CALX Options History — March 2011

In March 2011, CALX traded between $17.44 and $20.47. ATM implied volatility averaged 65.4%. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 9.0% (HV 20d: 56.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.28.

Notable Days

  • 2011-03-28: Highest Volume — 1,888 contracts
  • 2011-03-28: Largest IV spike — 27.4% change
  • 2011-03-29: Largest Expected Move — 22.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.17$17.44$20.47$18.28$20.31
Max Pain$18.15$17.50$20.00$17.50$17.50
ATM IV65.4%50.9%79.9%68.9%67.7%
Expected Move18.8%14.6%22.9%19.8%19.4%
HV 20d56.5%44.9%61.4%60.0%44.9%
Term Structure-5.0%-15.3%11.3%-12.3%-1.3%
VWIV64.7%50.7%79.2%67.9%68.1%
Skew 25d3.9%-5.7%10.3%-2.7%9.0%
Skew 10d1.2%-15.7%15.9%-8.9%2.0%
Call IV 25d65.0%53.7%79.1%70.3%64.7%
Put IV 25d68.9%54.3%83.8%67.6%73.7%
Bid-Ask Spread %59.7752.7568.3660.3966.66
Gamma HHI0.510.340.780.610.42
Net GEX92.8K41.1K175.8K55.9K146.7K
Net DEX-2.0M-5.6M-761.4K-761.4K-4.6M
Net VEX-9.5K-17.2K-2.5K-2.5K-16.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.001.910.290.00
Total Volume469.609151,888138305
Total OI3,562.9571,7845,8471,7845,279

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$18.28$17.5068.9%19.8%0.0%0.0%67.9%-2.7%-12.3%55.9K-761.4K-2.5K0.2960.39107311,644140
2011-03-02$19.07$17.5069.7%20.0%60.0%0.0%63.3%-0.8%-12.4%64.1K-1.0M-3.1K0.0561.92367201,694171
2011-03-03$20.00$17.5073.4%21.0%60.6%0.0%74.0%-5.7%-15.3%78.3K-1.9M-5.2K0.6364.7876482,054181
2011-03-04$19.63$17.5067.7%16.7%59.4%0.0%0.0%-4.4%-1.4%80.5K-1.7M-5.3K0.2263.6468152,099226
2011-03-07$20.41$17.5054.6%18.2%59.1%0.0%63.6%7.7%-11.5%109.9K-2.1M-5.2K0.2360.451,3633182,114231
2011-03-08$20.21$20.0057.1%17.7%57.7%0.0%62.1%2.0%-5.3%132.9K-2.7M-7.6K0.0059.761502,912521
2011-03-09$19.60$20.0059.9%17.8%57.6%0.0%58.0%5.3%-7.1%136.7K-1.9M-7.1K0.2253.127671712,914521
2011-03-10$18.99$20.0062.4%17.9%58.9%0.0%0.0%5.4%-5.5%145.4K-1.8M-9.5K0.0058.592503,566571
2011-03-11$19.21$20.0060.8%17.4%59.0%0.0%61.0%2.0%-2.5%164.2K-1.8M-9.5K0.0056.8546003,533571
2011-03-14$18.25$20.0065.8%18.9%61.4%0.0%50.7%-1.8%-6.2%115.5K-1.3M-9.3K0.1958.788901673,852571
2011-03-15$17.68$20.0072.2%20.7%55.5%0.0%71.8%0.9%-10.7%68.4K-906.6K-9.1K0.3056.463311003,623616
2011-03-16$17.44$17.5074.6%21.4%55.5%0.0%75.6%5.9%-11.0%58.6K-918.6K-9.5K0.1059.5698103,852645
2011-03-17$18.50$17.5074.7%21.4%60.2%0.0%69.6%8.2%-12.3%70.2K-1.4M-10.0K0.0059.456003,893655
2011-03-18$18.57$17.5072.0%20.6%58.8%0.0%68.3%5.8%-7.2%70.0K-1.4M-10.0K1.9152.7534653,880655
2011-03-21$18.86$17.5062.8%18.0%59.1%0.0%62.5%10.3%0.5%41.1K-1.3M-10.1K0.0568.36191102,146461
2011-03-22$18.47$17.5063.0%18.1%58.0%0.0%62.0%5.4%1.0%44.2K-1.2M-9.9K0.3763.9054202,221471
2011-03-23$19.15$17.5059.2%17.0%58.1%0.0%59.4%9.6%2.7%48.7K-1.5M-10.3K0.0061.5837402,270481
2011-03-24$19.00$17.5053.2%15.2%56.8%0.0%53.2%9.7%7.1%57.3K-1.8M-11.9K0.0061.7141802,593481
2011-03-25$19.11$17.5050.9%14.6%55.7%0.0%50.7%9.0%11.3%75.2K-2.1M-12.3K0.0158.3435142,870481
2011-03-28$19.67$17.5064.8%18.6%49.6%0.0%66.1%-0.8%-3.2%80.0K-2.9M-12.9K0.0354.581,838503,168485
2011-03-29$19.95$17.5079.9%22.9%49.1%0.0%79.2%4.6%-10.6%115.5K-3.9M-15.4K0.0455.471,295504,254535
2011-03-30$20.47$17.5070.2%20.1%47.7%0.0%71.1%5.8%-2.8%175.8K-5.6M-17.2K1.8757.57821535,268579
2011-03-31$20.31$17.5067.7%19.4%44.9%0.0%68.1%9.0%-1.3%146.7K-4.6M-16.1K0.0066.6630504,601678