COMM Options History — May 2020

In May 2020, COMM traded between $8.72 and $11.15. ATM implied volatility averaged 79.7%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded above realized volatility by 1.1% (HV 20d: 78.6%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.35.

Notable Days

  • 2020-05-28: Highest Volume — 74,426 contracts
  • 2020-05-07: Largest IV drop — 38.8% change
  • 2020-05-01: Highest IV Rank — 50.2%
  • 2020-05-01: Largest Expected Move — 30.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.83$8.72$11.15$10.22$10.35
Max Pain$10.20$10.00$11.00$10.00$10.00
ATM IV79.7%60.9%116.1%105.6%78.1%
Expected Move20.6%17.4%30.3%30.3%22.4%
HV 20d78.6%66.4%86.1%76.1%82.5%
HV 60d106.7%105.1%109.0%107.6%107.0%
IV Rank28.4%21.2%50.2%50.2%32.4%
IV Percentile70.8%54.4%91.7%91.7%80.2%
Term Structure-2.1%-30.1%5.8%-30.1%-7.3%
VWIV70.4%50.8%106.4%106.4%79.0%
Skew 25d15.3%6.3%21.4%13.1%8.8%
Skew 10d41.8%-9.9%72.0%31.0%22.2%
Call IV 25d67.1%52.4%100.2%100.2%81.6%
Put IV 25d82.4%69.1%113.3%113.3%90.4%
Bid-Ask Spread %51.9118.1676.5854.7472.72
Gamma HHI0.200.160.360.180.36
Net GEX28.5K-28.6K507.1K11.6K507.1K
Net DEX229.5K-14.4M3.0M461.8K-14.4M
Net VEX-49.4K-83.1K-37.5K-52.2K-83.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.0117.040.290.02
Total Volume4,8527274,42623814,495
Total OI24,958.918,81050,04424,99850,044

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$10.22$10.00105.6%30.3%76.1%50.2%106.4%13.1%-30.1%11.6K461.8K-52.2K0.2954.74N/AN/A1855314,44310,555
2020-05-04$9.91$11.00108.6%22.2%77.0%31.9%78.4%19.5%-3.7%7151.2M-48.2K2.9931.22N/AN/A10431114,40810,583
2020-05-05$10.18$11.00112.0%21.0%67.2%29.4%66.0%16.5%-0.5%570979.2K-47.8K0.0236.88N/AN/A1,0691914,42110,698
2020-05-06$10.18$11.00116.1%21.8%66.4%31.1%70.1%15.9%-2.4%9.7K512.8K-51.0K0.1628.70N/AN/A3525515,10410,700
2020-05-07$11.02$11.0071.0%18.1%71.8%22.7%63.7%15.4%2.5%34.5K-1.0M-55.0K0.2555.29N/AN/A1,30932915,27410,712
2020-05-08$11.15$10.0062.3%17.4%70.1%21.2%50.8%16.7%5.8%36.1K-1.4M-58.5K0.1629.59N/AN/A621015,70911,002
2020-05-11$10.90$10.0073.3%17.6%69.6%21.5%61.9%13.7%3.0%29.9K-779.6K-55.4K0.4118.16N/AN/A813315,73111,005
2020-05-12$9.84$10.0088.0%18.5%78.7%23.6%59.7%14.3%3.7%20.8K1.4M-47.9K0.9050.12N/AN/A23020715,75410,981
2020-05-13$8.84$10.0072.8%20.9%85.5%29.0%76.2%6.3%0.5%-28.6K3.0M-37.5K0.5076.58N/AN/A25312715,85911,087
2020-05-14$8.89$10.0077.0%22.1%85.5%31.7%84.1%21.4%-4.9%-19.5K2.4M-42.0K1.4567.89N/AN/A16123415,88410,985
2020-05-15$8.72$10.0078.5%22.5%82.8%32.7%75.4%20.1%-5.8%-7.3K2.6M-40.7K1.3331.08N/AN/A729615,96111,115
2020-05-18$9.30$10.0068.6%19.7%86.1%26.3%61.9%15.4%-0.2%-7.1K1.4M-44.2K0.0251.23N/AN/A6061110,5968,214
2020-05-19$9.43$10.0069.3%19.9%83.8%26.8%64.9%16.8%-2.9%1.2K999.3K-46.5K0.0145.90N/AN/A406411,0658,224
2020-05-20$9.61$10.0063.0%18.1%83.3%22.7%65.6%19.5%5.1%11.5K363.8K-49.1K0.2475.33N/AN/A912211,2938,224
2020-05-21$9.23$10.0068.9%19.8%82.5%26.5%66.9%14.9%-1.8%9541.4M-42.8K17.0473.08N/AN/A731,24411,3078,239
2020-05-22$9.18$10.0067.0%19.2%80.2%25.3%68.7%16.2%0.4%-17.6K2.1M-44.2K0.7025.86N/AN/A433011,4549,476
2020-05-26$9.49$10.0070.9%20.3%78.7%27.8%66.2%17.0%-4.2%-12.7K1.7M-45.3K0.2066.22N/AN/A821611,4939,472
2020-05-27$9.64$10.0060.9%17.4%79.1%21.3%61.7%17.5%1.4%-12.2K1.7M-44.8K0.2371.46N/AN/A1132611,5379,477
2020-05-28$10.45$10.0081.3%23.3%84.2%34.5%80.5%7.8%-0.3%10.8K26.1K-51.1K0.0476.12N/AN/A71,7012,72511,6239,469
2020-05-29$10.35$10.0078.1%22.4%82.5%32.4%79.0%8.8%-7.3%507.1K-14.4M-83.1K0.0272.72N/AN/A14,16932638,34211,702