CALX Options History — May 2014

In May 2014, CALX traded between $7.80 and $8.69. ATM implied volatility averaged 43.2%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 0.2% (HV 20d: 43.5%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 7.66.

Notable Days

  • 2014-05-07: Highest Volume — 160 contracts
  • 2014-05-15: Largest IV drop — 35.4% change
  • 2014-05-13: Highest IV Rank — 82.8%
  • 2014-05-02: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.16$7.80$8.69$8.69$8.16
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV43.2%29.3%70.9%46.5%29.3%
Expected Move11.3%8.4%13.8%13.3%8.4%
HV 20d43.5%36.7%50.0%43.3%36.7%
HV 60d38.0%36.5%39.5%38.4%37.6%
IV Rank28.9%1.8%82.8%35.3%1.8%
IV Percentile31.3%1.6%98.8%54.4%1.6%
Term Structure1.0%-15.7%14.9%-15.7%6.3%
VWIV43.3%43.1%43.9%43.1%43.2%
Skew 25d13.6%-1.5%36.4%4.2%-1.5%
Skew 10d43.1%0.8%95.0%4.4%2.8%
Call IV 25d33.5%24.0%47.6%45.6%30.7%
Put IV 25d47.1%29.2%75.3%49.8%29.2%
Bid-Ask Spread %93.1685.21108.47108.4791.79
Gamma HHI0.870.440.960.770.89
Net GEX-6.6K-10.9K-351-2.9K-9.7K
Net DEX-230.2K-486.3K-82.2K-486.3K-215.5K
Net VEX-3.5K-3.8K-3.1K-3.5K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.660.0061.000.000.00
Total Volume20.3330160500
Total OI2,821.2862,6812,9952,6812,762

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$8.69$7.5046.5%13.3%43.3%35.3%0.0%4.2%-15.7%-2.9K-486.3K-3.5K0.00108.475001,4561,225
2014-05-02$8.51$7.5048.3%13.8%43.5%38.8%0.0%-1.0%-3.0%-351-468.6K-3.6K0.00108.461001,5061,225
2014-05-05$8.37$7.5050.0%12.1%43.0%42.1%43.1%9.1%-2.0%-1.5K-391.4K-3.7K0.0099.420441,5161,225
2014-05-06$8.02$7.5044.8%12.8%45.3%31.9%0.0%10.1%-3.2%-2.9K-255.4K-3.7K0.0096.28001,5161,269
2014-05-07$7.92$7.5043.6%12.3%45.4%29.6%43.1%13.8%0.2%-3.2K-177.8K-3.7K0.0088.4501601,5161,269
2014-05-08$7.80$7.5039.7%11.7%44.8%22.1%0.0%12.8%0.7%-6.1K-82.2K-3.8K0.0085.70201,5161,413
2014-05-09$7.87$7.5040.9%12.4%44.1%24.3%0.0%13.5%-2.4%-6.1K-125.5K-3.8K61.0087.911611,5161,413
2014-05-12$8.26$7.5052.4%10.0%47.7%46.8%0.0%10.0%10.7%-8.6K-280.9K-3.7K0.0091.05041,5161,474
2014-05-13$8.11$7.5070.9%10.7%48.0%82.8%43.4%21.3%13.6%-6.7K-211.4K-3.8K0.0090.480101,5161,474
2014-05-14$7.91$7.5065.0%12.6%48.6%71.4%43.9%34.2%-1.3%-7.9K-104.5K-3.8K0.3086.8033101,5161,479
2014-05-15$7.87$7.5042.0%12.0%48.6%26.5%0.0%12.0%-2.1%-7.8K-123.3K-3.6K0.0085.21001,5261,429
2014-05-16$7.87$7.5043.1%12.4%48.4%28.7%43.2%36.4%-2.5%-8.2K-104.0K-3.6K0.0088.30071,5261,428
2014-05-19$8.14$7.5036.0%10.3%50.0%14.8%0.0%7.8%12.1%-8.1K-155.5K-3.5K0.0090.880201,3631,371
2014-05-20$8.01$7.5041.1%11.8%40.7%24.8%0.0%24.9%2.0%-9.4K-109.1K-3.5K0.0086.71401,3631,391
2014-05-21$8.12$7.5034.1%9.8%41.1%11.2%0.0%11.4%14.9%-8.5K-153.4K-3.5K0.0089.87001,3611,391
2014-05-22$8.20$7.5033.8%9.7%38.7%10.4%0.0%12.2%12.8%-10.2K-182.1K-3.4K0.0094.23001,3611,391
2014-05-23$8.30$7.5034.7%9.9%39.1%12.3%0.0%15.8%0.5%-10.9K-226.4K-3.2K0.0093.33001,3611,391
2014-05-27$8.60$7.5040.0%11.5%39.9%22.7%0.0%23.5%-7.0%-4.5K-367.5K-3.1K0.0091.701001,3611,391
2014-05-28$8.44$7.5037.7%10.8%39.2%18.2%0.0%8.6%-9.4%-6.1K-342.9K-3.1K0.00100.85101,3711,391
2014-05-29$8.27$7.5034.2%9.8%36.7%11.4%0.0%6.5%-4.6%-8.5K-270.4K-3.1K0.00100.46001,3711,391
2014-05-30$8.16$7.5029.3%8.4%36.7%1.8%0.0%-1.5%6.3%-9.7K-215.5K-3.1K0.0091.79001,3711,391