COMM Options History — May 2015

In May 2015, COMM traded between $29.14 and $31.38. ATM implied volatility averaged 31.3%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 1.9% (HV 20d: 29.4%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2015-05-05: Highest Volume — 3,593 contracts
  • 2015-05-13: Largest IV drop — 15.2% change
  • 2015-05-01: Highest IV Rank — 27.8%
  • 2015-05-01: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.46$29.14$31.38$29.31$31.18
Max Pain$29.75$25.00$30.00$25.00$30.00
ATM IV31.3%28.2%35.8%32.6%30.4%
Expected Move8.6%8.1%9.4%9.4%8.7%
HV 20d29.4%14.3%32.3%30.8%14.3%
HV 60d25.4%24.4%26.5%26.5%24.5%
IV Rank20.6%14.9%27.8%27.8%21.4%
IV Percentile13.9%4.8%31.0%31.0%19.0%
Term Structure0.4%-2.5%2.2%-2.5%-1.0%
VWIV33.4%29.7%38.5%32.1%37.5%
Skew 25d1.8%-6.1%68.6%68.6%-5.4%
Skew 10d5.4%-9.7%96.1%96.1%-3.0%
Call IV 25d32.7%30.1%37.2%31.7%36.9%
Put IV 25d34.5%25.9%100.3%100.3%31.5%
Bid-Ask Spread %88.0578.6896.4188.8188.68
Gamma HHI0.640.480.840.840.50
Net GEX200.6K123.4K416.0K184.3K130.9K
Net DEX-3.1M-5.4M-2.2M-2.9M-2.4M
Net VEX-9.3K-10.6K-8.2K-9.9K-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.032.162.160.90
Total Volume1,388.4503,5932,872329
Total OI4,779.252,5626,7585,9772,672

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$29.31$25.0032.6%9.4%30.8%27.8%32.1%68.6%-2.5%184.3K-2.9M-9.9K2.1688.81N/AN/A9091,9633,3552,622
2015-05-04$29.39$30.0033.1%8.7%30.8%21.0%0.0%0.0%2.0%189.9K-2.9M-9.8K0.3185.50N/AN/A35113,3642,629
2015-05-05$29.25$30.0033.9%8.9%30.6%23.0%33.0%0.7%1.4%183.0K-2.9M-9.6K1.1985.06N/AN/A1,6401,9533,3432,628
2015-05-06$29.14$30.0035.1%8.8%30.6%22.7%35.1%-1.0%1.2%203.9K-2.8M-10.2K1.2086.14N/AN/A1,6251,9524,1202,628
2015-05-07$29.40$30.0033.2%8.7%30.7%21.4%34.5%0.3%1.8%233.1K-3.0M-10.3K1.1891.76N/AN/A1,6171,9114,1252,628
2015-05-08$29.85$30.0031.3%8.7%31.2%20.8%0.0%-6.1%2.0%277.5K-3.5M-10.6K0.0084.03N/AN/A004,1202,638
2015-05-11$30.34$30.0035.8%8.7%31.6%21.0%0.0%-3.5%1.9%307.6K-4.2M-10.2K0.0585.54N/AN/A10454,1202,638
2015-05-12$30.20$30.0035.4%8.8%31.7%21.8%32.7%-4.3%1.5%337.0K-4.1M-9.9K2.0796.41N/AN/A9221,9074,1202,633
2015-05-13$30.09$30.0030.0%8.6%31.5%20.2%33.2%-4.5%1.5%416.0K-3.9M-9.7K1.8785.77N/AN/A1,0211,9074,1152,624
2015-05-14$30.74$30.0029.9%8.6%32.3%20.1%32.9%-3.3%2.2%368.1K-4.9M-9.4K0.3378.68N/AN/A9153014,1142,628
2015-05-15$30.98$30.0029.6%8.5%31.5%19.1%30.3%12.8%2.1%125.4K-5.4M-9.0K0.2889.78N/AN/A1,2233414,1212,608
2015-05-18$31.33$30.0029.6%8.5%31.5%19.2%29.7%-0.6%-0.7%133.3K-2.5M-9.1K0.0390.65N/AN/A3712,051511
2015-05-19$31.38$30.0030.1%8.6%31.3%20.5%30.1%-1.9%-0.9%136.2K-2.5M-9.1K0.0388.16N/AN/A11032,080512
2015-05-20$31.14$30.0029.4%8.4%31.4%18.6%34.0%-3.2%-0.3%135.8K-2.4M-9.2K0.1988.52N/AN/A9141762,128515
2015-05-21$31.25$30.0028.5%8.2%30.8%15.9%34.3%-4.0%-0.3%135.1K-2.4M-8.8K0.1988.72N/AN/A9141762,128505
2015-05-22$31.19$30.0028.2%8.1%26.9%14.9%31.3%-1.1%-0.3%134.8K-2.4M-8.8K0.1795.37N/AN/A9171562,128505
2015-05-26$30.86$30.0029.9%8.6%27.3%19.8%38.5%-5.3%-1.2%123.6K-2.2M-8.3K0.1789.55N/AN/A9151562,136505
2015-05-27$30.90$30.0029.9%8.6%27.1%20.0%32.5%-1.8%-0.9%123.4K-2.2M-8.2K0.8388.70N/AN/A1871562,133505
2015-05-28$31.30$30.0030.8%8.8%24.5%22.5%35.8%-0.1%-1.2%133.7K-2.4M-8.4K0.7685.08N/AN/A2041562,145505
2015-05-29$31.18$30.0030.4%8.7%14.3%21.4%37.5%-5.4%-1.0%130.9K-2.4M-8.2K0.9088.68N/AN/A1731562,167505