CALX Options History — May 2013

In May 2013, CALX traded between $8.21 and $10.53. ATM implied volatility averaged 41.4%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 6.8% (HV 20d: 48.3%). 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 11 of 22 days. Put/call ratio averaged 0.05.

Notable Days

  • 2013-05-03: Highest Volume — 526 contracts
  • 2013-05-16: Largest IV spike — 33.2% change
  • 2013-05-29: Highest IV Rank — 27.5%
  • 2013-05-29: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.39$8.21$10.53$8.21$10.48
Max Pain$7.84$7.50$10.00$10.00$7.50
ATM IV41.4%30.6%50.7%50.2%50.0%
Expected Move13.6%8.8%14.5%14.4%14.3%
HV 20d48.3%40.8%55.9%52.7%46.8%
HV 60d42.1%38.8%47.4%46.9%45.4%
IV Rank14.8%0.0%27.5%25.7%26.5%
IV Percentile10.1%0.0%25.4%14.3%20.6%
Term Structure1.7%-4.1%17.9%5.1%0.1%
VWIV46.1%32.1%50.7%32.1%50.7%
Skew 25d5.7%-14.1%14.2%13.4%12.5%
Skew 10d10.8%-6.9%31.7%31.7%14.7%
Call IV 25d42.8%33.1%51.7%37.5%36.0%
Put IV 25d48.5%36.2%57.1%50.9%48.5%
Bid-Ask Spread %20.1010.1955.6122.1116.19
Gamma HHI0.490.300.550.300.51
Net GEX12.1K5.3K18.3K5.3K18.3K
Net DEX-693.5K-988.4K-426.1K-491.2K-981.0K
Net VEX-3.2K-3.9K-2.8K-3.2K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.000.280.000.00
Total Volume58.727052600
Total OI2,271.2272,0272,8722,5672,098

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$8.21$10.0050.2%14.4%52.7%25.7%0.0%13.4%5.1%5.3K-491.2K-3.2K0.0022.11001,944623
2013-05-02$8.62$10.0035.8%10.3%55.4%5.7%0.0%3.1%17.9%7.8K-594.5K-3.3K0.0013.171401,944623
2013-05-03$8.93$10.0030.6%8.8%55.9%0.0%32.1%5.3%17.9%9.4K-694.3K-3.3K0.0310.19511151,958623
2013-05-06$8.95$7.5032.0%13.6%55.6%2.0%0.0%6.3%1.8%11.9K-772.1K-3.9K0.0019.060102,249623
2013-05-07$9.01$7.5032.7%13.8%54.0%3.0%0.0%8.3%2.5%8.3K-679.9K-3.1K0.0017.77001,750633
2013-05-08$9.19$7.5031.6%14.0%51.9%1.5%0.0%9.7%1.1%8.8K-712.8K-3.0K0.0017.58001,750633
2013-05-09$9.06$7.5031.4%13.7%50.4%1.1%0.0%7.7%-2.3%8.6K-690.2K-3.0K0.0014.751501,750633
2013-05-10$9.33$7.5030.9%13.9%51.1%0.5%0.0%11.5%-0.6%9.7K-751.1K-3.0K0.0022.17501,765633
2013-05-13$9.35$7.5032.1%14.2%45.4%2.1%0.0%9.4%-0.2%9.6K-777.6K-3.1K0.0024.21001,770633
2013-05-14$9.46$7.5032.6%14.4%44.7%2.9%0.0%12.3%-2.4%10.2K-808.8K-3.1K0.0024.291901,770633
2013-05-15$9.51$7.5035.5%14.3%41.0%6.8%0.0%12.9%-4.1%10.8K-533.2K-3.0K0.0122.4812211,483633
2013-05-16$9.56$7.5047.3%13.6%40.8%22.9%47.3%-1.6%1.9%13.0K-610.8K-3.1K0.1312.986381,558622
2013-05-17$9.64$7.5045.3%13.0%40.8%20.1%45.3%-0.0%2.6%14.9K-628.9K-3.2K0.2813.6375211,581626
2013-05-20$9.48$7.5048.3%13.9%41.2%24.3%0.0%2.2%0.2%13.9K-648.4K-3.2K0.0055.612101,566461
2013-05-21$9.38$7.5047.9%13.7%41.5%23.7%0.0%-6.2%-1.9%13.7K-587.0K-3.1K0.0015.103001,567461
2013-05-22$8.93$7.5049.9%14.3%45.9%26.4%50.4%-14.1%-1.4%11.8K-460.2K-2.9K0.0015.26201,567461
2013-05-23$8.88$7.5049.0%14.1%44.8%25.2%0.0%4.6%-0.7%11.3K-426.1K-2.8K0.0026.37001,568461
2013-05-24$9.69$7.5048.5%13.9%51.2%24.5%48.5%6.4%-0.0%14.8K-666.3K-3.1K0.0014.677501,568461
2013-05-28$10.25$7.5048.7%14.0%51.6%24.8%48.7%5.3%2.1%17.9K-890.3K-3.2K0.0413.5519981,624461
2013-05-29$10.12$7.5050.7%14.5%50.4%27.5%50.7%1.2%-2.2%18.3K-864.1K-3.2K0.2238.1460131,638469
2013-05-30$10.53$7.5050.6%14.5%48.4%27.4%0.0%14.2%-0.9%17.9K-988.4K-3.2K0.0012.97501,621472
2013-05-31$10.48$7.5050.0%14.3%46.8%26.5%0.0%12.5%0.1%18.3K-981.0K-3.2K0.0016.19001,626472