COMM Options History — June 2016

In June 2016, COMM traded between $28.48 and $32.58. ATM implied volatility averaged 32.0%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 12.7% (HV 20d: 19.3%). Max pain ranged from $29.00 to $33.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 3.63.

Notable Days

  • 2016-06-23: Highest Volume — 3,968 contracts
  • 2016-06-24: Largest IV spike — 37.5% change
  • 2016-06-27: Highest IV Rank — 70.0%
  • 2016-06-27: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.51$28.48$32.58$31.54$30.91
Max Pain$32.23$29.00$33.00$29.00$33.00
ATM IV32.0%27.7%47.4%27.7%32.3%
Expected Move9.1%8.0%13.6%8.0%9.3%
HV 20d19.3%13.5%38.8%13.8%38.8%
HV 60d36.3%35.0%40.3%36.9%40.3%
IV Rank18.4%4.7%70.0%4.7%18.3%
IV Percentile27.7%5.2%93.7%5.2%31.7%
Term Structure3.6%-3.3%5.5%0.4%4.2%
VWIV33.0%28.0%43.3%31.7%33.3%
Skew 25d4.9%2.9%9.2%3.1%4.1%
Skew 10d12.5%-3.2%42.8%19.7%14.6%
Call IV 25d30.7%27.4%45.1%28.4%32.2%
Put IV 25d35.7%30.9%53.4%31.6%36.2%
Bid-Ask Spread %84.6071.78100.53100.5399.76
Gamma HHI0.490.200.710.200.43
Net GEX-32.5K-446.1K154.4K20.7K-418.6K
Net DEX972.6K-2.6M11.1M-1.4M8.1M
Net VEX-8.8K-16.6K-6.5K-7.3K-16.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.630.9918.262.331.15
Total Volume1,581.2735623,9681,6241,534
Total OI3,254.5911,8986,4762,2536,476

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$31.54$29.0027.7%8.0%13.8%4.7%31.7%3.1%0.4%20.7K-1.4M-7.3K2.33100.53N/AN/A4881,1369081,345
2016-06-02$31.79$33.0029.3%8.3%13.8%9.2%28.4%4.6%4.1%24.8K-1.5M-7.0K1.9480.97N/AN/A5871,1369031,355
2016-06-03$31.92$33.0029.0%8.3%13.8%8.5%28.8%3.9%4.8%95.0K-2.1M-7.7K1.8672.11N/AN/A6341,1781,2321,355
2016-06-06$32.16$32.0030.2%8.2%13.5%7.7%28.6%4.0%5.0%107.2K-2.3M-7.6K1.8672.48N/AN/A6341,1781,2811,393
2016-06-07$32.21$32.0029.2%8.0%13.5%5.7%28.0%4.4%4.7%116.2K-2.4M-7.2K1.9474.67N/AN/A5921,1491,2811,393
2016-06-08$32.48$32.0028.2%8.1%13.6%6.4%28.2%3.8%4.7%125.2K-2.6M-7.1K1.7971.78N/AN/A6421,1491,3041,404
2016-06-09$32.40$32.0028.5%8.2%13.8%7.2%28.3%3.2%4.4%137.6K-2.6M-7.0K1.7977.71N/AN/A6421,1491,3101,404
2016-06-10$32.02$32.0029.4%8.4%14.6%10.2%29.2%2.9%4.6%142.6K-2.4M-7.1K1.7980.25N/AN/A6421,1491,3101,404
2016-06-13$31.54$32.0031.0%8.9%15.8%15.5%30.8%3.7%4.4%154.4K-2.1M-6.8K1.4480.60N/AN/A6759741,3101,404
2016-06-14$31.47$32.0032.0%9.2%15.9%18.8%30.8%4.4%3.9%84.3K-1.7M-6.5K1.5883.88N/AN/A6289931,1111,408
2016-06-15$31.65$32.0030.0%8.6%15.8%12.2%30.2%3.4%5.5%100.2K-1.8M-6.5K1.7187.88N/AN/A5819931,1121,427
2016-06-16$32.36$32.0031.5%9.0%16.2%17.4%38.2%8.1%4.8%154.4K-2.3M-6.5K2.8079.71N/AN/A5621,5741,1281,427
2016-06-17$32.58$32.0029.9%8.6%16.0%12.1%37.1%7.2%4.4%-22.5K-2.1M-7.6K8.5082.46N/AN/A1401,1901,1271,926
2016-06-20$32.27$32.0030.6%8.8%16.5%14.1%34.8%5.5%4.4%-42.9K-353.3K-7.9K3.7792.21N/AN/A1204536241,274
2016-06-21$32.13$32.0030.0%8.6%16.6%12.1%35.4%5.2%4.3%-43.6K-284.1K-7.9K4.2083.25N/AN/A1084546381,275
2016-06-22$31.99$32.0030.4%8.7%14.4%13.7%32.9%4.6%3.4%-48.5K-224.1K-7.9K8.5987.22N/AN/A1109456391,275
2016-06-23$32.10$33.0031.8%9.1%13.8%18.0%30.8%6.0%3.9%-119.3K557.8K-9.2K18.2685.95N/AN/A2063,7626421,782
2016-06-24$29.96$33.0043.8%12.5%28.6%57.9%38.0%9.2%-3.3%-374.9K9.4M-15.4K3.6098.96N/AN/A2177817324,908
2016-06-27$28.48$33.0047.4%13.6%33.4%70.0%43.3%8.3%-1.8%-198.6K11.1M-10.7K4.1892.93N/AN/A2008367844,933
2016-06-28$28.99$33.0038.6%11.1%34.2%39.5%40.1%4.8%3.0%-261.7K11.0M-11.4K3.8677.28N/AN/A2248657835,009
2016-06-29$30.38$33.0034.2%9.8%38.3%24.7%38.9%4.1%4.0%-446.1K9.5M-14.8K0.9998.59N/AN/A7947848215,044
2016-06-30$30.91$33.0032.3%9.3%38.8%18.3%33.3%4.1%4.2%-418.6K8.1M-16.6K1.1599.76N/AN/A7138211,4195,057