CALX Options History — June 2011

In June 2011, CALX traded between $18.99 and $21.77. ATM implied volatility averaged 46.9%. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 5.4% (HV 20d: 41.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.49.

Notable Days

  • 2011-06-16: Highest Volume — 3,012 contracts
  • 2011-06-28: Largest IV drop — 15.8% change
  • 2011-06-20: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.38$18.99$21.77$20.44$20.82
Max Pain$20.23$20.00$22.50$22.50$20.00
ATM IV46.9%38.9%55.9%46.1%44.9%
Expected Move13.7%11.2%16.0%13.2%12.9%
HV 20d41.5%35.4%46.4%46.4%43.9%
HV 60d40.5%38.0%42.3%41.8%42.3%
Term Structure1.9%-4.2%7.5%3.8%3.9%
VWIV47.0%40.3%56.6%45.4%41.0%
Skew 25d5.2%-4.4%13.3%7.5%0.6%
Skew 10d16.8%-5.5%29.5%16.0%-2.2%
Call IV 25d45.6%35.4%55.3%42.6%41.8%
Put IV 25d50.8%40.5%61.0%50.1%42.5%
Bid-Ask Spread %64.6949.3281.4849.3273.87
Gamma HHI0.420.310.570.510.48
Net GEX107.0K7.7K220.7K114.5K143.2K
Net DEX-896.0K-4.7M2.9M-1.7M-2.1M
Net VEX-46.0K-51.8K-37.4K-37.4K-47.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.019.572.681.61
Total Volume621.591253,0121,458185
Total OI13,960.59110,64415,96010,64414,484

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$20.44$22.5046.1%13.2%46.4%0.0%45.4%7.5%3.8%114.5K-1.7M-37.4K2.6849.323961,0626,7703,874
2011-06-02$20.59$22.5044.2%12.7%45.6%0.0%45.0%-4.4%6.4%102.3K-1.2M-41.7K0.3650.818623146,9504,715
2011-06-03$20.64$20.0044.5%14.0%45.6%0.0%48.5%5.2%-1.7%126.8K-1.2M-43.3K1.1849.751772087,5425,018
2011-06-06$20.00$20.0042.3%13.6%42.1%0.0%46.1%6.1%-0.3%83.0K383.9K-40.9K3.6860.691686197,4835,172
2011-06-07$19.77$20.0043.1%13.8%40.8%0.0%49.2%2.5%-1.3%66.5K894.4K-42.1K0.0956.49645557,5165,564
2011-06-08$19.63$20.0044.5%13.8%40.7%0.0%48.2%2.6%-0.9%70.6K1.2M-42.8K0.0352.97322107,8665,575
2011-06-09$20.27$20.0047.7%13.7%41.8%0.0%49.6%2.7%0.4%103.8K-223.9K-46.0K0.9062.502872578,1125,575
2011-06-10$20.02$20.0045.4%13.0%35.9%0.0%45.5%2.4%1.9%91.3K212.8K-46.4K0.0171.3016118,3475,809
2011-06-13$20.09$20.0044.4%12.7%35.4%0.0%46.2%2.5%2.2%87.4K-217.5K-46.5K0.0771.73198148,4225,809
2011-06-14$20.60$20.0045.0%12.9%37.0%0.0%44.2%3.9%3.3%124.0K-897.2K-47.7K0.5972.21122728,5855,809
2011-06-15$20.50$20.0046.4%13.3%37.0%0.0%46.1%2.3%1.4%101.5K-1.1M-47.8K0.0973.397778,5925,802
2011-06-16$19.43$20.0050.0%14.3%37.6%0.0%55.2%5.2%1.0%58.7K1.3M-43.6K9.5759.682852,7278,5915,807
2011-06-17$18.99$20.0054.7%15.7%37.1%0.0%45.8%8.3%-4.2%7.7K2.9M-44.3K4.5660.211125118,7257,235
2011-06-20$19.40$20.0055.9%16.0%37.8%0.0%53.6%3.1%-0.9%23.9K1.3M-44.9K4.6060.66753457,3716,728
2011-06-21$20.71$20.0053.1%15.2%44.5%0.0%47.1%13.3%1.1%88.2K-1.4M-48.9K0.1964.968681677,4236,784
2011-06-22$20.71$20.0052.0%14.9%44.4%0.0%48.0%8.1%0.6%118.2K-2.2M-51.8K0.1568.81338508,0616,795
2011-06-23$20.51$20.0049.1%14.1%44.5%0.0%56.6%9.9%1.8%104.8K-1.3M-49.6K1.6470.471542528,0946,811
2011-06-24$20.68$20.0047.4%13.6%44.6%0.0%46.7%3.2%6.3%131.8K-2.0M-49.3K0.3281.4838128,2296,613
2011-06-27$21.10$20.0049.7%14.3%44.2%0.0%44.2%9.5%2.6%167.3K-2.9M-49.5K0.0972.272328,2646,625
2011-06-28$21.77$20.0041.9%12.0%45.5%0.0%42.0%8.5%6.1%220.7K-4.7M-49.7K0.2671.057612008,2646,625
2011-06-29$21.73$20.0038.9%11.2%40.8%0.0%40.3%10.9%7.5%217.1K-4.7M-49.5K0.0668.60504328,0156,682
2011-06-30$20.82$20.0044.9%12.9%43.9%0.0%41.0%0.6%3.9%143.2K-2.1M-47.2K1.6173.87711147,8506,634