COMM Options History — June 2015

In June 2015, COMM traded between $30.39 and $32.36. ATM implied volatility averaged 29.0%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 10.4% (HV 20d: 18.6%). Max pain ranged from $20.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2015-06-30: Highest Volume — 1,452 contracts
  • 2015-06-08: Largest IV drop — 21.0% change
  • 2015-06-08: Highest IV Rank — 25.3%
  • 2015-06-08: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.56$30.39$32.36$31.24$30.58
Max Pain$27.27$20.00$30.00$30.00$30.00
ATM IV29.0%26.3%35.2%30.6%28.4%
Expected Move8.3%7.5%9.1%8.8%8.2%
HV 20d18.6%14.0%22.0%14.0%21.2%
HV 60d23.4%22.6%24.3%23.7%23.1%
IV Rank17.4%9.6%25.3%22.1%15.7%
IV Percentile13.5%1.2%33.3%20.6%9.9%
Term Structure4.3%-0.1%10.8%-0.1%8.1%
VWIV30.7%25.0%39.1%39.1%26.5%
Skew 25d0.0%-7.3%2.2%-7.3%0.2%
Skew 10d3.7%-5.0%30.5%-3.1%4.2%
Call IV 25d30.2%26.6%38.6%38.6%29.3%
Put IV 25d30.2%25.9%33.6%31.2%29.5%
Bid-Ask Spread %82.4067.0292.0687.1588.83
Gamma HHI0.480.320.660.500.35
Net GEX124.5K82.2K179.6K133.5K91.5K
Net DEX-2.6M-3.3M-1.6M-2.4M-1.8M
Net VEX-7.8K-8.7K-7.2K-8.1K-7.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.002.961.070.49
Total Volume591.3182341,4523021,452
Total OI2,750.5451,8493,4732,7162,478

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$31.24$30.0030.6%8.8%14.0%22.1%39.1%-7.3%-0.1%133.5K-2.4M-8.1K1.0787.15N/AN/A1461562,211505
2015-06-02$31.75$30.0031.2%8.9%14.7%23.7%38.0%-6.2%0.5%149.1K-2.7M-8.2K0.0084.32N/AN/A23402,219505
2015-06-03$32.22$30.0026.5%7.6%14.8%10.0%35.6%-1.4%10.8%173.4K-3.2M-8.7K0.4588.92N/AN/A3501562,254505
2015-06-04$31.95$20.0030.9%8.9%15.3%23.0%30.8%0.5%3.1%159.8K-3.0M-8.2K0.7686.83N/AN/A2031542,332505
2015-06-05$32.12$20.0035.2%8.8%15.2%22.2%31.8%0.2%2.6%172.0K-3.2M-8.4K1.1892.06N/AN/A1301542,332506
2015-06-08$31.80$20.0027.8%9.1%15.4%25.3%33.1%0.8%2.1%146.7K-2.9M-7.7K1.1889.97N/AN/A1301542,335506
2015-06-09$31.91$20.0028.5%8.8%14.6%22.2%30.6%1.5%3.3%150.6K-2.9M-7.5K1.2089.41N/AN/A1281542,325506
2015-06-10$32.36$20.0030.4%8.7%14.9%21.3%30.4%0.5%4.1%179.6K-3.3M-7.6K1.2589.56N/AN/A1231542,324506
2015-06-11$31.13$20.0030.5%8.7%21.1%21.7%30.5%0.3%2.9%116.8K-2.4M-7.2K0.9887.88N/AN/A2632592,328506
2015-06-12$31.12$30.0028.3%8.1%19.8%15.3%30.1%0.8%3.9%105.8K-2.5M-8.3K0.6171.49N/AN/A2601592,449619
2015-06-15$30.98$30.0030.4%8.7%19.6%21.3%31.4%0.1%3.3%108.8K-2.4M-8.0K0.6071.53N/AN/A2661592,450621
2015-06-16$31.49$30.0029.8%8.5%20.1%19.6%31.2%1.3%2.9%97.1K-2.7M-7.8K0.6067.02N/AN/A2691612,454621
2015-06-17$32.03$30.0029.3%8.4%21.0%18.2%31.1%0.7%3.4%85.7K-3.0M-7.5K0.7669.12N/AN/A2121612,453616
2015-06-18$31.89$30.0027.8%8.0%20.8%13.8%29.7%2.0%5.2%83.5K-2.9M-7.4K2.8675.48N/AN/A2025782,442616
2015-06-19$31.76$30.0027.6%7.9%20.9%13.1%27.1%0.8%4.4%82.2K-1.6M-7.3K2.9675.49N/AN/A1915662,4411,032
2015-06-22$31.85$30.0027.6%7.9%20.9%13.2%28.4%0.5%4.4%83.9K-2.3M-7.2K0.2476.71N/AN/A6601581,385464
2015-06-23$31.84$30.0026.3%7.5%20.4%9.6%27.5%2.2%6.0%143.5K-2.7M-8.3K0.2280.73N/AN/A7111581,896485
2015-06-24$31.48$30.0026.5%7.6%20.9%10.1%28.7%1.1%6.9%133.5K-2.4M-8.2K0.2282.89N/AN/A7111581,922485
2015-06-25$31.35$30.0026.6%7.6%20.5%10.5%28.3%1.4%5.8%131.6K-2.4M-8.0K0.2284.09N/AN/A7111581,922477
2015-06-26$31.02$30.0026.4%7.6%20.8%9.8%30.4%-0.7%7.0%121.7K-2.2M-7.8K0.3587.35N/AN/A7032451,922477
2015-06-29$30.39$30.0030.6%8.8%22.0%22.0%25.0%1.0%4.1%89.7K-1.7M-7.7K0.3585.97N/AN/A7072451,924651
2015-06-30$30.58$30.0028.4%8.2%21.2%15.7%26.5%0.2%8.1%91.5K-1.8M-7.3K0.4988.83N/AN/A9754771,918560