CALX Options History — July 2011 In July 2011, CALX traded between $18.25 and $22.02. ATM implied volatility averaged 45.7%. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 1.2% (HV 20d: 44.4%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 2.69.
Notable Days 2011-07-07 : Highest Volume — 3,719 contracts2011-07-11 : Largest IV spike — 31.3% change2011-07-18 : Largest Expected Move — 15.4%Monthly Statistics Metric Avg Min Max Open Close Price $20.69 $18.25 $22.02 $21.46 $18.34 Max Pain $20.38 $17.50 $22.50 $20.00 $17.50 ATM IV 45.7% 34.8% 53.6% 37.9% 40.5% Expected Move 13.6% 10.9% 15.4% 10.9% 11.6% HV 20d 44.4% 36.4% 50.5% 45.1% 49.0% HV 60d 44.1% 42.7% 47.3% 42.7% 45.7% Term Structure 2.0% -1.7% 8.2% 8.2% 7.2% VWIV 47.3% 38.3% 52.8% 38.3% 40.4% Skew 25d 6.2% 1.2% 11.2% 4.3% 1.2% Skew 10d 12.3% -2.4% 26.1% 4.4% 5.0% Call IV 25d 45.5% 38.0% 51.3% 38.0% 38.6% Put IV 25d 51.7% 39.8% 57.3% 42.4% 39.8% Bid-Ask Spread % 56.81 23.52 84.98 71.69 28.93 Gamma HHI 0.43 0.29 0.64 0.57 0.29 Net GEX 157.0K 67.2K 306.3K 208.3K 165.6K Net DEX -2.4M -5.7M 1.8M -3.3M 410.5K Net VEX -38.7K -47.2K -31.7K -47.2K -32.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.69 0.00 45.49 0.00 0.01 Total Volume 977 32 3,719 32 1,422 Total OI 12,908.65 9,845 15,156 14,524 15,156
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 Vol Put Vol Call OI Put OI 2011-07-01 $21.46 $20.00 37.9% 10.9% 45.1% 0.0% 38.3% 4.3% 8.2% 208.3K -3.3M -47.2K 0.00 71.69 32 0 7,891 6,633 2011-07-05 $21.57 $22.50 34.8% 13.6% 43.4% 0.0% 51.4% 7.0% 1.0% 244.0K -3.7M -45.9K 0.00 73.26 68 0 7,900 6,633 2011-07-06 $21.89 $22.50 39.8% 13.3% 43.2% 0.0% 49.6% 7.7% 2.1% 253.3K -4.6M -46.3K 0.12 73.61 416 50 7,921 6,633 2011-07-07 $21.83 $20.00 39.8% 13.9% 43.0% 0.0% 48.4% 7.6% 1.3% 254.2K -4.8M -46.4K 45.49 73.79 80 3,639 8,006 6,619 2011-07-08 $21.71 $20.00 37.6% 13.3% 42.0% 0.0% 0.0% 8.0% 3.4% 306.3K -5.7M -37.1K 0.00 79.62 94 0 7,939 4,748 2011-07-11 $20.80 $20.00 49.4% 14.6% 44.8% 0.0% 48.3% 2.9% 1.2% 179.3K -3.6M -33.9K 0.38 77.33 65 25 7,886 4,743 2011-07-12 $20.57 $20.00 50.7% 14.8% 45.0% 0.0% 52.8% 3.1% 1.3% 158.1K -3.2M -33.1K 0.10 75.01 51 5 7,876 4,732 2011-07-13 $21.32 $20.00 49.3% 13.7% 45.9% 0.0% 48.3% 4.5% 2.2% 243.8K -4.6M -34.0K 1.21 70.12 674 816 7,850 4,735 2011-07-14 $20.97 $20.00 53.5% 15.3% 46.3% 0.0% 52.6% 8.8% -1.4% 102.2K -3.3M -35.5K 2.09 75.33 700 1,464 8,147 5,365 2011-07-15 $20.98 $20.00 51.3% 14.7% 41.6% 0.0% 0.0% 4.5% 2.0% 81.5K -2.8M -39.7K 1.21 76.43 87 105 8,393 6,175 2011-07-18 $20.75 $20.00 53.6% 15.4% 40.8% 0.0% 51.0% 6.4% -0.5% 67.2K -1.0M -38.4K 0.12 33.27 461 57 5,844 4,001 2011-07-19 $21.67 $20.00 48.8% 14.0% 42.7% 0.0% 46.7% 8.9% 0.6% 90.7K -2.6M -40.4K 0.64 30.50 214 136 6,083 3,976 2011-07-20 $21.73 $20.00 51.3% 14.7% 36.4% 0.0% 52.6% 8.7% -1.7% 92.6K -2.8M -41.4K 0.07 31.09 139 10 6,163 3,986 2011-07-21 $22.02 $20.00 49.5% 14.2% 36.6% 0.0% 49.9% 5.3% -1.4% 100.1K -3.5M -41.8K 0.15 26.91 1,750 257 6,244 3,987 2011-07-22 $20.30 $22.50 45.6% 13.1% 47.2% 0.0% 41.7% 7.0% 1.0% 131.6K -1.0M -38.8K 0.26 84.98 1,033 272 7,598 4,157 2011-07-25 $19.82 $22.50 45.9% 13.2% 47.8% 0.0% 46.1% 7.4% 1.9% 130.4K -657.5K -38.4K 0.09 78.25 501 43 8,357 4,336 2011-07-26 $19.53 $20.00 40.5% 11.6% 47.2% 0.0% 40.4% 3.3% 5.4% 110.8K 7.3K -37.2K 0.02 28.29 2,581 63 8,462 4,376 2011-07-27 $18.25 $20.00 47.7% 13.7% 50.4% 0.0% 46.3% 6.6% 2.9% 117.7K 1.3M -33.1K 1.80 24.26 315 568 9,831 4,412 2011-07-28 $18.28 $20.00 45.8% 13.1% 50.5% 0.0% 45.7% 11.2% 4.1% 103.1K 1.8M -31.7K 0.00 23.52 1,347 0 9,765 4,614 2011-07-29 $18.34 $17.50 40.5% 11.6% 49.0% 0.0% 40.4% 1.2% 7.2% 165.6K 410.5K -32.9K 0.01 28.93 1,403 19 10,648 4,508
« Jun 2011 | All History | Aug 2011 » Home CALX History July 2011