COMM Options History — April 2018

In April 2018, COMM traded between $38.09 and $41.20. ATM implied volatility averaged 33.6%, placing in the 48.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 7.6% (HV 20d: 26.1%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2018-04-30: Highest Volume — 1,095 contracts
  • 2018-04-11: Largest IV spike — 25.4% change
  • 2018-04-30: Highest IV Rank — 73.0%
  • 2018-04-30: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.97$38.09$41.20$39.45$38.09
Max Pain$39.14$39.00$40.00$40.00$39.00
ATM IV33.6%25.5%42.6%29.3%42.6%
Expected Move10.1%7.6%12.2%8.4%12.2%
HV 20d26.1%23.2%29.3%24.3%23.6%
HV 60d24.0%22.8%25.4%23.0%25.0%
IV Rank48.5%20.6%73.0%31.3%73.0%
IV Percentile77.8%65.1%94.0%68.3%94.0%
Term Structure-3.9%-10.7%7.5%4.8%-10.5%
VWIV35.2%27.0%41.8%28.2%41.8%
Skew 25d4.8%2.7%6.6%2.7%4.4%
Skew 10d12.0%5.2%19.5%19.5%11.1%
Call IV 25d32.8%24.1%41.0%27.1%41.0%
Put IV 25d37.6%29.1%45.4%29.8%45.4%
Bid-Ask Spread %55.6126.31104.2394.6779.99
Gamma HHI0.270.190.440.230.30
Net GEX354.4K90.9K909.1K347.6K90.9K
Net DEX-3.9M-6.9M-344.6K-3.9M-344.6K
Net VEX-19.2K-25.2K-15.4K-24.6K-15.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.361.140.840.36
Total Volume630.814181,0957771,095
Total OI6,016.2384,8776,6756,2965,015

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$39.45$40.0029.3%8.4%24.3%31.3%28.2%2.7%4.8%347.6K-3.9M-24.6K0.8494.67N/AN/A4223553,9582,338
2018-04-03$39.41$40.0028.6%8.2%24.0%29.0%29.6%6.6%6.0%337.4K-3.7M-25.2K0.86104.23N/AN/A4123553,9802,422
2018-04-04$39.63$40.0026.4%7.6%24.0%20.6%27.0%5.1%7.5%378.4K-3.9M-24.5K0.86103.78N/AN/A4123553,9802,422
2018-04-05$39.86$39.0025.5%9.9%24.1%47.1%34.8%5.3%-3.7%404.4K-4.2M-23.3K1.0637.86N/AN/A2522663,9802,422
2018-04-06$38.95$39.0026.6%10.1%25.1%49.1%35.2%6.1%-2.2%229.6K-2.4M-22.3K1.1437.58N/AN/A2262573,9812,448
2018-04-09$38.98$39.0028.2%9.7%24.4%44.1%35.1%4.7%-1.7%202.1K-2.4M-20.5K1.0272.35N/AN/A2572613,9992,458
2018-04-10$39.50$39.0027.5%10.1%25.0%48.5%35.1%5.1%-3.4%318.2K-3.4M-20.8K1.0135.44N/AN/A2582613,9812,457
2018-04-11$39.66$39.0034.5%9.9%25.1%46.1%35.4%5.8%-3.4%343.4K-3.5M-20.6K1.1462.04N/AN/A2292613,9792,457
2018-04-12$41.20$39.0033.6%9.6%28.7%43.2%33.7%4.6%-3.2%860.5K-6.9M-20.0K0.8652.25N/AN/A3042613,9832,457
2018-04-13$40.46$39.0033.9%9.7%29.3%44.2%34.9%4.6%-2.7%559.4K-4.9M-19.7K0.8673.08N/AN/A3032613,9512,457
2018-04-16$40.56$39.0034.1%9.8%29.0%44.7%34.7%5.5%-4.0%553.7K-4.9M-17.4K1.0031.33N/AN/A2702693,9382,457
2018-04-17$40.70$39.0033.9%9.7%28.8%43.9%34.4%4.8%-3.9%608.3K-5.2M-16.5K0.9526.31N/AN/A2822693,9392,467
2018-04-18$41.15$39.0035.0%10.0%29.0%47.7%33.8%5.3%-5.7%909.1K-6.2M-15.8K1.0240.47N/AN/A2072113,9392,467
2018-04-19$40.71$39.0035.3%10.1%29.3%48.6%35.5%4.3%-5.2%374.4K-4.8M-15.7K1.0263.19N/AN/A4694793,9422,471
2018-04-20$40.79$39.0036.4%10.4%28.5%52.5%36.1%3.7%-7.6%172.3K-4.6M-17.0K0.7646.80N/AN/A4903704,0342,641
2018-04-23$40.46$39.0037.1%10.6%27.7%54.8%36.6%4.9%-6.6%172.5K-3.9M-16.5K0.8735.84N/AN/A3022632,5372,340
2018-04-24$40.49$39.0039.2%11.2%25.6%61.7%38.5%4.3%-7.5%155.9K-3.9M-16.6K0.8156.57N/AN/A3502822,5462,387
2018-04-25$40.55$39.0038.0%10.9%24.6%57.9%38.7%4.5%-8.9%160.2K-3.9M-17.4K1.0136.59N/AN/A2802822,5802,468
2018-04-26$39.87$39.0040.6%11.6%24.4%66.2%40.0%4.8%-10.7%144.8K-2.9M-17.1K1.0235.99N/AN/A2772822,5662,468
2018-04-27$38.81$39.0040.2%11.5%23.2%65.0%40.2%3.8%-10.0%120.3K-1.5M-16.7K0.8541.41N/AN/A2982522,5612,468
2018-04-30$38.09$39.0042.6%12.2%23.6%73.0%41.8%4.4%-10.5%90.9K-344.6K-15.4K0.3679.99N/AN/A8072882,5472,468