COMM Options History — May 2017

In May 2017, COMM traded between $35.03 and $42.35. ATM implied volatility averaged 25.3%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 29.7% (HV 20d: 55.0%). Max pain ranged from $36.00 to $42.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2017-05-03: Highest Volume — 7,750 contracts
  • 2017-05-04: Largest IV drop — 36.3% change
  • 2017-05-03: Highest IV Rank — 71.6%
  • 2017-05-03: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.36$35.03$42.35$42.35$37.18
Max Pain$36.86$36.00$42.00$40.00$36.00
ATM IV25.3%21.1%43.7%41.6%22.1%
Expected Move7.2%6.1%12.5%11.9%6.3%
HV 20d55.0%15.8%62.2%15.8%61.2%
HV 60d37.8%23.3%41.8%23.3%37.8%
IV Rank16.8%4.8%71.6%65.4%7.5%
IV Percentile20.2%3.2%95.6%93.7%8.7%
Term Structure0.5%-12.5%5.0%-11.9%-0.4%
VWIV25.2%21.4%43.7%42.3%22.4%
Skew 25d2.8%1.3%6.7%3.3%2.6%
Skew 10d6.6%2.7%12.6%6.6%7.0%
Call IV 25d23.8%19.9%40.6%38.0%20.5%
Put IV 25d26.6%22.8%47.3%41.3%23.2%
Bid-Ask Spread %45.1923.7685.2777.7441.26
Gamma HHI0.310.150.840.250.17
Net GEX-713.3K-2.1M148.4K148.4K55.6K
Net DEX8.0M-8.8M23.3M-8.8M-768.0K
Net VEX-23.3K-33.1K-15.6K-33.1K-16.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.501.630.891.23
Total Volume3,9908097,7508092,636
Total OI12,882.0453,83419,1359,9344,162

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$42.35$40.0041.6%11.9%15.8%65.4%42.3%3.3%-11.9%148.4K-8.8M-33.1K0.8977.74N/AN/A4293804,9924,942
2017-05-02$41.65$40.0041.5%11.9%15.9%65.1%43.6%4.0%-11.0%70.6K-6.9M-33.0K1.0079.94N/AN/A4094105,0144,944
2017-05-03$41.11$40.0043.7%12.5%16.6%71.6%43.7%6.7%-12.5%9.5K-5.3M-32.6K1.2371.60N/AN/A3,4804,2705,0254,980
2017-05-04$35.03$42.0027.8%7.0%59.3%14.7%24.7%3.7%3.5%-702.8K23.3M-15.6K0.9326.66N/AN/A3,0932,8779,2788,860
2017-05-05$35.59$37.0022.9%6.7%59.8%11.0%23.0%2.5%3.3%-985.2K21.1M-27.5K0.8941.13N/AN/A2,6302,3478,62510,012
2017-05-08$35.73$36.0023.2%6.6%59.8%9.9%23.1%3.0%3.9%-1.0M21.3M-24.5K0.9033.54N/AN/A2,5992,3358,55410,076
2017-05-09$36.67$36.0022.5%6.5%60.9%8.8%22.2%3.1%3.8%-1.5M16.8M-27.9K1.6332.77N/AN/A2,2893,7248,55610,024
2017-05-10$37.52$36.0021.5%6.2%61.7%6.0%21.8%2.2%5.0%-1.6M12.2M-28.1K0.8937.27N/AN/A2,3472,0988,68710,111
2017-05-11$36.76$36.0022.6%6.5%61.9%9.2%21.8%2.5%3.8%-1.4M15.5M-28.2K0.9341.86N/AN/A2,3282,1638,88210,106
2017-05-12$36.23$36.0022.5%6.5%62.0%8.8%21.8%1.3%4.3%-1.4M18.2M-26.8K0.9133.15N/AN/A2,3132,1118,88010,126
2017-05-15$36.45$36.0023.5%6.7%62.1%11.8%23.7%2.3%3.4%-1.5M17.2M-24.6K0.7147.55N/AN/A2,8932,0598,89210,126
2017-05-16$36.90$36.0022.4%6.4%62.2%8.4%21.4%2.8%4.3%-1.4M14.6M-23.7K0.7166.66N/AN/A2,9132,0709,00510,130
2017-05-17$36.82$36.0022.7%6.5%61.9%9.5%22.6%2.5%4.1%-1.4M15.1M-21.3K0.7485.27N/AN/A2,8672,1178,44210,145
2017-05-18$36.99$36.0023.4%6.7%61.4%11.5%22.5%2.3%3.1%-1.2M13.4M-19.7K0.7523.76N/AN/A2,8732,1618,46910,060
2017-05-19$36.92$36.0022.6%6.5%61.3%9.1%21.7%2.7%3.9%-2.1M13.6M-18.2K0.5035.39N/AN/A2,9001,4478,44710,036
2017-05-22$37.53$36.0021.7%6.2%61.5%6.6%21.7%3.1%-0.3%31.2K-1.2M-18.0K1.0024.82N/AN/A1,3851,3831,8082,026
2017-05-23$37.04$36.0021.7%6.2%61.3%6.5%22.0%1.6%0.3%55.5K-1.1M-19.1K1.1329.11N/AN/A1,2681,4282,0742,107
2017-05-24$36.87$36.0021.9%6.3%61.3%7.0%22.1%2.7%0.5%42.0K-865.2K-19.7K1.2664.84N/AN/A1,1351,4262,1072,163
2017-05-25$37.16$36.0021.9%6.3%61.1%7.2%21.7%3.0%-0.7%57.9K-1.1M-19.2K1.1131.34N/AN/A1,2931,4372,0892,164
2017-05-26$36.84$36.0021.1%6.1%61.1%4.8%21.6%2.6%0.4%29.4K-480.6K-17.9K1.1130.17N/AN/A1,2931,4341,9432,196
2017-05-30$36.65$36.0022.4%6.4%60.9%8.6%22.7%1.3%0.4%15.8K-302.7K-17.0K1.1138.46N/AN/A1,2931,4371,9432,197
2017-05-31$37.18$36.0022.1%6.3%61.2%7.5%22.4%2.6%-0.4%55.6K-768.0K-16.9K1.2341.26N/AN/A1,1801,4561,9432,219