COMM Options History — June 2018

In June 2018, COMM traded between $28.91 and $30.40. ATM implied volatility averaged 26.6%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 9.6% (HV 20d: 17.0%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2018-06-25: Highest Volume — 1,821 contracts
  • 2018-06-13: Largest IV drop — 24.9% change
  • 2018-06-01: Highest IV Rank — 22.8%
  • 2018-06-01: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.78$28.91$30.40$29.77$29.37
Max Pain$29.38$29.00$30.00$29.00$30.00
ATM IV26.6%23.4%33.2%27.5%24.3%
Expected Move7.3%6.7%7.9%7.9%7.0%
HV 20d17.0%13.4%23.3%23.1%13.4%
HV 60d68.4%67.7%68.8%68.8%67.8%
IV Rank15.6%9.2%22.8%22.8%12.3%
IV Percentile49.5%27.4%64.7%64.7%34.9%
Term Structure9.3%-2.3%13.4%-2.3%13.4%
VWIV26.0%23.4%35.9%35.9%23.9%
Skew 25d3.2%1.7%4.3%3.1%3.1%
Skew 10d9.8%4.3%18.8%18.0%11.7%
Call IV 25d24.1%21.6%27.6%27.6%22.8%
Put IV 25d27.3%24.4%30.7%30.7%25.9%
Bid-Ask Spread %40.4316.0375.6175.6118.86
Gamma HHI0.220.180.290.220.24
Net GEX67.6K-11.0K169.1K-11.0K84.8K
Net DEX-868.8K-2.6M229.0K138.5K-598.0K
Net VEX-15.7K-18.9K-13.4K-14.0K-18.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.371.161.110.38
Total Volume1,367.1439051,8219051,719
Total OI4,836.7624,1535,6194,1535,619

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$29.77$29.0027.5%7.9%23.1%22.8%35.9%3.1%-2.3%-11.0K138.5K-14.0K1.1175.61N/AN/A4284772,0432,110
2018-06-04$30.25$29.0029.4%7.3%23.3%16.3%26.6%3.0%7.7%14.5K-372.8K-13.4K1.1665.31N/AN/A4375052,0482,110
2018-06-05$30.06$29.0029.5%7.5%21.3%18.1%26.7%3.1%7.2%17.8K-306.3K-13.7K1.0541.78N/AN/A4664902,1622,138
2018-06-06$30.02$29.0028.5%7.4%18.9%17.1%26.4%2.9%8.5%17.7K-290.3K-13.7K0.5924.22N/AN/A8334942,1862,140
2018-06-07$29.97$29.0027.5%7.3%18.9%16.2%26.2%2.9%8.1%43.4K-1.3M-14.6K0.5731.22N/AN/A8774972,5592,135
2018-06-08$29.86$29.0026.2%7.1%18.8%13.2%25.9%3.7%9.5%39.0K-1.2M-14.5K0.5346.37N/AN/A8354432,5702,135
2018-06-11$29.82$29.0029.5%7.3%18.1%16.3%26.1%2.5%8.5%52.1K-1.2M-14.1K0.4963.58N/AN/A8904322,6502,139
2018-06-12$30.22$29.0033.2%7.0%17.2%12.1%25.5%3.3%9.4%97.7K-1.8M-14.1K0.7364.44N/AN/A5954362,7532,140
2018-06-13$30.38$29.0024.9%7.1%17.1%14.2%26.3%4.0%8.7%169.1K-2.1M-14.2K0.6365.82N/AN/A7714832,9032,136
2018-06-14$30.32$29.0023.4%6.7%15.6%9.2%23.4%3.7%9.7%153.4K-2.2M-14.8K0.4828.21N/AN/A1,0114843,0932,184
2018-06-15$30.40$29.0024.3%7.0%15.6%12.1%25.3%2.1%9.2%116.7K-2.6M-15.7K0.7243.33N/AN/A6574713,3412,183
2018-06-18$30.15$29.0025.2%7.2%15.8%15.0%26.3%1.7%10.3%107.5K-1.5M-15.7K0.7546.33N/AN/A5874422,5551,626
2018-06-19$29.80$29.0026.2%7.5%16.3%18.3%26.8%3.5%9.0%94.9K-1.0M-15.4K0.9732.74N/AN/A6025812,5431,639
2018-06-20$29.70$30.0025.4%7.3%16.4%15.8%26.2%3.1%9.7%72.1K-771.1K-15.7K0.9519.05N/AN/A6676332,5631,779
2018-06-21$29.31$30.0026.6%7.6%15.7%19.9%25.1%3.8%9.8%59.5K-255.2K-16.1K0.4351.81N/AN/A1,2315262,6351,858
2018-06-22$29.34$30.0026.7%7.6%15.7%20.0%25.5%4.3%9.8%78.5K-516.8K-18.5K0.5219.86N/AN/A1,1415943,1322,019
2018-06-25$29.26$30.0025.5%7.3%13.6%16.2%25.2%3.7%11.9%62.8K-254.3K-18.2K0.5419.32N/AN/A1,1856363,1342,101
2018-06-26$29.39$30.0025.2%7.2%13.4%15.1%24.2%2.6%12.1%57.0K-455.6K-18.9K0.4516.03N/AN/A1,1635213,2072,217
2018-06-27$29.04$30.0024.9%7.1%14.0%14.1%24.3%3.1%12.7%40.6K93.5K-18.0K0.3724.67N/AN/A1,2944743,2672,207
2018-06-28$28.91$30.0024.6%7.1%14.0%13.2%24.7%3.1%12.8%51.9K229.0K-17.9K0.3850.57N/AN/A1,2324703,3952,218
2018-06-29$29.37$30.0024.3%7.0%13.4%12.3%23.9%3.1%13.4%84.8K-598.0K-18.5K0.3818.86N/AN/A1,2494703,4012,218