COMM Options History — May 2018

In May 2018, COMM traded between $27.80 and $29.94. ATM implied volatility averaged 28.2%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 77.9% (HV 20d: 106.1%). Max pain ranged from $28.00 to $39.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.94.

Notable Days

  • 2018-05-01: Highest Volume — 3,378 contracts
  • 2018-05-29: Largest IV spike — 29.9% change
  • 2018-05-01: Highest IV Rank — 79.0%
  • 2018-05-01: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.23$27.80$29.94$27.80$29.21
Max Pain$29.50$28.00$39.00$39.00$29.00
ATM IV28.2%25.0%44.4%44.4%28.8%
Expected Move8.0%7.2%12.7%12.7%8.3%
HV 20d106.1%22.3%115.5%113.6%22.3%
HV 60d68.9%68.6%69.1%68.9%68.6%
IV Rank24.2%14.4%79.0%79.0%27.1%
IV Percentile64.1%51.6%96.0%96.0%66.7%
Term Structure2.2%-6.8%11.9%11.9%-2.7%
VWIV28.7%21.4%41.0%41.0%33.5%
Skew 25d4.4%1.8%19.5%19.5%6.2%
Skew 10d9.5%1.9%20.9%20.9%9.0%
Call IV 25d26.5%23.8%41.7%41.7%27.5%
Put IV 25d30.9%27.5%61.2%61.2%33.7%
Bid-Ask Spread %59.6316.3391.2646.6183.92
Gamma HHI0.220.140.280.140.28
Net GEX6.9K-90.9K72.7K-71.4K-38.4K
Net DEX1.3M-219.8K6.1M6.1M721.3K
Net VEX-11.3K-13.3K-3.4K-3.4K-13.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.531.240.960.91
Total Volume1,582.7276923,3783,3781,004
Total OI6,759.1363,3609,5025,4593,971

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$27.80$39.0044.4%12.7%113.6%79.0%41.0%19.5%11.9%-71.4K6.1M-3.4K0.9646.61N/AN/A1,7231,6552,9642,495
2018-05-02$28.27$36.0034.3%9.8%114.0%45.2%38.5%5.7%-6.8%-28.5K5.8M-7.3K0.7281.72N/AN/A1,4351,0294,0433,478
2018-05-03$28.17$30.0030.6%7.8%113.8%21.6%26.9%4.6%4.1%72.7K2.9M-9.1K1.0652.10N/AN/A1,3781,4594,8232,971
2018-05-04$28.00$29.0027.4%7.7%113.8%20.1%26.4%4.1%3.8%64.7K3.3M-11.2K1.1078.92N/AN/A1,0521,1615,0683,394
2018-05-07$28.86$29.0026.7%7.4%114.9%17.0%26.7%3.8%5.2%68.7K1.9M-10.9K1.1534.32N/AN/A1,0961,2575,0463,372
2018-05-08$29.69$29.0026.6%7.4%115.5%17.3%22.1%3.4%4.6%34.5K584.1K-10.9K0.9729.19N/AN/A9499195,0903,440
2018-05-09$29.59$28.0025.8%7.4%115.4%17.1%28.7%3.5%5.0%31.1K481.1K-12.3K1.0991.26N/AN/A7568265,2533,603
2018-05-10$29.45$28.0026.3%7.5%113.8%18.8%28.4%3.6%5.5%45.3K789.9K-12.4K1.1379.72N/AN/A7378325,3533,636
2018-05-11$29.90$28.0025.6%7.3%114.4%16.5%21.4%4.1%6.1%32.9K179.1K-12.2K1.1073.93N/AN/A7658425,3553,646
2018-05-14$29.33$28.0027.5%7.9%114.2%22.8%30.2%4.4%5.0%49.6K958.9K-12.0K1.1789.29N/AN/A6978135,3913,701
2018-05-15$29.25$28.0027.5%7.9%114.1%22.8%30.2%4.1%4.5%51.2K1.1M-11.6K1.1890.70N/AN/A6898135,4133,724
2018-05-16$29.87$28.0026.2%7.5%114.4%18.5%29.8%3.6%6.0%14.2K-14.1K-11.3K1.2444.05N/AN/A6658225,4203,724
2018-05-17$29.94$28.0025.2%7.2%114.6%15.1%27.4%3.6%5.5%-14.8K-219.8K-11.6K1.1125.66N/AN/A7838665,4653,858
2018-05-18$29.80$29.0025.2%7.2%114.5%15.3%28.1%3.6%5.6%-90.9K-163.8K-12.2K1.0558.59N/AN/A7738155,5623,940
2018-05-21$29.65$29.0025.3%7.3%114.5%15.6%26.4%2.8%0.1%-363293.8K-11.7K0.7224.35N/AN/A5203741,7301,630
2018-05-22$29.60$29.0025.8%7.4%114.5%17.0%30.2%3.8%-2.0%-1.5K338.9K-11.7K0.6426.83N/AN/A6324041,7471,646
2018-05-23$29.07$29.0026.5%7.6%114.3%19.6%28.0%2.0%-1.1%-5.2K522.7K-12.6K0.6480.85N/AN/A6244001,8951,702
2018-05-24$29.03$29.0026.3%7.6%114.4%18.9%29.7%2.7%-1.1%-24.6K760.8K-12.8K0.5316.33N/AN/A6263291,9061,840
2018-05-25$29.67$29.0025.0%7.2%115.1%14.4%29.7%3.6%-0.9%-7.2K279.0K-13.1K0.5869.19N/AN/A4862811,9061,884
2018-05-29$29.43$29.0032.5%9.3%115.1%39.2%23.7%3.2%-5.7%-14.7K496.5K-12.9K0.6577.65N/AN/A4192731,9111,886
2018-05-30$29.39$29.0030.9%8.9%22.8%34.1%23.5%1.8%-4.6%-15.7K443.4K-12.8K0.9956.69N/AN/A4234181,9301,889
2018-05-31$29.21$29.0028.8%8.3%22.3%27.1%33.5%6.2%-2.7%-38.4K721.3K-13.3K0.9183.92N/AN/A5274771,9272,044