COMM Options History — April 2016

In April 2016, COMM traded between $26.38 and $30.46. ATM implied volatility averaged 35.6%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 5.7% (HV 20d: 29.9%). Max pain ranged from $24.00 to $27.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 2.66.

Notable Days

  • 2016-04-13: Highest Volume — 4,081 contracts
  • 2016-04-11: Largest IV spike — 39.0% change
  • 2016-04-27: Highest IV Rank — 58.8%
  • 2016-04-27: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.48$26.38$30.46$27.61$30.45
Max Pain$26.00$24.00$27.00$24.00$27.00
ATM IV35.6%29.1%44.0%29.1%33.6%
Expected Move10.6%8.3%12.6%8.3%9.6%
HV 20d29.9%21.9%54.6%27.5%54.2%
HV 60d45.1%42.4%47.3%46.0%47.2%
IV Rank35.7%9.3%58.8%9.3%24.1%
IV Percentile63.2%11.9%90.1%11.9%41.7%
Term Structure-2.8%-8.6%5.8%5.8%-1.0%
VWIV38.4%30.6%45.0%30.6%34.3%
Skew 25d4.8%3.1%7.3%3.5%4.1%
Skew 10d12.8%5.4%21.4%5.9%7.1%
Call IV 25d35.2%28.6%41.9%28.6%30.9%
Put IV 25d40.1%32.0%47.1%32.0%35.0%
Bid-Ask Spread %94.3188.16101.3495.9499.41
Gamma HHI0.350.210.960.270.21
Net GEX-208.8K-3.6M158.8K103.5K41.8K
Net DEX-735.7K-2.6M3.3M-1.7M-2.6M
Net VEX-7.1K-9.5K-4.7K-8.1K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.660.629.850.653.48
Total Volume1,336.5243554,0811,234888
Total OI3,547.9052,2915,9652,8663,923

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$27.61$24.0029.1%8.3%27.5%9.3%30.6%3.5%5.8%103.5K-1.7M-8.1K0.6595.94N/AN/A7494851,5481,318
2016-04-04$27.72$26.0030.6%10.2%27.3%31.3%36.3%4.0%-1.3%109.7K-1.8M-7.7K0.6292.93N/AN/A7504641,5491,318
2016-04-05$27.55$26.0031.2%10.3%26.5%32.3%36.6%4.0%-1.5%112.7K-1.7M-7.6K0.8489.37N/AN/A5544641,5501,319
2016-04-06$27.89$26.0029.9%10.2%21.9%30.5%36.2%4.5%-0.8%115.9K-2.0M-7.4K0.8492.36N/AN/A5544641,5621,320
2016-04-07$27.15$26.0031.7%10.6%23.9%35.6%36.7%4.8%-2.3%123.8K-1.4M-7.4K0.8391.34N/AN/A5544621,5621,320
2016-04-08$27.62$26.0029.8%10.3%24.5%32.1%36.3%4.4%-1.7%136.4K-1.8M-7.1K0.8592.99N/AN/A5564701,5621,321
2016-04-11$27.46$26.0041.4%11.0%22.9%39.6%38.0%7.3%-3.6%158.8K-1.7M-6.8K6.3292.92N/AN/A5563,5121,5661,321
2016-04-12$27.08$26.0030.3%10.4%23.5%33.0%36.2%4.9%-2.0%-1.0M2.4M-9.5K9.8594.49N/AN/A3573,5161,5664,361
2016-04-13$28.28$26.0035.6%10.2%27.6%30.8%36.4%4.7%-1.8%-126.1K-2.2M-6.7K6.2495.78N/AN/A5643,5171,5674,365
2016-04-14$27.66$26.0035.7%10.2%28.2%31.2%37.3%3.1%-1.7%-567.9K-855.4K-7.1K0.8793.12N/AN/A4233691,6044,361
2016-04-15$26.98$26.0036.4%10.4%29.4%33.5%36.8%4.8%-2.7%-3.6M3.3M-6.2K1.1096.34N/AN/A3543881,6314,314
2016-04-18$26.59$26.0037.2%10.7%29.7%36.1%37.9%5.3%-4.2%27.8K-423.5K-6.1K0.7193.70N/AN/A2081471,1601,131
2016-04-19$26.59$26.0037.0%10.6%29.7%35.6%38.1%4.4%-2.6%29.1K-481.9K-6.0K0.8794.99N/AN/A2021761,1741,150
2016-04-20$26.76$26.0039.3%11.3%29.8%43.2%41.9%5.0%-4.8%29.0K-480.0K-6.4K3.3299.36N/AN/A2026711,2131,201
2016-04-21$26.38$26.0039.5%11.3%28.8%44.0%43.1%5.6%-4.7%-14.2K82.3K-7.5K3.4498.49N/AN/A1956711,2211,688
2016-04-22$26.76$26.0038.6%11.1%29.2%40.8%41.4%4.3%-4.6%-5.2K-165.5K-7.4K3.4493.99N/AN/A1956711,2231,688
2016-04-25$26.41$26.0042.4%12.2%29.6%53.5%43.8%5.8%-6.2%-11.9K66.8K-7.1K3.9592.42N/AN/A1957701,2231,688
2016-04-26$26.85$26.0039.9%11.4%29.8%45.1%43.3%6.6%-4.9%-42.7K164.5K-8.2K2.4791.00N/AN/A3127701,2232,288
2016-04-27$26.73$26.0044.0%12.6%29.0%58.8%45.0%5.2%-8.6%-48.5K230.3K-8.2K2.13101.34N/AN/A2555421,2252,288
2016-04-28$30.46$27.0034.8%10.0%54.6%28.4%41.1%5.2%-2.8%23.4K-2.4M-5.7K3.0188.16N/AN/A2286871,2532,641
2016-04-29$30.45$27.0033.6%9.6%54.2%24.1%34.3%4.1%-1.0%41.8K-2.6M-4.7K3.4899.41N/AN/A1986901,2422,681