COMM Options History — June 2017

In June 2017, COMM traded between $36.99 and $38.40. ATM implied volatility averaged 22.4%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.7% (HV 20d: 21.7%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 3.49.

Notable Days

  • 2017-06-02: Highest Volume — 2,493 contracts
  • 2017-06-12: Largest IV spike — 23.7% change
  • 2017-06-12: Highest IV Rank — 8.1%
  • 2017-06-12: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.75$36.99$38.40$37.57$38.11
Max Pain$37.27$36.00$38.00$36.00$37.00
ATM IV22.4%21.0%28.2%21.4%21.9%
Expected Move6.2%6.0%6.4%6.1%6.3%
HV 20d21.7%18.4%61.4%61.4%19.7%
HV 60d38.2%37.8%38.7%37.8%38.0%
IV Rank6.4%4.4%8.1%5.5%6.9%
IV Percentile8.7%3.2%16.7%4.0%12.3%
Term Structure6.7%0.1%9.1%0.7%8.8%
VWIV22.2%19.7%24.1%22.9%24.1%
Skew 25d2.3%1.5%3.1%2.3%2.5%
Skew 10d4.3%2.2%10.6%4.3%10.3%
Call IV 25d20.6%19.4%21.8%20.8%20.7%
Put IV 25d22.9%21.9%24.1%23.1%23.1%
Bid-Ask Spread %43.3027.5568.2240.6063.03
Gamma HHI0.180.130.260.190.13
Net GEX131.5K60.2K234.9K76.8K234.9K
Net DEX-1.4M-2.5M-431.8K-1.3M-2.4M
Net VEX-17.7K-19.6K-16.5K-16.5K-19.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.491.535.611.532.19
Total Volume2,048.8641,7852,4932,4922,292
Total OI4,260.53,4924,7614,1824,163

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$37.57$36.0021.4%6.1%61.4%5.5%22.9%2.3%0.7%76.8K-1.3M-16.5K1.5340.60N/AN/A9851,5071,9452,237
2017-06-02$37.52$36.0021.5%6.2%20.0%5.9%19.7%1.7%0.1%83.8K-1.1M-17.2K1.5650.64N/AN/A9751,5181,9762,322
2017-06-05$38.05$37.0022.7%6.2%19.9%6.7%22.7%2.7%5.3%117.6K-1.6M-16.8K4.4331.38N/AN/A3431,5181,9842,336
2017-06-06$37.14$37.0022.8%6.3%22.1%7.3%21.8%1.8%6.2%78.6K-748.8K-16.6K5.1333.41N/AN/A3041,5592,0262,336
2017-06-07$37.35$38.0023.4%6.3%20.3%7.7%21.9%1.9%6.0%91.5K-860.8K-16.9K4.5639.53N/AN/A3361,5312,0322,421
2017-06-08$37.96$38.0022.2%6.1%19.5%5.5%22.5%2.1%6.1%148.2K-1.6M-16.6K4.3652.63N/AN/A3481,5162,0482,420
2017-06-09$37.54$38.0022.8%6.1%18.4%5.1%22.2%2.1%6.8%117.9K-1.1M-16.8K4.7852.25N/AN/A3091,4762,0362,443
2017-06-12$36.99$38.0028.2%6.4%18.4%8.1%22.7%1.7%7.4%60.2K-431.8K-16.7K3.8044.08N/AN/A4061,5432,0672,456
2017-06-13$37.65$38.0025.5%6.2%19.3%6.3%21.6%2.4%6.6%176.5K-1.5M-17.4K3.7827.55N/AN/A4091,5452,1462,546
2017-06-14$37.10$38.0021.9%6.3%19.7%7.2%22.8%2.4%6.7%98.0K-720.4K-17.2K3.7762.53N/AN/A3991,5062,1602,556
2017-06-15$37.40$38.0021.9%6.3%19.8%7.2%22.1%2.6%7.0%178.0K-1000.0K-17.2K3.6631.93N/AN/A4041,4782,1512,560
2017-06-16$37.15$38.0021.7%6.2%20.0%6.6%21.9%2.2%7.1%143.9K-779.7K-17.0K3.0035.50N/AN/A4851,4552,1942,567
2017-06-19$37.97$37.0021.2%6.1%21.4%4.9%21.6%2.9%7.8%70.3K-1.3M-16.8K3.2330.83N/AN/A5031,6251,6792,085
2017-06-20$37.95$37.0021.4%6.1%20.6%5.7%21.6%2.9%7.4%79.3K-1.2M-18.5K3.6842.77N/AN/A4411,6251,8312,361
2017-06-21$38.00$37.0021.3%6.1%20.0%5.2%21.5%2.4%8.1%88.8K-1.3M-18.7K3.2342.12N/AN/A5051,6331,8852,366
2017-06-22$38.07$37.0021.3%6.1%19.8%5.2%21.5%1.5%7.4%99.4K-1.4M-18.8K2.6755.65N/AN/A6051,6131,9502,367
2017-06-23$38.11$37.0021.0%6.0%19.7%4.4%21.6%2.3%7.3%153.1K-1.8M-17.9K2.7947.81N/AN/A5661,5812,1391,353
2017-06-26$38.38$37.0022.1%6.3%19.4%7.7%22.0%2.9%7.4%190.9K-2.3M-18.7K5.6131.87N/AN/A2811,5762,4051,358
2017-06-27$38.08$37.0022.1%6.3%19.6%7.5%22.5%1.6%8.2%184.8K-2.1M-18.6K3.2639.75N/AN/A4831,5752,4311,358
2017-06-28$38.40$37.0022.1%6.3%19.2%7.5%23.4%3.1%8.8%222.8K-2.5M-19.6K3.5028.60N/AN/A4491,5722,6411,373
2017-06-29$37.90$37.0022.1%6.3%19.6%7.7%23.7%2.8%9.1%197.6K-1.9M-19.1K2.2268.22N/AN/A7131,5822,6461,375
2017-06-30$38.11$37.0021.9%6.3%19.7%6.9%24.1%2.5%8.8%234.9K-2.4M-19.6K2.1963.03N/AN/A7181,5742,7941,369