$22.5031.5%9.4%32.1%10.6%32.8%9.1%9.4%140.8K-1.6M-8.7K0.0080.10N/AN/A0202,0741,240
2014-06-09$25.01$22.5033.1%10.0%32.1%12.1%37.0%8.6%7.6%153.0K-1.8M-8.2K0.5679.85N/AN/A150842,0741,250
2014-06-10$24.85$22.5034.4%9.7%32.2%11.2%32.2%8.7%8.4%156.7K-1.6M-8.5K0.1880.29N/AN/A282502,2231,314
2014-06-11$24.63$22.5033.6%9.7%31.9%11.2%36.0%7.1%8.3%161.4K-1.4M-8.7K0.9684.47N/AN/A45432,3371,360
2014-06-12$23.63$22.5037.4%10.7%35.0%14.1%35.1%5.9%7.7%89.9K-184.6K-7.7K3.5476.65N/AN/A3691,3072,3481,378
2014-06-13$23.12$22.5036.3%10.4%35.6%13.2%35.1%4.4%7.9%41.3K3.0M-7.3K1.6968.41N/AN/A1732932,4422,580
2014-06-16$23.21$25.0036.6%10.5%35.2%13.5%36.6%4.6%9.3%40.5K451.0K-8.0K0.5268.46N/AN/A48252,5451,714
2014-06-17$23.20$25.0036.5%10.5%34.5%13.4%36.6%4.4%9.5%21.2K208.8K-7.9K17.5070.46N/AN/A2352,5661,611
2014-06-18$23.35$25.0037.2%10.7%33.7%14.0%37.2%5.6%8.1%-1.9K165.4K-7.8K0.0071.80N/AN/A0232,5681,646
2014-06-19$23.79$25.0032.5%9.3%33.1%10.3%35.2%6.2%9.6%40.7K-96.8K-7.6K0.0572.89N/AN/A951522,5261,611
2014-06-20$24.11$25.0031.8%9.1%32.5%9.7%33.9%5.0%10.5%184.5K-1.2M-10.6K1.9581.58N/AN/A44863,2521,645
2014-06-23$24.31$0.0033.7%12.0%32.8%11.2%0.0%6.9%9.2%42.1K-1.1M-10.4K1.9220.36N/AN/A531021,9191,394
2014-06-24$23.80$0.0033.0%11.9%33.2%10.6%44.3%4.2%9.1%35.6K-672.1K-10.6K0.0321.21N/AN/A18061,9551,494
2014-06-25$23.30$20.0037.0%12.4%33.1%13.7%0.0%7.7%8.5%37.0K-388.5K-10.4K0.8020.36N/AN/A25202,0751,494
2014-06-26$23.29$20.0035.8%12.3%32.7%12.8%0.0%6.4%9.5%37.6K-359.8K-10.3K0.0020.92N/AN/A012,0871,507
2014-06-27$23.26$20.0036.3%12.2%32.4%13.2%0.0%0.1%7.7%37.4K-370.8K-10.2K0.7420.90N/AN/A92682,0871,507
2014-06-30$23.13$20.0035.9%12.3%25.4%12.9%0.0%-1.1%10.6%35.8K-145.6K-9.9K2.0020.47N/AN/A651302,1321,567