CALX Options History — May 2012

In May 2012, CALX traded between $7.05 and $9.32. ATM implied volatility averaged 75.3%, placing in the 59.5% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded below realized volatility by 22.3% (HV 20d: 97.6%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.13.

Notable Days

  • 2012-05-02: Highest Volume — 2,593 contracts
  • 2012-05-08: Largest IV spike — 23.6% change
  • 2012-05-01: Highest IV Rank — 100.0%
  • 2012-05-01: Largest Expected Move — 29.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.09$7.05$9.32$7.60$8.03
Max Pain$5.34$5.00$7.50$7.50$5.00
ATM IV75.3%63.6%102.8%102.8%68.4%
Expected Move21.6%19.3%29.5%29.5%19.6%
HV 20d97.6%74.2%104.6%78.5%74.2%
HV 60d76.1%73.7%87.3%81.0%74.2%
IV Rank59.5%42.2%100.0%100.0%49.3%
IV Percentile82.5%56.3%100.0%100.0%66.7%
Term Structure-2.8%-26.5%7.5%-26.5%6.6%
VWIV76.7%67.4%102.8%102.8%68.7%
Skew 25d8.5%-10.1%59.9%-10.1%20.9%
Skew 10d25.8%-15.4%113.1%-11.6%41.4%
Call IV 25d69.8%49.3%104.2%104.2%51.0%
Put IV 25d78.3%67.6%111.1%94.2%71.9%
Bid-Ask Spread %36.1615.1985.9125.6921.78
Gamma HHI0.480.370.600.560.47
Net GEX40.9K14.0K61.0K26.4K38.3K
Net DEX-1.7M-3.1M-213.7K-1.2M-1.4M
Net VEX-5.8K-7.3K-4.7K-5.2K-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.000.930.050.00
Total Volume285.90902,59386640
Total OI6,657.8184,8507,7354,8505,967

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$7.60$7.50102.8%29.5%78.5%100.0%102.8%-10.1%-26.5%26.4K-1.2M-5.2K0.0525.69826403,5211,329
2012-05-02$8.92$7.5083.0%23.8%97.7%70.8%84.6%9.0%-8.5%36.3K-2.7M-5.5K0.3522.601,9166774,3271,360
2012-05-03$8.51$7.5075.0%21.5%95.1%59.1%74.9%-4.5%-1.5%52.8K-2.5M-7.3K0.0022.3477315,7911,944
2012-05-04$9.32$5.0073.6%20.9%99.9%57.0%72.4%-3.1%-6.7%50.2K-3.1M-7.1K0.0323.0925685,5191,945
2012-05-07$8.50$5.0063.6%20.8%104.0%42.2%0.0%-0.5%-4.8%48.1K-2.1M-6.8K0.0036.406005,4191,953
2012-05-08$8.94$5.0078.5%21.9%104.6%64.3%76.5%8.1%-10.2%49.4K-2.6M-6.9K0.0035.208705,4361,953
2012-05-09$8.83$5.0084.3%21.6%99.8%72.7%73.1%-3.8%-8.2%48.3K-2.5M-6.8K0.5427.651375,4301,953
2012-05-10$8.51$5.0074.1%21.2%100.7%57.7%73.8%2.2%-2.8%47.5K-2.1M-6.4K0.0039.326005,4401,960
2012-05-11$8.10$5.0072.7%20.8%101.0%55.6%0.0%-7.4%-3.1%49.1K-1.7M-6.3K0.0015.198005,4611,960
2012-05-14$8.14$5.0074.6%21.4%101.0%58.4%0.0%-5.1%-1.3%48.6K-1.8M-6.1K0.0016.593205,5161,960
2012-05-15$7.94$5.0077.0%22.1%101.3%61.9%0.0%-5.7%-2.9%50.1K-1.6M-5.9K0.0017.612705,4971,960
2012-05-16$7.72$5.0078.4%22.5%100.2%64.1%84.4%-9.0%-4.3%56.0K-1.3M-5.7K0.0022.626405,4721,960
2012-05-17$7.46$5.0080.5%23.1%100.6%67.1%67.4%-1.8%-5.9%61.0K-972.4K-5.4K0.0083.911005,4581,950
2012-05-18$7.05$5.0076.4%21.9%101.9%61.1%76.7%-9.1%-0.6%14.0K-213.7K-4.7K0.9382.342332165,4681,950
2012-05-21$7.53$5.0078.2%22.4%104.2%63.7%78.2%19.8%-3.5%21.4K-842.4K-5.0K0.0034.9913803,8381,494
2012-05-22$7.32$5.0072.2%20.7%104.6%54.9%72.1%15.3%-0.2%20.4K-738.2K-4.9K0.0039.0166603,9491,494
2012-05-23$7.68$5.0068.3%19.6%96.4%49.1%68.3%22.3%4.8%33.7K-1.2M-5.3K0.5083.3520104,4711,494
2012-05-24$7.86$5.0069.5%19.9%96.3%51.0%0.0%50.2%3.6%34.8K-1.3M-5.3K0.0017.722404,4711,504
2012-05-25$7.80$5.0068.7%19.7%94.4%49.8%0.0%59.9%4.6%34.7K-1.2M-5.3K0.0085.91014,4611,504
2012-05-29$8.20$5.0070.0%20.1%96.0%51.7%0.0%21.8%2.6%40.3K-1.6M-5.0K0.0020.93504,4611,505
2012-05-30$8.09$5.0067.5%19.3%94.6%48.0%0.0%18.3%7.5%38.6K-1.5M-5.0K0.0021.24004,4621,505
2012-05-31$8.03$5.0068.4%19.6%74.2%49.3%68.7%20.9%6.6%38.3K-1.4M-4.8K0.0021.780404,4621,505