CALX Options History — April 2013

In April 2013, CALX traded between $8.00 and $8.98. ATM implied volatility averaged 53.3%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded above realized volatility by 16.8% (HV 20d: 36.5%). 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 7 of 22 days. Put/call ratio averaged 0.27.

Notable Days

  • 2013-04-26: Highest Volume — 345 contracts
  • 2013-04-11: Largest IV spike — 67.5% change
  • 2013-04-25: Highest IV Rank — 56.2%
  • 2013-04-25: Largest Expected Move — 20.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.28$8.00$8.98$8.10$8.53
Max Pain$7.73$7.50$10.00$7.50$10.00
ATM IV53.3%31.7%72.8%53.7%31.7%
Expected Move16.5%9.1%20.9%15.4%9.1%
HV 20d36.5%18.5%50.7%32.4%50.7%
HV 60d41.8%38.5%46.3%39.0%46.3%
IV Rank28.9%0.0%56.2%29.4%0.0%
IV Percentile27.1%0.0%71.8%24.6%0.0%
Term Structure0.5%-14.9%26.1%6.2%19.9%
VWIV60.1%39.0%71.8%63.0%49.5%
Skew 25d3.5%-4.0%25.8%-4.0%-1.3%
Skew 10d15.0%-2.4%78.8%1.1%-2.4%
Call IV 25d56.0%32.8%74.0%60.2%33.3%
Put IV 25d59.5%32.0%72.5%56.3%32.0%
Bid-Ask Spread %19.5310.4729.1721.3110.47
Gamma HHI0.350.290.450.310.39
Net GEX5.8K1.9K10.3K1.9K7.5K
Net DEX-645.1K-912.4K-500.2K-509.8K-577.5K
Net VEX-3.1K-3.4K-2.6K-2.6K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.001.130.201.00
Total Volume82.773034524017
Total OI2,5552,1362,8422,2762,550

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$8.10$7.5053.7%15.4%32.4%29.4%0.0%-4.0%6.2%1.9K-509.8K-2.6K0.2021.31200401,627649
2013-04-02$8.15$7.5051.8%14.8%32.2%26.7%0.0%-3.7%7.5%2.9K-582.5K-3.1K0.0017.42001,827689
2013-04-03$8.18$7.5042.4%12.1%31.0%13.4%0.0%-2.1%26.1%2.9K-586.4K-3.0K0.0029.17001,827689
2013-04-04$8.24$7.5045.2%13.0%31.2%17.4%0.0%-1.6%22.1%3.3K-600.9K-3.0K0.0027.3610001,827689
2013-04-05$8.07$7.5042.0%17.4%18.5%12.9%0.0%-3.5%-3.5%2.5K-570.7K-3.1K0.0015.84001,906689
2013-04-08$8.24$7.5034.6%17.9%20.6%2.4%0.0%1.1%-4.9%4.3K-652.8K-3.0K0.0016.70001,906689
2013-04-09$8.57$7.5038.1%18.0%25.2%7.3%63.0%6.1%-5.6%6.9K-746.0K-3.1K0.1415.46140201,906689
2013-04-10$8.98$7.5036.2%16.1%30.7%4.7%56.2%7.2%-3.4%9.9K-912.4K-3.4K0.0016.2211101,995709
2013-04-11$8.66$7.5060.7%17.4%32.2%39.2%0.0%1.7%-3.3%7.1K-816.4K-3.1K0.0015.0617901,941709
2013-04-12$8.59$7.5059.1%16.9%32.3%37.0%0.0%-0.2%-3.8%7.7K-824.6K-3.4K0.0016.682002,105709
2013-04-15$8.10$7.5062.5%17.9%38.2%41.8%62.5%1.1%-5.6%4.5K-688.3K-3.1K0.0022.870102,125709
2013-04-16$8.34$7.5061.7%17.7%40.0%40.6%0.0%-0.5%-4.7%6.6K-758.1K-3.2K0.0017.59002,125717
2013-04-17$8.00$7.5065.6%18.8%41.9%46.2%0.0%-2.5%-9.7%3.3K-664.4K-3.1K0.0022.13002,125717
2013-04-18$8.15$7.5064.4%18.5%42.3%44.4%64.3%-1.1%-5.7%4.9K-694.6K-3.0K0.0516.99204112,037717
2013-04-19$8.18$7.5065.3%18.7%41.8%45.7%65.3%3.2%-7.6%7.1K-707.2K-3.0K0.2422.552152,109728
2013-04-22$8.09$7.5063.9%18.3%41.6%43.8%64.4%-1.4%-4.8%6.8K-513.3K-3.1K0.2820.2475211,772364
2013-04-23$8.24$7.5065.2%18.7%42.2%45.5%65.2%25.6%-6.4%7.7K-558.5K-3.1K0.0014.070251,841364
2013-04-24$8.20$7.5064.5%18.5%42.2%44.6%0.0%25.8%-7.0%7.5K-556.3K-3.2K0.0014.27001,841375
2013-04-25$8.00$7.5072.8%20.9%42.9%56.2%71.8%-1.6%-14.9%7.2K-500.2K-3.0K0.2226.82202451,841375
2013-04-26$8.41$7.5042.3%12.1%46.1%13.3%39.0%15.8%16.8%10.3K-669.9K-3.3K1.1323.641621832,032419
2013-04-29$8.13$10.0049.6%14.2%47.8%23.6%49.5%12.3%2.3%5.5K-501.2K-3.2K1.0026.7515151,959591
2013-04-30$8.53$10.0031.7%9.1%50.7%0.0%0.0%-1.3%19.9%7.5K-577.5K-3.2K0.0010.470171,944606