CALX Options History — August 2011

In August 2011, CALX traded between $12.92 and $17.90. ATM implied volatility averaged 64.7%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded below realized volatility by 14.2% (HV 20d: 78.9%). 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 12 of 23 days. Put/call ratio averaged 4.12.

Notable Days

  • 2011-08-04: Highest Volume — 5,614 contracts
  • 2011-08-04: Largest IV spike — 62.6% change
  • 2011-08-10: Highest IV Rank — 55.0%
  • 2011-08-08: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.79$12.92$17.90$17.90$14.78
Max Pain$19.24$17.50$20.00$17.50$17.50
ATM IV64.7%42.3%79.9%42.3%58.5%
Expected Move18.2%12.1%21.1%12.1%16.8%
HV 20d78.9%47.4%97.1%47.4%97.0%
HV 60d58.4%45.1%67.3%45.9%67.3%
IV Rank41.0%30.6%55.0%47.5%30.6%
IV Percentile80.6%62.0%97.6%92.1%62.0%
Term Structure-0.1%-11.4%5.8%5.8%4.1%
VWIV63.0%40.7%77.2%42.2%45.1%
Skew 25d4.4%-2.3%17.9%9.4%16.8%
Skew 10d10.1%-6.8%35.1%18.8%28.2%
Call IV 25d61.8%39.5%73.3%40.7%45.3%
Put IV 25d66.2%48.7%77.2%50.1%62.1%
Bid-Ask Spread %47.6218.8071.7623.4158.35
Gamma HHI0.270.210.450.380.23
Net GEX58.9K12.8K221.6K221.6K32.7K
Net DEX2.3M-68.8K4.2M-68.8K2.0M
Net VEX-20.0K-31.9K-13.1K-31.9K-17.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.120.0060.000.730.00
Total Volume783.47835,614664350
Total OI15,041.30412,10717,37316,40712,702

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$17.90$17.5042.3%12.1%47.4%0.0%42.2%9.4%5.8%221.6K-68.8K-31.9K0.7323.4138428011,8804,527
2011-08-02$17.02$17.5046.1%13.2%49.3%0.0%40.7%9.2%2.4%169.9K1.7M-28.6K0.4718.803,7691,76111,9844,617
2011-08-03$17.07$17.5043.6%12.5%48.6%0.0%44.7%4.3%3.8%211.4K243.8K-28.9K0.1619.113215013,0563,942
2011-08-04$14.94$17.5071.0%20.3%64.6%0.0%74.0%-1.6%-11.4%79.2K2.5M-21.3K0.1027.295,09851613,0824,056
2011-08-05$14.97$20.0074.3%17.8%64.9%0.0%66.3%2.1%1.1%43.0K2.6M-22.5K0.0447.791,0594710,9764,449
2011-08-08$13.63$20.0079.9%21.1%69.7%0.0%73.0%1.2%-5.3%23.4K3.3M-17.4K1.8352.9719135010,7894,451
2011-08-09$14.25$20.0071.6%19.3%73.5%47.5%77.2%16.3%-4.0%15.0K3.6M-17.1K17.8061.7058910,9334,479
2011-08-10$14.24$20.0077.4%20.0%71.0%55.0%70.2%-0.7%-4.4%19.7K3.1M-19.1K0.0050.09708110,9374,541
2011-08-11$15.64$20.0065.1%18.7%81.7%39.1%65.3%5.0%2.3%46.3K1.8M-25.7K0.6155.111,08365911,4374,542
2011-08-12$15.90$20.0064.4%18.5%82.3%38.2%66.7%2.4%-0.6%88.1K316.9K-27.7K0.0058.6404712,4874,797
2011-08-15$16.14$20.0064.0%18.3%83.0%37.7%72.7%3.8%2.2%96.2K64.2K-26.6K0.2860.7725712,4874,782
2011-08-16$15.53$20.0066.7%19.1%80.7%41.2%0.0%4.7%-1.1%78.7K855.0K-24.7K0.3057.1610312,4724,789
2011-08-17$15.50$20.0066.2%19.0%80.6%40.5%66.1%2.3%-0.5%75.9K1.2M-22.7K60.0059.23318012,4734,787
2011-08-18$13.65$20.0068.7%19.7%88.6%43.8%67.7%-1.7%-2.6%28.1K4.0M-16.5K1.4754.019213512,4074,871
2011-08-19$12.92$20.0071.6%20.5%86.8%47.6%0.0%0.6%-2.3%14.9K4.2M-13.9K1.3843.24294012,4334,940
2011-08-22$12.99$20.0071.1%20.4%87.4%46.9%69.5%0.9%-2.0%13.4K3.1M-13.2K1.0051.1511118,1343,973
2011-08-23$13.15$20.0067.6%19.4%88.2%42.3%66.4%-1.3%1.6%13.1K3.1M-13.1K2.0050.24128,1423,982
2011-08-24$14.00$20.0065.2%18.7%90.9%39.3%65.2%2.4%-0.2%17.7K2.9M-15.2K0.0738.161518,1433,967
2011-08-25$13.19$20.0066.4%19.0%92.1%40.8%67.6%-2.3%1.0%13.4K3.1M-13.3K0.0051.07708,1473,967
2011-08-26$13.45$20.0066.0%18.9%92.8%40.3%62.1%4.8%0.7%12.8K3.2M-13.1K2.4038.4625608,1493,967
2011-08-29$14.36$17.5060.4%17.3%97.0%33.0%61.1%4.4%2.5%18.9K2.9M-14.7K0.0046.681408,1723,967
2011-08-30$14.85$17.5060.0%17.2%97.1%32.6%59.3%17.9%3.7%21.6K2.6M-15.9K0.0871.76539428,1683,967
2011-08-31$14.78$17.5058.5%16.8%97.0%30.6%45.1%16.8%4.1%32.7K2.0M-17.5K0.0058.3535008,6974,005