COMM Options History — April 2020 In April 2020, COMM traded between $8.43 and $11.64. ATM implied volatility averaged 97.4%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 27.9%. IV traded below realized volatility by 15.2% (HV 20d: 112.6%). Max pain ranged from $9.00 to $12.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.61.
Notable Days 2020-04-15 : Highest Volume — 2,337 contracts2020-04-24 : Largest IV drop — 11.6% change2020-04-01 : Highest IV Rank — 54.5%2020-04-01 : Largest Expected Move — 32.2%Monthly Statistics Metric Avg Min Max Open Close Price $10.04 $8.43 $11.64 $8.43 $11.06 Max Pain $10.14 $9.00 $12.00 $9.00 $10.00 ATM IV 97.4% 83.8% 112.3% 112.3% 93.9% Expected Move 27.9% 24.0% 32.2% 32.2% 26.9% HV 20d 112.6% 68.7% 152.6% 152.3% 68.7% HV 60d 104.1% 100.2% 106.8% 100.7% 106.8% IV Rank 44.8% 36.1% 54.5% 54.5% 42.6% IV Percentile 89.0% 84.1% 94.8% 94.8% 85.7% Term Structure -15.2% -24.0% -8.1% -8.1% -24.0% VWIV 89.4% 67.2% 109.4% 109.4% 92.4% Skew 25d 22.1% 7.5% 43.7% 18.8% 7.5% Skew 10d 53.4% -3.7% 99.5% 41.5% 16.5% Call IV 25d 86.7% 70.4% 103.4% 103.4% 92.4% Put IV 25d 108.9% 90.7% 124.3% 122.3% 99.9% Bid-Ask Spread % 78.62 38.48 94.43 94.43 42.98 Gamma HHI 0.18 0.15 0.29 0.17 0.18 Net GEX 31.8K -17.0K 91.9K -17.0K 35.7K Net DEX -119.5K -2.0M 2.4M 2.4M -672.0K Net VEX -51.2K -58.4K -41.6K -41.6K -54.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.00 3.61 0.03 3.61 Total Volume 741.143 41 2,337 740 175 Total OI 27,166.81 23,787 29,918 27,218 25,094
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-04-01 $8.43 $9.00 112.3% 32.2% 152.3% 54.5% 109.4% 18.8% -8.1% -17.0K 2.4M -41.6K 0.03 94.43 N/A N/A 716 24 14,070 13,148 2020-04-02 $8.59 $12.00 111.5% 30.6% 152.6% 50.9% 99.1% 22.8% -10.6% -8.4K 1.8M -44.5K 0.03 92.00 N/A N/A 2,215 61 14,192 13,148 2020-04-03 $8.48 $10.00 108.2% 31.9% 152.6% 53.8% 67.2% 15.9% -15.7% 7.7K 1.1M -46.7K 0.57 93.51 N/A N/A 367 208 16,225 13,207 2020-04-06 $9.48 $10.00 99.5% 28.3% 152.6% 45.8% 87.3% 22.7% -17.4% 31.9K -44.6K -52.1K 0.02 89.28 N/A N/A 345 8 16,200 13,318 2020-04-07 $9.77 $10.00 96.4% 27.6% 148.9% 44.2% 78.1% 21.5% -14.7% 42.9K -787.3K -53.5K 3.20 92.74 N/A N/A 474 1,515 16,310 13,323 2020-04-08 $9.93 $10.00 98.2% 28.1% 144.3% 45.4% 91.1% 43.7% -18.2% 51.8K -1.0M -54.2K 0.04 94.36 N/A N/A 156 7 16,358 13,470 2020-04-09 $10.41 $10.00 101.3% 29.0% 133.4% 47.4% 84.8% 10.0% -17.8% 68.0K -2.0M -55.0K 0.35 90.84 N/A N/A 260 90 16,356 13,476 2020-04-13 $10.09 $10.00 107.8% 30.9% 134.1% 51.6% 107.0% 28.2% -20.6% 54.9K -1.2M -52.5K 0.86 86.89 N/A N/A 113 97 16,207 13,557 2020-04-14 $10.32 $10.00 97.2% 27.9% 134.1% 44.7% 96.4% 30.3% -13.9% 83.6K -1.6M -53.2K 0.11 93.28 N/A N/A 1,221 131 16,306 13,612 2020-04-15 $9.80 $10.00 96.1% 27.6% 132.0% 44.1% 93.7% 22.1% -12.9% 51.9K -48.0K -49.0K 0.00 88.75 N/A N/A 2,328 9 15,722 13,681 2020-04-16 $9.81 $11.00 94.2% 27.0% 118.3% 42.8% 81.9% 26.1% -10.0% 91.9K 444.3K -47.5K 0.43 81.37 N/A N/A 123 53 15,253 13,688 2020-04-17 $10.35 $11.00 94.1% 27.0% 100.6% 42.8% 97.0% 24.5% -14.8% 10.9K -1.2M -50.1K 0.10 88.89 N/A N/A 1,594 160 15,205 13,689 2020-04-20 $10.01 $10.00 94.8% 27.2% 102.4% 43.2% 103.0% 26.9% -14.7% 5.6K 906.8K -48.9K 1.59 76.96 N/A N/A 141 224 13,561 10,226 2020-04-21 $9.44 $10.00 104.5% 30.0% 105.6% 49.5% 96.5% 23.8% -16.4% -2.6K 1.5M -47.1K 0.49 76.71 N/A N/A 255 124 13,683 10,426 2020-04-22 $9.73 $10.00 93.1% 26.7% 73.2% 42.1% 90.8% 27.9% -8.8% -1.3K 1.4M -48.0K 0.00 79.82 N/A N/A 41 0 13,798 10,463 2020-04-23 $10.20 $10.00 97.3% 27.9% 74.5% 44.8% 83.9% 27.9% -9.6% 10.1K 511.8K -51.6K 0.00 72.63 N/A N/A 368 0 13,815 10,463 2020-04-24 $10.69 $10.00 86.0% 24.6% 72.7% 37.5% 80.3% 22.3% -14.9% 18.2K -100.4K -53.3K 0.84 60.68 N/A N/A 476 402 13,979 10,463 2020-04-27 $11.24 $10.00 91.0% 26.1% 73.4% 40.8% 79.5% 15.7% -20.4% 35.8K -1.0M -57.3K 0.06 54.52 N/A N/A 250 14 14,182 10,616 2020-04-28 $11.30 $10.00 83.8% 24.0% 69.4% 36.1% 76.7% 10.8% -16.9% 45.6K -1.1M -56.9K 0.48 61.98 N/A N/A 149 72 14,334 10,619 2020-04-29 $11.64 $10.00 84.7% 24.3% 69.6% 36.7% 81.1% 15.6% -19.0% 50.7K -1.7M -58.4K 0.04 38.48 N/A N/A 574 24 14,401 10,659 2020-04-30 $11.06 $10.00 93.9% 26.9% 68.7% 42.6% 92.4% 7.5% -24.0% 35.7K -672.0K -54.8K 3.61 42.98 N/A N/A 38 137 14,436 10,658
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