COMM Options History — May 2021 In May 2021, COMM traded between $16.56 and $20.20. ATM implied volatility averaged 42.3%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 7.7% (HV 20d: 34.5%). Max pain ranged from $16.00 to $19.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.72.
Notable Days 2021-05-11 : Highest Volume — 29,599 contracts2021-05-06 : Largest IV drop — 30.7% change2021-05-05 : Highest IV Rank — 27.6%2021-05-05 : Largest Expected Move — 17.4%Monthly Statistics Metric Avg Min Max Open Close Price $18.21 $16.56 $20.20 $16.63 $20.20 Max Pain $17.70 $16.00 $19.00 $17.00 $18.00 ATM IV 42.3% 36.1% 60.6% 56.2% 36.1% Expected Move 12.1% 10.4% 17.4% 16.1% 10.4% HV 20d 34.5% 31.5% 38.7% 38.7% 31.5% HV 60d 43.3% 38.1% 49.2% 47.3% 38.1% IV Rank 4.9% 0.0% 27.6% 21.7% 0.0% IV Percentile 7.7% 0.0% 53.6% 39.7% 0.0% Term Structure 0.8% -11.9% 6.1% -10.7% 1.0% VWIV 42.0% 35.9% 59.2% 56.3% 36.3% Skew 25d -0.4% -5.1% 1.9% -3.4% -0.6% Skew 10d -0.0% -24.5% 12.2% -18.0% 10.5% Call IV 25d 42.3% 35.5% 58.9% 58.9% 37.2% Put IV 25d 41.9% 33.6% 58.2% 55.6% 36.6% Bid-Ask Spread % 49.65 21.22 71.41 60.73 21.22 Gamma HHI 0.31 0.20 0.39 0.20 0.35 Net GEX -63.3K -683.0K 832.4K -632.8K 832.4K Net DEX -19.7M -42.1M 973.9K 945.4K -42.1M Net VEX -359.6K -436.1K -236.2K -249.0K -436.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.00 4.52 0.34 0.08 Total Volume 3,083.25 95 29,599 95 615 Total OI 101,851.55 82,475 120,381 82,501 101,857
Daily Data (20 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 2021-05-03 $16.63 $17.00 56.2% 16.1% 38.7% 21.7% 56.3% -3.4% -10.7% -632.8K 945.4K -249.0K 0.34 60.73 N/A N/A 71 24 35,603 46,898 2021-05-04 $16.56 $17.00 57.5% 16.5% 38.3% 23.6% 57.9% 0.6% -9.5% -639.3K 973.9K -247.0K 3.65 59.28 N/A N/A 92 336 35,627 46,909 2021-05-05 $16.64 $17.00 60.6% 17.4% 38.2% 27.6% 59.2% 1.0% -11.9% -644.2K 131.8K -243.9K 4.52 71.41 N/A N/A 115 520 35,683 46,939 2021-05-06 $17.20 $16.00 41.9% 11.9% 33.9% 1.9% 41.2% -0.3% 3.7% -607.4K -8.5M -240.8K 0.14 67.42 N/A N/A 269 38 35,745 46,777 2021-05-07 $18.23 $16.00 38.2% 11.1% 33.5% 0.0% 38.7% -1.6% 3.0% -160.9K -19.1M -244.2K 0.80 56.81 N/A N/A 841 675 35,683 46,792 2021-05-10 $18.28 $17.00 41.8% 11.3% 33.5% 1.0% 40.0% -0.8% 4.7% -156.3K -21.6M -236.2K 0.99 47.58 N/A N/A 6,578 6,480 35,800 47,572 2021-05-11 $17.87 $19.00 40.6% 11.3% 34.5% 1.1% 39.4% -0.7% 6.0% -408.1K -15.6M -311.9K 0.86 42.60 N/A N/A 15,924 13,675 43,387 54,894 2021-05-12 $17.45 $19.00 42.1% 12.1% 35.7% 4.7% 42.0% -0.6% 3.7% -683.0K -8.1M -412.9K 0.83 50.66 N/A N/A 353 294 53,426 65,568 2021-05-13 $17.88 $18.00 41.0% 11.8% 36.0% 3.3% 41.0% 1.0% 4.0% -476.6K -15.7M -422.4K 0.02 35.10 N/A N/A 151 3 53,386 65,784 2021-05-14 $18.14 $18.00 39.1% 11.2% 35.7% 0.7% 39.2% 0.6% 6.1% -261.6K -21.2M -418.3K 0.14 68.26 N/A N/A 618 89 53,450 65,785 2021-05-17 $18.34 $18.00 41.4% 11.9% 35.7% 3.7% 41.4% 0.7% 4.0% -43.7K -23.8M -412.2K 0.09 41.48 N/A N/A 218 20 53,860 65,868 2021-05-18 $18.40 $18.00 40.6% 11.6% 33.7% 2.7% 39.5% -0.3% 6.0% 96.5K -25.5M -408.0K 0.36 39.33 N/A N/A 602 217 53,943 65,884 2021-05-19 $18.01 $18.00 40.7% 11.7% 34.6% 2.8% 41.5% -1.3% 1.7% -216.3K -21.6M -409.2K 0.14 50.54 N/A N/A 149 21 54,501 65,879 2021-05-20 $18.38 $18.00 39.0% 11.2% 33.8% 0.6% 38.8% -0.2% 3.7% 354.1K -26.9M -403.8K 0.39 59.49 N/A N/A 104 41 54,476 65,879 2021-05-21 $18.70 $18.00 39.8% 11.4% 32.5% 1.7% 39.9% 0.4% -0.8% 333.8K -30.3M -418.3K 0.29 28.02 N/A N/A 2,924 840 54,483 65,898 2021-05-24 $18.90 $18.00 37.2% 10.7% 32.5% 0.0% 37.6% -5.1% 0.5% 433.9K -23.8M -417.6K 0.30 42.88 N/A N/A 392 118 49,993 45,391 2021-05-25 $18.93 $18.00 38.0% 10.9% 32.2% 1.0% 37.9% 1.9% -0.1% 447.6K -24.4M -413.2K 0.14 70.99 N/A N/A 131 19 50,258 45,455 2021-05-26 $19.45 $18.00 36.4% 10.4% 32.7% 0.0% 35.9% 1.4% 1.0% 546.5K -30.2M -421.7K 0.24 55.57 N/A N/A 141 34 50,344 45,465 2021-05-27 $20.03 $18.00 36.9% 10.6% 33.5% 0.7% 36.7% -1.0% 0.2% 618.6K -37.0M -426.1K 0.00 23.69 N/A N/A 7,902 31 50,394 45,495 2021-05-28 $20.20 $18.00 36.1% 10.4% 31.5% 0.0% 36.3% -0.6% 1.0% 832.4K -42.1M -436.1K 0.08 21.22 N/A N/A 570 45 56,322 45,535
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