COMM Options History — June 2020

In June 2020, COMM traded between $8.32 and $11.39. ATM implied volatility averaged 71.3%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded below realized volatility by 2.6% (HV 20d: 73.9%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2020-06-05: Highest Volume — 5,308 contracts
  • 2020-06-03: Largest IV drop — 10.2% change
  • 2020-06-26: Highest IV Rank — 31.6%
  • 2020-06-26: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.77$8.32$11.39$10.44$8.36
Max Pain$10.36$10.00$11.00$10.00$10.00
ATM IV71.3%65.5%76.9%76.4%67.6%
Expected Move20.2%18.8%22.0%21.9%19.4%
HV 20d73.9%70.2%79.3%77.5%70.7%
HV 60d88.4%74.4%107.0%107.0%74.6%
IV Rank27.5%24.3%31.6%31.3%25.6%
IV Percentile66.2%53.2%77.0%77.0%56.7%
Term Structure7.6%-5.2%18.6%-5.2%18.6%
VWIV70.8%66.7%76.0%76.0%67.2%
Skew 25d2.4%-16.6%12.6%2.9%-9.2%
Skew 10d3.6%-31.3%39.6%9.9%-31.3%
Call IV 25d70.0%60.0%78.8%78.8%66.8%
Put IV 25d72.3%57.3%85.7%81.7%57.6%
Bid-Ask Spread %70.4532.5987.1875.5132.59
Gamma HHI0.350.140.810.390.14
Net GEX440.5K-14.9K1.2M619.8K-14.9K
Net DEX-7.4M-23.2M3.5M-17.2M3.3M
Net VEX-63.2K-86.8K-40.9K-86.8K-41.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.015.220.100.14
Total Volume2,069.1821795,3084,472468
Total OI43,817.22729,46554,40754,40731,759

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$10.44$10.0076.4%21.9%77.5%31.3%76.0%2.9%-5.2%619.8K-17.2M-86.8K0.1075.51N/AN/A4,07639642,48611,921
2020-06-02$10.30$10.0076.1%21.8%76.8%31.1%74.7%5.9%-5.0%616.5K-15.7M-84.3K0.0756.51N/AN/A2,84520841,98811,730
2020-06-03$10.64$10.0068.4%19.6%77.1%26.1%69.1%3.5%-3.2%663.6K-18.3M-83.5K0.1071.38N/AN/A4,19942840,70311,668
2020-06-04$10.25$10.0069.2%19.0%78.4%24.9%66.7%0.8%9.9%648.0K-13.6M-79.4K0.3653.20N/AN/A3,2971,19139,45011,557
2020-06-05$10.99$10.0069.6%19.1%77.2%24.9%67.9%10.8%6.8%637.6K-19.6M-82.2K0.0181.68N/AN/A5,2624639,10811,752
2020-06-08$11.39$10.0070.3%19.2%78.1%25.2%66.7%0.6%5.9%594.9K-23.2M-77.2K0.2062.67N/AN/A3,42369437,12711,767
2020-06-09$10.90$11.0075.8%19.8%79.3%26.7%69.3%3.7%9.3%548.7K-17.2M-77.3K0.0866.69N/AN/A1,0158336,04012,236
2020-06-10$10.65$11.0068.6%19.7%70.2%26.3%70.3%0.8%8.1%605.4K-14.9M-73.7K0.0277.06N/AN/A6821235,71512,193
2020-06-11$9.55$11.0075.1%21.5%70.6%30.5%72.3%12.6%3.7%450.7K-5.7M-65.8K0.1987.18N/AN/A2,08840735,61912,193
2020-06-12$9.61$11.0072.0%20.6%70.6%28.5%72.2%3.4%10.7%558.5K-5.2M-63.5K0.3780.38N/AN/A66524935,90112,188
2020-06-15$9.57$11.0074.6%21.4%70.2%30.1%75.0%5.6%7.7%551.3K-4.6M-59.6K0.1258.19N/AN/A2,18825235,91712,218
2020-06-16$10.36$10.0070.8%20.3%72.0%27.7%69.8%2.1%12.5%876.2K-12.8M-62.3K0.0877.47N/AN/A2,61119837,05812,257
2020-06-17$10.02$10.0070.0%20.1%73.2%27.2%70.4%-0.6%4.1%1.0M-8.7M-62.8K5.2277.24N/AN/A2701,41036,56312,223
2020-06-18$9.82$11.0066.0%18.9%73.4%24.6%68.7%7.9%11.5%1.2M-4.1M-59.2K0.0661.17N/AN/A6403836,48813,241
2020-06-19$9.61$11.0065.5%18.8%72.3%24.3%68.1%5.2%14.4%30.4K246.2K-55.5K0.3077.58N/AN/A67820236,17713,202
2020-06-22$9.72$11.0068.3%19.6%72.3%26.1%69.4%11.1%6.6%34.9K189.5K-54.4K0.0465.92N/AN/A6512717,99211,473
2020-06-23$9.12$10.0070.0%20.1%75.1%27.2%70.5%-1.9%9.5%19.6K1.2M-50.5K0.5573.36N/AN/A1,57386418,42911,498
2020-06-24$8.57$10.0069.9%20.0%77.7%27.1%70.8%4.4%7.5%-4252.8M-44.5K0.2271.15N/AN/A61713518,66811,529
2020-06-25$8.51$10.0076.5%21.9%70.6%31.4%74.9%3.0%12.1%-4253.0M-42.5K0.7179.99N/AN/A55439419,16411,533
2020-06-26$8.32$10.0076.9%22.0%70.8%31.6%75.6%-16.6%8.1%-2.8K3.0M-43.3K1.2284.61N/AN/A13816919,72811,880
2020-06-29$8.34$10.0070.4%20.2%70.6%27.4%71.6%-3.5%13.1%-13.7K3.5M-40.9K0.3178.38N/AN/A1374219,67111,969
2020-06-30$8.36$10.0067.6%19.4%70.7%25.6%67.2%-9.2%18.6%-14.9K3.3M-41.3K0.1432.59N/AN/A4095919,76911,990