COMM Options History — April 2015

In April 2015, COMM traded between $27.79 and $29.85. ATM implied volatility averaged 41.5%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 20.5% (HV 20d: 21.0%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2015-04-29: Highest Volume — 3,372 contracts
  • 2015-04-30: Largest IV drop — 40.8% change
  • 2015-04-29: Highest IV Rank — 85.3%
  • 2015-04-29: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.14$27.79$29.85$28.60$29.49
Max Pain$23.21$22.50$30.00$30.00$25.00
ATM IV41.5%32.8%55.3%35.8%32.8%
Expected Move12.0%9.4%15.9%10.3%9.4%
HV 20d21.0%18.0%30.9%25.0%30.9%
HV 60d38.6%24.0%45.7%45.7%26.8%
IV Rank46.7%28.2%85.3%31.3%28.2%
IV Percentile72.2%31.0%97.6%50.8%31.0%
Term Structure-5.8%-17.4%3.2%3.2%-1.8%
VWIV46.1%35.8%62.5%35.8%49.0%
Skew 25d3.1%-4.1%24.7%-4.1%24.7%
Skew 10d2.8%-15.3%36.8%-6.7%36.8%
Call IV 25d42.5%30.7%57.3%36.1%30.7%
Put IV 25d45.6%31.9%58.2%31.9%55.4%
Bid-Ask Spread %81.1670.97101.96101.9674.51
Gamma HHI0.770.540.990.570.73
Net GEX216.4K50.4K831.1K73.0K174.7K
Net DEX-2.6M-3.8M-1.9M-2.0M-3.1M
Net VEX-9.1K-10.6K-7.5K-9.7K-10.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.102.351.382.29
Total Volume937.333113,3724232,962
Total OI4,505.9052,5435,9494,6325,949

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$28.60$30.0035.8%10.3%25.0%31.3%35.8%-4.1%3.2%73.0K-2.0M-9.7K1.38101.96N/AN/A1782452,8241,808
2015-04-02$28.97$22.5035.9%11.1%23.9%38.8%43.5%2.0%-2.8%93.2K-2.3M-9.5K1.5374.28N/AN/A1782732,8571,808
2015-04-06$28.91$22.5037.7%11.4%22.9%40.9%45.2%3.0%-3.6%105.8K-2.2M-9.0K2.1572.79N/AN/A1272732,8601,809
2015-04-07$29.23$22.5037.3%11.5%23.1%41.5%42.2%2.0%-4.3%131.8K-2.5M-8.8K1.2076.72N/AN/A2503012,8681,809
2015-04-08$29.32$22.5039.7%11.4%20.8%40.8%39.7%4.1%-4.0%149.3K-2.6M-9.3K0.1085.04N/AN/A1012,9841,834
2015-04-09$29.44$22.5039.2%11.2%20.0%39.7%39.6%2.7%-3.1%165.7K-2.7M-9.3K0.2679.66N/AN/A1,1773022,9881,835
2015-04-10$29.41$22.5038.8%11.1%19.7%38.6%39.8%4.3%-3.1%377.3K-3.5M-10.3K1.0185.56N/AN/A2973013,8431,835
2015-04-13$29.31$22.5039.3%11.3%19.7%39.9%43.3%4.6%-4.0%440.7K-3.4M-9.6K2.3584.36N/AN/A1262963,9791,834
2015-04-14$29.42$22.5039.7%11.4%18.4%40.9%42.2%3.7%-4.9%533.3K-3.4M-9.3K2.3581.34N/AN/A1262963,9751,842
2015-04-15$29.77$22.5038.6%11.1%19.0%38.1%41.8%3.8%-2.8%738.2K-3.8M-9.0K0.6283.18N/AN/A4883013,9751,842
2015-04-16$29.70$22.5038.8%11.1%18.0%38.7%42.8%13.8%-3.9%831.1K-3.4M-8.4K2.2386.05N/AN/A1353013,9591,835
2015-04-17$29.16$22.5039.5%11.3%19.0%40.3%43.5%1.2%-3.6%50.4K-1.9M-7.5K0.5574.95N/AN/A5553063,9561,833
2015-04-20$29.49$22.5040.9%11.7%19.2%43.7%44.3%-0.0%-5.2%71.6K-2.3M-8.0K1.5570.97N/AN/A1752721,762781
2015-04-21$29.85$22.5041.5%11.9%19.9%45.3%44.4%3.8%-6.6%79.5K-2.5M-8.0K1.2984.63N/AN/A2232881,829791
2015-04-22$29.76$22.5041.6%11.9%19.1%45.6%45.8%-0.2%-7.0%82.1K-2.5M-8.4K1.9487.98N/AN/A1472851,948816
2015-04-23$29.33$22.5043.3%12.4%18.2%49.7%46.9%-1.8%-7.9%78.2K-2.3M-8.2K0.3681.03N/AN/A7982901,971824
2015-04-24$28.25$22.5051.1%14.6%20.8%68.8%54.4%-1.4%-12.1%85.9K-2.2M-9.2K0.2977.41N/AN/A1,2183512,554838
2015-04-27$28.16$22.5052.6%15.1%20.7%72.4%62.5%-2.0%-13.4%93.0K-2.1M-9.2K0.3980.86N/AN/A9113542,864872
2015-04-28$28.58$25.0052.9%15.2%21.3%73.2%62.3%-0.3%-13.7%103.8K-2.4M-10.0K0.4279.24N/AN/A8413542,954961
2015-04-29$27.79$25.0055.3%15.9%22.2%85.3%58.7%0.9%-17.4%86.3K-1.9M-9.3K1.5281.87N/AN/A1,3372,0352,957961
2015-04-30$29.49$25.0032.8%9.4%30.9%28.2%49.0%24.7%-1.8%174.7K-3.1M-10.6K2.2974.51N/AN/A8992,0633,3502,599