COMM Options History — April 2017

In April 2017, COMM traded between $40.06 and $42.30. ATM implied volatility averaged 28.9%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 10.8% (HV 20d: 18.1%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 2.42.

Notable Days

  • 2017-04-04: Highest Volume — 4,848 contracts
  • 2017-04-12: Largest IV spike — 60.5% change
  • 2017-04-27: Highest IV Rank — 55.8%
  • 2017-04-27: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.06$40.06$42.30$41.14$42.09
Max Pain$39.16$39.00$40.00$39.00$40.00
ATM IV28.9%19.4%38.3%20.8%37.8%
Expected Move8.9%5.7%11.0%6.0%10.8%
HV 20d18.1%16.0%19.0%18.5%16.0%
HV 60d24.4%23.3%25.9%25.9%23.3%
IV Rank34.1%1.5%55.8%3.8%54.3%
IV Percentile59.3%0.4%90.5%0.8%88.9%
Term Structure-2.5%-8.5%9.5%8.4%-8.5%
VWIV31.0%20.0%39.2%20.1%39.2%
Skew 25d2.7%0.1%3.9%1.1%3.6%
Skew 10d4.5%-2.6%7.4%-2.6%6.0%
Call IV 25d29.6%19.6%36.5%19.6%36.5%
Put IV 25d32.4%20.4%40.1%20.7%40.1%
Bid-Ask Spread %76.0452.95101.3398.5378.66
Gamma HHI0.250.190.410.260.24
Net GEX188.6K22.4K1.0M194.8K121.5K
Net DEX-6.1M-9.9M-2.6M-6.9M-8.1M
Net VEX-30.2K-35.2K-14.3K-14.3K-35.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.420.5512.781.850.83
Total Volume1,433.3165664,848655871
Total OI8,795.8954,39210,3074,3929,952

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$41.14$39.0020.8%6.0%18.5%3.8%20.1%1.1%8.4%194.8K-6.9M-14.3K1.8598.53N/AN/A2304252,6731,719
2017-04-04$41.05$40.0020.5%5.9%17.8%2.8%20.0%0.1%8.7%174.7K-6.6M-14.5K1.9482.94N/AN/A1,6503,1982,6541,826
2017-04-05$40.91$40.0020.0%5.7%17.8%1.5%20.0%0.9%9.5%65.2K-5.3M-31.6K12.78101.33N/AN/A2232,8504,0664,643
2017-04-06$40.96$39.0019.6%8.5%17.8%29.9%30.7%2.0%-1.4%76.4K-5.5M-31.0K7.4374.17N/AN/A2341,7384,0704,684
2017-04-07$41.04$39.0019.5%8.5%17.7%30.2%32.4%2.8%-1.7%90.4K-5.6M-31.2K8.0469.17N/AN/A2181,7534,0804,705
2017-04-10$40.50$39.0020.9%8.9%18.0%34.4%30.0%2.4%-2.3%45.1K-4.3M-29.9K1.4583.97N/AN/A2313354,0794,708
2017-04-11$40.55$39.0019.4%8.7%18.0%32.0%29.2%2.8%-2.4%74.2K-4.4M-29.6K0.9782.55N/AN/A5275134,0934,721
2017-04-12$40.15$39.0031.1%8.9%18.2%34.3%30.5%2.1%-2.7%40.3K-3.1M-30.1K0.9973.96N/AN/A4834784,2614,868
2017-04-13$40.06$39.0031.4%9.0%18.2%35.2%31.1%3.2%-2.8%22.4K-2.6M-29.1K0.5578.68N/AN/A8734834,2654,871
2017-04-17$40.08$39.0032.3%9.3%18.2%38.0%31.5%3.5%-4.3%88.8K-3.5M-32.7K0.5681.16N/AN/A8674894,9054,871
2017-04-18$40.50$39.0033.6%9.6%17.8%41.8%31.2%3.3%-5.1%204.1K-4.7M-31.8K0.7475.46N/AN/A5684204,9014,870
2017-04-19$40.96$39.0033.6%9.6%17.7%41.7%33.3%3.9%-5.2%366.7K-7.1M-34.9K0.8257.61N/AN/A5864785,2524,854
2017-04-20$41.69$39.0033.1%9.5%18.6%40.3%33.5%3.0%-5.0%331.7K-9.9M-34.2K1.2572.09N/AN/A4305365,2924,881
2017-04-21$41.03$39.0033.7%9.7%18.8%41.9%33.6%3.4%-5.6%1.0M-7.4M-33.8K0.8068.52N/AN/A6655295,3224,985
2017-04-24$41.51$39.0033.5%9.6%18.2%41.5%33.5%3.9%-6.1%111.0K-7.0M-32.3K0.6652.95N/AN/A4212794,5774,236
2017-04-25$41.90$39.0034.0%9.8%18.4%43.0%33.6%3.4%-5.9%171.3K-8.1M-31.6K0.6076.72N/AN/A5633394,6334,253
2017-04-26$41.68$39.0035.1%10.1%18.5%46.1%36.0%3.4%-7.4%160.2K-7.6M-32.4K0.8756.63N/AN/A4764124,8004,296
2017-04-27$42.30$39.0038.3%11.0%19.0%55.8%38.8%3.3%-8.3%218.2K-9.2M-32.9K2.9579.60N/AN/A4711,3914,9054,351
2017-04-28$42.09$40.0037.8%10.8%16.0%54.3%39.2%3.6%-8.5%121.5K-8.1M-35.2K0.8378.66N/AN/A4773944,9964,956