CALX Options History — October 2013

In October 2013, CALX traded between $9.82 and $13.02. ATM implied volatility averaged 53.7%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 15.1% (HV 20d: 38.5%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 3.46.

Notable Days

  • 2013-10-30: Highest Volume — 911 contracts
  • 2013-10-10: Largest IV spike — 39.0% change
  • 2013-10-29: Highest IV Rank — 43.1%
  • 2013-10-29: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.14$9.82$13.02$12.90$10.17
Max Pain$12.07$10.00$12.50$10.00$10.00
ATM IV53.7%39.9%62.1%46.7%51.2%
Expected Move16.0%13.0%17.8%13.4%14.7%
HV 20d38.5%28.8%96.3%33.9%96.3%
HV 60d36.9%32.2%61.3%35.5%60.6%
IV Rank31.6%12.7%43.1%22.0%28.2%
IV Percentile59.6%7.9%87.3%31.0%52.0%
Term Structure-3.7%-9.2%9.9%9.3%-3.1%
VWIV57.4%45.0%69.3%46.7%51.0%
Skew 25d10.7%-13.8%71.0%12.7%16.7%
Skew 10d22.9%-22.6%133.7%14.7%28.7%
Call IV 25d50.4%31.0%64.0%31.0%44.5%
Put IV 25d61.0%40.8%104.7%43.7%61.2%
Bid-Ask Spread %22.929.5680.079.9979.88
Gamma HHI0.510.330.720.450.36
Net GEX14.7K-7.0K48.4K27.4K838
Net DEX-908.6K-2.1M356.5K-1.8M112.0K
Net VEX-2.7K-3.4K-2.1K-2.9K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.460.0032.701.670.63
Total Volume138.435091116610
Total OI2,598.1741,5463,6472,8762,165

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$12.90$10.0046.7%13.4%33.9%22.0%46.7%12.7%9.3%27.4K-1.8M-2.9K1.679.996102,345531
2013-10-02$12.78$10.0047.3%13.6%32.3%22.8%0.0%71.0%9.7%24.7K-1.8M-2.8K0.009.96002,347541
2013-10-03$12.51$10.0045.4%13.0%33.0%20.3%45.0%4.5%9.9%26.4K-1.6M-2.8K1.1812.5517202,347541
2013-10-04$12.64$12.5046.3%15.8%33.3%21.5%55.2%0.9%-3.4%25.5K-1.7M-2.7K0.0013.11502,360561
2013-10-07$12.34$12.5045.4%16.4%30.5%20.3%65.0%7.3%-5.9%25.2K-1.5M-2.6K0.0612.181612,365561
2013-10-08$11.72$12.5045.5%16.6%29.1%20.4%58.2%3.7%-5.9%23.4K-1.1M-2.3K0.2318.0365152,370562
2013-10-09$11.59$12.5039.9%16.3%29.2%12.7%63.3%16.8%-5.6%23.2K-1.1M-2.4K1.259.568102,435571
2013-10-10$11.68$12.5055.4%15.9%28.8%34.0%60.7%3.8%-5.0%14.0K-997.8K-2.1K0.0018.64012,432581
2013-10-11$11.83$12.5055.6%15.9%29.4%34.2%0.0%16.6%-3.2%18.8K-1.1M-2.1K0.0013.4003512,432582
2013-10-14$12.33$12.5058.6%16.8%32.7%38.2%0.0%7.5%-5.3%23.5K-1.4M-2.9K32.7069.11103272,432905
2013-10-15$12.37$12.5057.8%16.6%32.3%37.2%0.0%5.8%-6.9%26.3K-1.4M-3.4K3.5015.0420702,4371,210
2013-10-16$12.40$12.5057.8%16.6%31.2%37.2%57.8%6.3%-5.8%33.7K-1.4M-3.3K13.2515.564532,4381,200
2013-10-17$12.44$12.5056.0%16.1%31.2%34.8%56.0%10.0%-5.1%48.4K-1.3M-3.0K0.0018.670412,3981,150
2013-10-18$13.02$12.5058.6%16.8%35.6%38.3%56.4%7.5%-7.7%9.6K-2.1M-2.7K0.2517.29118302,3981,138
2013-10-21$13.00$12.5058.1%16.7%33.5%37.7%57.9%6.4%-4.4%1.2K-286.0K-2.6K1.3018.063039715831
2013-10-22$12.83$12.5057.6%16.5%33.9%37.0%55.9%-4.8%-5.3%363-244.0K-2.7K0.3312.413010745855
2013-10-23$12.52$12.5058.6%16.8%34.6%38.3%60.3%8.3%-6.9%-679-204.2K-2.7K0.2422.514210770865
2013-10-24$12.21$12.5056.9%16.3%35.6%35.9%0.0%19.3%-6.3%-1.3K-160.1K-2.8K0.0016.1300811875
2013-10-25$11.87$12.5058.9%16.9%36.7%38.7%58.9%16.2%-7.3%-2.5K-76.2K-2.7K0.8016.04108811875
2013-10-28$11.85$12.5061.0%17.5%36.7%41.5%69.3%14.6%-7.6%-2.8K-69.4K-2.7K0.0010.43026817878
2013-10-29$12.50$12.5062.1%17.8%41.6%43.1%62.4%-13.8%-9.2%-518-199.2K-2.6K0.1418.4522931817890
2013-10-30$9.82$12.5053.7%15.4%94.8%31.6%53.7%7.8%-3.7%-7.0K356.5K-2.2K1.3880.07383528957911
2013-10-31$10.17$10.0051.2%14.7%96.3%28.2%51.0%16.7%-3.1%838112.0K-2.5K0.6379.883752351,256909