CALX Options History — August 2013

In August 2013, CALX traded between $11.72 and $12.96. ATM implied volatility averaged 44.4%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 8.1% (HV 20d: 36.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 3.31.

Notable Days

  • 2013-08-30: Highest Volume — 734 contracts
  • 2013-08-29: Largest IV spike — 16.5% change
  • 2013-08-30: Highest IV Rank — 36.5%
  • 2013-08-30: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.54$11.72$12.96$11.72$12.85
Max Pain$11.14$10.00$12.50$10.00$12.50
ATM IV44.4%38.2%57.3%42.2%57.3%
Expected Move12.8%11.2%16.4%12.1%16.4%
HV 20d36.3%33.0%41.0%35.3%34.2%
HV 60d36.6%32.9%40.4%36.9%33.1%
IV Rank18.9%10.5%36.5%15.9%36.5%
IV Percentile19.6%6.7%65.9%8.3%65.9%
Term Structure1.3%-6.5%4.5%2.1%-6.5%
VWIV44.9%33.0%56.9%42.3%56.9%
Skew 25d0.4%-11.5%15.2%-6.1%-2.9%
Skew 10d0.4%-17.8%15.7%-4.8%-4.4%
Call IV 25d38.3%30.5%52.9%42.3%52.9%
Put IV 25d38.7%31.9%50.6%36.2%50.0%
Bid-Ask Spread %17.168.9087.7815.9215.56
Gamma HHI0.540.380.640.470.64
Net GEX45.9K21.8K66.8K36.6K66.8K
Net DEX-2.0M-2.7M-1.4M-1.5M-2.7M
Net VEX-3.5K-4.6K-2.9K-3.6K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.310.0050.000.000.10
Total Volume151.591073424734
Total OI2,749.9092,1443,6212,5323,621

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$11.72$10.0042.2%12.1%35.3%15.9%42.3%-6.1%2.1%36.6K-1.5M-3.6K0.0015.922402,283249
2013-08-02$12.30$10.0039.0%11.2%38.2%11.6%39.0%0.6%4.5%41.8K-1.8M-3.4K0.1814.31125222,287249
2013-08-05$12.44$10.0041.4%12.4%37.3%14.9%33.0%-11.2%2.1%47.8K-2.0M-3.4K0.1011.65104102,380271
2013-08-06$12.18$10.0038.2%12.1%38.0%10.5%0.0%-11.5%2.5%43.2K-1.8M-3.4K50.0017.1021002,306281
2013-08-07$12.88$10.0042.4%12.7%41.0%16.1%0.0%-4.0%0.4%41.1K-2.2M-3.2K0.1212.433442,306292
2013-08-08$12.96$10.0041.6%12.4%35.1%15.1%0.0%-2.7%1.2%41.2K-2.2M-3.1K13.3315.153402,283292
2013-08-09$12.82$10.0039.9%12.2%33.4%12.8%0.0%-4.9%2.3%43.2K-2.1M-3.2K0.0014.24002,280312
2013-08-12$12.85$10.0040.0%12.6%33.0%12.9%0.0%-4.2%0.2%47.5K-2.1M-3.1K0.0011.482002,280312
2013-08-13$12.82$10.0044.0%11.7%33.1%18.4%0.0%-3.4%4.2%49.2K-2.1M-3.1K0.0016.56002,290312
2013-08-14$12.45$10.0046.8%11.4%35.3%22.1%0.0%3.1%4.0%56.7K-1.9M-3.1K0.0913.2510292,290312
2013-08-15$12.01$10.0041.9%12.0%36.9%15.5%40.3%-0.8%2.5%39.7K-1.4M-2.9K0.0012.215702,148303
2013-08-16$12.04$10.0042.3%12.1%35.8%16.0%42.3%-1.9%2.0%40.6K-1.4M-2.9K1.889.24641202,173303
2013-08-19$12.06$12.5042.7%12.2%35.7%16.6%0.0%-0.9%1.6%21.8K-1.4M-3.0K0.009.6928401,874270
2013-08-20$12.45$12.5043.0%12.3%37.1%17.1%0.0%2.9%3.4%25.9K-1.7M-3.2K0.0013.723002,044270
2013-08-21$12.46$12.5044.8%12.8%37.1%19.4%44.8%5.1%1.5%26.1K-1.7M-3.3K0.0211.24537112,070270
2013-08-22$12.65$12.5047.6%13.6%37.2%23.2%47.6%7.4%-1.0%44.2K-2.1M-3.9K0.088.90439342,569280
2013-08-23$12.92$12.5047.6%13.7%36.2%23.3%47.6%-0.5%-1.1%58.2K-2.6M-4.4K0.3619.2728102,972312
2013-08-26$12.89$12.5045.8%13.1%35.7%20.8%0.0%13.2%2.9%59.7K-2.6M-4.3K0.0087.782602,964322
2013-08-27$12.56$12.5048.6%13.9%37.3%24.7%0.0%6.9%0.3%58.9K-2.3M-4.3K0.009.93702,960322
2013-08-28$12.69$12.5046.3%13.3%37.3%21.4%45.7%8.6%1.6%62.2K-2.4M-4.2K0.0011.122502,960322
2013-08-29$12.94$12.5053.9%15.4%37.7%31.8%53.8%15.2%-2.8%56.7K-2.6M-4.2K0.0226.8432462,980322
2013-08-30$12.85$12.5057.3%16.4%34.2%36.5%56.9%-2.9%-6.5%66.8K-2.7M-4.6K0.1015.56668663,293328