CALX Options History — July 2013

In July 2013, CALX traded between $10.02 and $12.14. ATM implied volatility averaged 51.4%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 18.0% (HV 20d: 33.4%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2013-07-25: Highest Volume — 626 contracts
  • 2013-07-31: Largest IV drop — 33.9% change
  • 2013-07-30: Highest IV Rank — 47.9%
  • 2013-07-30: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.22$10.02$12.14$10.30$11.68
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV51.4%42.5%65.6%44.0%43.4%
Expected Move15.4%12.2%18.8%12.6%12.4%
HV 20d33.4%25.6%39.3%25.6%35.3%
HV 60d40.9%36.9%44.1%44.0%36.9%
IV Rank28.4%16.4%47.9%18.4%17.5%
IV Percentile36.4%9.1%75.8%11.9%10.3%
Term Structure-1.7%-13.9%15.8%10.5%-0.4%
VWIV54.7%40.7%65.9%57.1%43.8%
Skew 25d9.3%-8.5%60.1%9.9%-7.5%
Skew 10d20.9%-10.4%111.8%14.1%-5.3%
Call IV 25d47.2%34.7%57.3%34.7%43.3%
Put IV 25d56.5%35.8%97.0%44.5%35.8%
Bid-Ask Spread %14.458.1822.688.1818.64
Gamma HHI0.490.430.590.540.47
Net GEX26.9K19.9K37.7K23.3K37.7K
Net DEX-1.5M-2.2M-1.0M-1.1M-1.6M
Net VEX-3.6K-3.8K-3.3K-3.6K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.0015.000.000.04
Total Volume114.364062625272
Total OI2,610.0912,2593,1472,4702,643

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$10.30$10.0044.0%12.6%25.6%18.4%0.0%9.9%10.5%23.3K-1.1M-3.6K0.008.182501,955515
2013-07-02$10.08$10.0044.7%12.8%26.2%19.3%0.0%6.9%9.8%23.4K-1.0M-3.5K0.009.831401,980515
2013-07-03$10.17$10.0042.5%12.2%26.1%16.4%0.0%60.1%15.8%24.4K-1.0M-3.5K0.009.948501,966515
2013-07-05$10.30$10.0043.2%16.3%25.7%17.3%0.0%-3.4%-1.9%25.8K-1.1M-3.7K0.0013.49002,051515
2013-07-08$10.16$10.0043.7%16.4%26.1%18.0%57.1%-7.3%-2.1%26.8K-1.1M-3.5K0.008.650102,051515
2013-07-09$10.02$10.0045.0%16.2%26.5%19.7%56.5%-8.5%-2.1%26.8K-1.0M-3.5K0.2515.09138352,051525
2013-07-10$10.30$10.0044.9%16.2%28.3%19.6%0.0%-1.4%-2.1%28.6K-1.2M-3.8K0.0016.11002,188560
2013-07-11$11.02$10.0055.9%16.0%37.1%34.6%55.9%5.3%-2.5%20.7K-1.7M-3.6K0.009.372702,188560
2013-07-12$11.49$10.0054.0%15.5%39.3%32.0%54.7%10.5%-1.7%19.9K-1.8M-3.5K0.1012.30203202,185560
2013-07-15$11.39$10.0054.6%15.6%38.9%32.8%0.0%9.9%-2.3%23.5K-1.8M-3.7K0.0012.366602,348560
2013-07-16$11.41$10.0055.7%16.0%38.3%34.4%57.4%10.0%-3.4%25.5K-1.9M-3.6K15.0014.714602,407560
2013-07-17$11.43$10.0054.0%15.5%36.9%32.0%0.0%9.6%-3.2%24.9K-1.8M-3.6K0.0010.10202,411584
2013-07-18$11.76$10.0051.4%14.7%38.0%28.5%51.4%9.9%0.5%26.2K-2.0M-3.6K0.0016.9317802,401573
2013-07-19$12.05$10.0051.6%14.8%37.8%28.7%51.6%13.2%-0.4%36.9K-2.2M-3.8K0.7822.6832252,574573
2013-07-22$12.14$10.0053.4%15.3%34.9%31.2%53.4%15.0%-3.4%27.4K-1.7M-3.6K0.3320.212792,083197
2013-07-23$11.98$10.0052.4%15.0%34.6%29.9%58.4%11.4%-2.8%28.0K-1.7M-3.6K0.0019.2019602,110206
2013-07-24$11.96$10.0055.6%15.9%34.7%34.2%55.7%17.0%-7.4%27.4K-1.6M-3.5K0.5712.1630172,053206
2013-07-25$12.12$10.0056.1%16.1%34.8%34.9%40.7%13.5%-6.0%27.4K-1.7M-3.5K0.0019.3062512,058216
2013-07-26$11.81$10.0053.8%15.4%36.7%31.7%53.8%9.0%-4.7%33.1K-1.9M-3.8K0.0019.560222,413217
2013-07-29$11.65$10.0064.8%18.6%36.9%46.7%64.7%8.5%-13.9%26.6K-1.5M-3.3K0.0015.753002,063239
2013-07-30$11.72$10.0065.6%18.8%36.6%47.9%65.9%13.1%-13.1%27.5K-1.5M-3.3K0.0013.4636302,093239
2013-07-31$11.68$10.0043.4%12.4%35.3%17.5%43.8%-7.5%-0.4%37.7K-1.6M-3.6K0.0418.64262102,404239