CALX Options History — March 2012

In March 2012, CALX traded between $8.50 and $9.58. ATM implied volatility averaged 53.1%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 12.9% (HV 20d: 66.0%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.37.

Notable Days

  • 2012-03-13: Highest Volume — 566 contracts
  • 2012-03-07: Largest IV drop — 35.1% change
  • 2012-03-23: Highest IV Rank — 48.7%
  • 2012-03-23: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.03$8.50$9.58$9.51$8.53
Max Pain$7.73$7.50$10.00$10.00$7.50
ATM IV53.1%37.8%65.2%59.4%44.1%
Expected Move16.7%12.6%18.7%17.0%12.6%
HV 20d66.0%44.9%113.9%113.9%44.9%
HV 60d85.0%80.3%89.9%89.9%80.4%
IV Rank29.3%4.7%48.7%39.3%14.8%
IV Percentile32.3%0.8%64.3%45.2%7.9%
Term Structure3.5%-1.4%12.3%1.7%12.3%
VWIV57.3%40.5%67.8%49.9%40.6%
Skew 25d-2.3%-28.0%8.3%2.5%-28.0%
Skew 10d8.4%-21.4%65.0%8.7%-21.4%
Call IV 25d59.9%51.8%67.2%53.8%65.4%
Put IV 25d57.6%37.4%67.8%56.3%37.4%
Bid-Ask Spread %28.9411.2679.8811.2628.54
Gamma HHI0.350.290.420.290.41
Net GEX12.2K8.4K17.5K9.4K14.6K
Net DEX-904.5K-1.3M-651.6K-782.7K-1.0M
Net VEX-3.7K-4.4K-2.7K-3.0K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.003.250.022.80
Total Volume73.40905666419
Total OI3,487.4093,2533,8563,2533,689

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$9.51$10.0059.4%17.0%113.9%39.3%49.9%2.5%1.7%9.4K-782.7K-3.0K0.0211.266311,9471,306
2012-03-02$9.58$10.0058.3%16.7%113.9%37.6%58.3%6.6%1.5%10.4K-839.0K-3.0K3.2518.954131,9771,307
2012-03-05$9.55$7.5057.9%17.3%109.5%37.0%60.2%8.3%2.9%9.4K-795.6K-3.0K0.0479.884821,9771,318
2012-03-06$9.15$7.5058.2%18.0%108.8%37.4%63.6%-1.8%1.4%9.0K-701.6K-3.1K0.0033.46201,9931,318
2012-03-07$8.94$7.5037.8%17.4%108.9%4.7%0.0%-0.9%3.9%8.4K-651.6K-2.9K0.0031.61001,9951,318
2012-03-08$9.08$7.5038.5%17.8%64.0%5.8%62.6%3.8%-0.5%8.7K-677.3K-2.9K0.0027.671201,9951,318
2012-03-09$9.48$7.5040.0%16.6%55.2%8.2%0.0%2.5%5.5%10.0K-776.3K-2.9K0.0037.78001,9971,318
2012-03-12$9.15$7.5043.0%17.6%55.8%13.1%0.0%-4.9%1.0%9.0K-694.4K-2.7K0.0032.76501,9971,318
2012-03-13$9.29$7.5046.1%17.3%56.7%18.1%62.7%-0.8%4.3%9.3K-721.0K-2.7K0.0238.03556102,0021,318
2012-03-14$9.17$7.5051.3%17.6%56.2%26.4%62.0%0.9%0.3%12.2K-945.5K-4.0K0.0035.117002,4991,318
2012-03-15$9.13$7.5059.3%17.0%56.2%39.3%40.5%-0.4%2.9%12.7K-934.8K-4.0K0.0034.640102,5281,318
2012-03-16$8.91$7.5059.7%17.1%55.9%39.9%60.4%-0.5%1.8%12.1K-847.9K-4.0K0.1016.64102102,5281,328
2012-03-19$9.00$7.5056.2%16.1%56.5%34.3%57.1%3.5%1.8%12.7K-956.6K-4.1K0.0023.457502,0721,210
2012-03-20$8.82$7.5056.8%16.3%52.5%35.2%57.8%5.0%3.6%11.9K-905.0K-4.1K0.0023.6012502,0651,210
2012-03-21$8.73$7.5061.8%17.7%50.6%43.1%0.0%4.0%5.8%12.2K-878.7K-4.0K0.0025.4931002,0841,210
2012-03-22$8.50$7.5061.0%17.5%47.6%41.9%0.0%2.6%6.1%14.7K-989.8K-4.4K0.0017.88002,3941,210
2012-03-23$8.52$7.5065.2%18.7%45.6%48.7%0.0%5.6%2.7%14.7K-989.8K-4.3K0.0019.1315702,3941,210
2012-03-26$9.10$7.5055.5%15.9%52.7%33.1%58.5%-11.9%5.8%16.9K-1.2M-4.4K0.0013.89902,4731,210
2012-03-27$9.25$7.5057.5%16.5%52.1%36.4%0.0%-1.4%2.8%17.5K-1.3M-4.3K0.0027.88102,4731,210
2012-03-28$8.79$7.5052.5%15.1%48.7%28.3%67.8%-18.6%-1.4%17.2K-1.2M-4.3K0.0028.500102,4731,210
2012-03-29$8.58$7.5048.3%13.8%45.2%21.6%0.0%-25.7%10.0%16.0K-1.1M-4.1K0.0030.45102,4731,215
2012-03-30$8.53$7.5044.1%12.6%44.9%14.8%40.6%-28.0%12.3%14.6K-1.0M-4.3K2.8028.545142,4741,215