CALX Options History — July 2015

In July 2015, CALX traded between $6.92 and $8.48. ATM implied volatility averaged 57.1%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 22.0% (HV 20d: 35.1%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.40.

Notable Days

  • 2015-07-09: Highest Volume — 863 contracts
  • 2015-07-09: Largest IV spike — 39.0% change
  • 2015-07-09: Highest IV Rank — 73.5%
  • 2015-07-28: Largest Expected Move — 20.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.40$6.92$8.48$7.52$8.43
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV57.1%36.4%75.6%47.0%36.4%
Expected Move16.0%10.4%20.2%13.5%10.4%
HV 20d35.1%25.1%67.9%32.9%67.9%
HV 60d36.8%28.3%45.6%35.6%45.4%
IV Rank46.5%16.3%73.5%31.9%16.3%
IV Percentile81.1%21.0%98.4%70.2%21.0%
Term Structure-8.6%-16.8%3.1%2.7%-11.4%
VWIV55.6%35.4%70.3%48.1%35.4%
Skew 25d4.5%-20.8%35.7%10.2%-5.3%
Skew 10d9.4%-37.0%55.8%24.9%-6.0%
Call IV 25d53.7%36.0%75.0%61.1%38.4%
Put IV 25d58.2%33.1%85.4%71.3%33.1%
Bid-Ask Spread %53.2915.43106.99101.0817.30
Gamma HHI0.810.510.940.830.56
Net GEX12.0K7.3K23.8K10.5K11.1K
Net DEX-192.3K-613.8K133.0K-235.3K-510.9K
Net VEX-1.2K-1.6K-912-1.4K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.061.000.310.87
Total Volume461.318128863569208
Total OI1,8111,0002,4982,1371,504

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$7.52$7.5047.0%13.5%32.9%31.9%48.1%10.2%2.7%10.5K-235.3K-1.4K0.31101.084331361,542595
2015-07-02$7.51$7.5044.3%12.7%32.5%27.9%42.4%5.3%2.0%11.1K-236.4K-1.4K0.1496.98433591,542595
2015-07-06$7.37$7.5052.5%15.3%31.4%39.8%53.4%5.4%-7.6%10.8K-157.6K-1.3K0.2119.82433891,542598
2015-07-07$7.36$7.5059.6%15.1%31.4%50.1%52.7%8.9%-7.1%10.2K-105.5K-1.2K0.2199.75433891,542598
2015-07-08$7.38$7.5054.4%16.3%31.4%42.6%56.9%-20.8%-9.4%11.1K-110.1K-1.2K0.2172.72433891,547598
2015-07-09$7.07$7.5075.6%16.2%32.6%73.5%56.7%3.2%-8.4%8.3K10.2K-1.1K0.1898.857311321,547598
2015-07-10$7.24$7.5063.2%16.6%32.5%55.4%57.9%10.2%-11.1%14.1K-102.7K-1.4K0.1843.997311321,841647
2015-07-13$7.25$7.5051.2%16.1%32.3%37.9%56.2%1.6%-11.7%21.9K-209.9K-1.4K0.1817.417311281,841647
2015-07-14$7.36$7.5055.8%15.2%30.7%44.6%53.1%35.7%-9.2%21.0K-140.5K-1.3K0.3755.003461281,841647
2015-07-15$7.45$7.5056.6%16.2%31.5%45.8%56.6%4.1%-11.7%20.3K-240.6K-1.3K0.3784.283461281,846647
2015-07-16$7.43$7.5060.1%17.2%31.1%50.8%60.1%8.6%-12.3%23.8K-216.6K-1.2K0.3821.833361281,846647
2015-07-17$7.44$7.5058.3%16.7%28.4%48.2%58.3%7.5%-12.1%7.9K133.0K-1.0K0.3644.223561281,851647
2015-07-20$7.21$7.5059.5%17.1%29.1%50.0%59.5%6.7%-6.5%8.0K-165.7K-1.0K1.0043.556464789211
2015-07-21$7.20$7.5061.9%17.7%28.8%53.5%61.9%6.3%-9.5%7.7K-153.1K-9951.0025.746464789219
2015-07-22$7.10$7.5062.2%17.8%27.8%53.9%62.2%4.1%-8.4%7.6K-134.5K-9551.0022.386464789219
2015-07-23$6.99$7.5062.1%17.8%27.7%53.8%62.1%2.2%-10.6%7.5K-114.8K-9120.4256.1915164789219
2015-07-24$6.96$7.5061.5%17.6%27.0%52.8%61.4%0.3%-8.2%7.8K-149.4K-9870.4275.6015164879219
2015-07-27$6.92$7.5070.2%20.1%25.1%65.5%69.9%-4.0%-15.4%7.3K-150.3K-9380.2626.8116944879219
2015-07-28$6.96$7.5070.4%20.2%25.2%65.9%70.3%-3.2%-16.8%7.4K-152.1K-9830.0615.4369444902249
2015-07-29$8.28$7.5048.7%14.0%67.8%34.3%42.1%-4.4%3.1%16.7K-613.8K-1.6K0.14106.99673971,427249
2015-07-30$8.48$7.5045.1%12.9%67.8%29.1%46.5%15.5%-8.6%11.3K-474.1K-1.4K0.4826.42201971,199300
2015-07-31$8.43$7.5036.4%10.4%67.9%16.3%35.4%-5.3%-11.4%11.1K-510.9K-1.4K0.8717.30111971,204300