COMM Options History — May 2016

In May 2016, COMM traded between $28.84 and $31.19. ATM implied volatility averaged 31.4%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 18.1% (HV 20d: 49.5%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.73.

Notable Days

  • 2016-05-13: Highest Volume — 4,007 contracts
  • 2016-05-10: Largest IV drop — 7.8% change
  • 2016-05-02: Highest IV Rank — 29.5%
  • 2016-05-02: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.98$28.84$31.19$30.33$31.19
Max Pain$28.71$27.00$29.00$27.00$29.00
ATM IV31.4%27.1%35.2%35.2%28.8%
Expected Move9.0%7.8%10.1%10.1%8.3%
HV 20d49.5%23.6%57.6%54.3%23.6%
HV 60d41.3%37.1%47.8%47.2%37.1%
IV Rank16.5%2.6%29.5%29.5%8.3%
IV Percentile26.3%2.4%53.2%53.2%11.5%
Term Structure1.8%-3.7%4.3%-3.7%0.2%
VWIV33.6%27.0%38.8%36.1%29.9%
Skew 25d3.9%2.5%5.1%5.1%3.5%
Skew 10d10.7%3.2%21.2%11.6%18.3%
Call IV 25d30.4%26.4%32.9%31.3%29.6%
Put IV 25d34.3%30.4%37.5%36.4%33.1%
Bid-Ask Spread %87.5571.05107.06103.0197.84
Gamma HHI0.290.180.540.200.18
Net GEX76.9K-38.0K341.2K37.8K14.8K
Net DEX-1.7M-3.4M210.4K-2.5M-1.2M
Net VEX-9.1K-12.0K-5.0K-5.0K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.565.473.381.44
Total Volume2,201.9058684,0078681,910
Total OI4,655.7142,2536,7183,9582,253

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$30.33$27.0035.2%10.1%54.3%29.5%36.1%5.1%-3.7%37.8K-2.5M-5.0K3.38103.01N/AN/A1986701,2512,707
2016-05-03$28.84$27.0033.5%9.6%57.6%24.0%37.2%4.0%-1.0%24.0K-1.6M-5.7K1.34102.35N/AN/A8771,1761,2512,707
2016-05-04$29.07$27.0033.5%9.6%57.5%23.7%38.8%4.6%-0.7%-7.3K-1.1M-9.0K1.42107.06N/AN/A8691,2351,6203,215
2016-05-05$29.11$29.0033.4%9.4%56.5%22.0%32.9%4.1%2.6%-6.4K-1.0M-9.2K1.4071.05N/AN/A8841,2351,6163,278
2016-05-06$29.48$29.0032.8%9.1%56.4%18.2%31.4%5.0%3.6%9.9K-1.4M-8.9K1.7273.94N/AN/A8811,5171,6373,278
2016-05-09$29.58$29.0033.0%9.1%56.3%17.6%32.7%2.5%2.4%16.4K-1.6M-8.6K1.3580.45N/AN/A9061,2251,6393,554
2016-05-10$29.80$29.0030.5%8.9%55.9%15.9%32.1%4.2%2.6%37.8K-1.8M-8.5K1.3581.28N/AN/A9061,2251,6893,559
2016-05-11$29.90$29.0031.2%8.9%54.0%16.1%31.9%2.8%3.2%37.1K-2.0M-8.3K1.3278.11N/AN/A9251,2251,6893,559
2016-05-12$29.75$29.0032.3%9.3%53.3%19.9%33.6%3.1%3.4%12.2K-1.7M-8.7K0.5675.48N/AN/A2,2441,2661,7013,559
2016-05-13$30.02$29.0032.0%9.2%52.3%18.9%33.6%3.6%4.3%203.3K-3.4M-10.4K0.7182.15N/AN/A2,3451,6622,6273,600
2016-05-16$30.13$29.0032.3%9.3%51.7%20.0%35.0%4.1%4.1%290.7K-3.4M-12.0K1.0476.67N/AN/A1,6001,6622,7223,996
2016-05-17$29.99$29.0032.9%9.4%51.8%21.7%34.5%3.5%2.3%260.8K-3.1M-11.6K1.0486.32N/AN/A1,6001,6622,6423,996
2016-05-18$29.64$29.0033.0%9.5%52.2%22.3%37.4%5.0%2.6%318.8K-2.4M-11.2K0.7580.66N/AN/A1,5481,1572,6723,996
2016-05-19$29.53$29.0032.3%9.3%51.8%19.8%36.7%3.4%3.0%341.2K-2.0M-10.7K2.3986.85N/AN/A4851,1572,6814,000
2016-05-20$29.89$29.0031.7%9.1%51.8%17.8%37.0%5.0%3.0%-32.1K-1.7M-10.0K2.4087.12N/AN/A4821,1572,6814,000
2016-05-23$29.80$29.0030.3%8.7%51.4%13.3%34.4%3.1%0.6%-38.0K210.4K-9.5K5.4784.82N/AN/A1709309971,544
2016-05-24$30.61$29.0028.1%8.0%51.8%5.7%32.7%4.4%0.8%3.3K-231.5K-9.5K2.8794.64N/AN/A3931,1261,0001,544
2016-05-25$31.03$29.0028.1%8.1%51.7%6.0%31.3%4.2%1.4%29.1K-626.4K-9.4K1.4487.15N/AN/A7841,1261,0291,545
2016-05-26$30.90$29.0027.1%7.8%23.7%2.6%29.7%3.2%2.0%47.3K-1.3M-8.7K1.4495.15N/AN/A7841,1261,1381,345
2016-05-27$31.05$29.0027.3%7.8%23.7%3.3%27.0%4.2%1.2%13.4K-1.1M-8.0K1.44106.43N/AN/A7841,1269081,345
2016-05-31$31.19$29.0028.8%8.3%23.6%8.3%29.9%3.5%0.2%14.8K-1.2M-7.6K1.4497.84N/AN/A7841,1269081,345