CALX Options History — June 2016

In June 2016, CALX traded between $6.39 and $7.27. ATM implied volatility averaged 39.5%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 6.0% (HV 20d: 33.5%). 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 22 of 22 days. Put/call ratio averaged 2.83.

Notable Days

  • 2016-06-14: Highest Volume — 420 contracts
  • 2016-06-24: Largest IV spike — 43.4% change
  • 2016-06-24: Highest IV Rank — 29.1%
  • 2016-06-29: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.85$6.39$7.27$6.76$6.89
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV39.5%30.5%51.7%40.9%39.2%
Expected Move11.2%8.8%14.8%11.7%11.2%
HV 20d33.5%19.2%45.3%43.9%45.3%
HV 60d36.4%31.4%38.8%38.8%38.6%
IV Rank16.4%6.1%29.1%19.3%11.7%
IV Percentile16.4%1.2%61.1%18.3%11.5%
Term Structure10.0%3.6%27.0%3.6%27.0%
VWIV40.6%28.0%70.0%45.5%46.8%
Skew 25d3.8%-11.2%22.3%-0.1%17.9%
Skew 10d8.4%-33.7%60.2%2.9%9.0%
Call IV 25d38.4%28.6%48.2%38.9%28.6%
Put IV 25d42.2%27.6%70.5%38.8%46.5%
Bid-Ask Spread %61.8820.65144.8823.9553.24
Gamma HHI0.800.740.900.830.82
Net GEX20.0K17.6K24.2K17.6K21.5K
Net DEX-713.9K-910.0K-569.6K-638.1K-741.3K
Net VEX-3.6K-3.7K-3.2K-3.6K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.830.587.132.283.35
Total Volume253.636164420223226
Total OI2,494.6362,4232,6422,4412,523

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$6.76$7.5040.9%11.7%43.9%19.3%45.5%-0.1%3.6%17.6K-638.1K-3.6K2.2823.95681552,197244
2016-06-02$6.79$7.5040.3%9.5%37.0%18.5%31.6%1.1%10.7%17.7K-645.4K-3.6K2.2854.94681552,197244
2016-06-03$6.80$7.5039.0%10.2%35.3%16.8%36.8%5.4%8.3%18.6K-654.0K-3.6K2.2842.76681552,197244
2016-06-06$6.93$7.5041.0%10.4%35.6%19.4%35.5%7.8%10.0%18.0K-709.7K-3.6K1.9953.12781552,197244
2016-06-07$6.99$7.5032.5%10.5%35.3%8.6%39.9%11.1%7.5%19.3K-758.8K-3.6K1.2120.651281552,207244
2016-06-08$6.97$7.5040.1%11.5%35.1%18.2%39.7%-5.8%4.1%19.2K-725.3K-3.5K1.7280.66901552,179244
2016-06-09$6.87$7.5030.5%8.8%35.0%6.1%28.0%-8.3%10.0%19.1K-687.6K-3.5K2.1856.97711552,189244
2016-06-10$6.80$7.5038.4%11.0%31.7%16.0%36.0%-10.2%4.6%18.9K-652.4K-3.4K2.4682.83631552,188244
2016-06-13$6.77$7.5035.6%10.2%31.6%12.6%33.4%-9.9%6.0%19.0K-626.2K-3.4K0.6057.012571552,188244
2016-06-14$6.71$7.5042.4%12.2%31.7%21.2%36.8%2.5%9.0%20.1K-636.3K-3.6K0.5855.792651552,388244
2016-06-15$6.90$7.5039.6%11.4%33.4%17.6%41.6%12.7%5.9%21.2K-734.3K-3.7K0.5877.682651552,398244
2016-06-16$7.00$7.5037.7%10.8%31.4%15.2%37.8%-2.5%8.0%22.2K-767.1K-3.7K0.5854.672651552,398244
2016-06-17$6.94$7.5037.2%10.7%22.7%14.6%37.7%-3.6%9.4%20.9K-753.8K-3.7K2.1253.78731552,398244
2016-06-20$7.05$7.5037.4%10.7%22.2%14.8%51.2%18.7%15.4%21.4K-855.0K-3.7K3.9757.46331312,296189
2016-06-21$7.07$7.5035.3%10.1%19.9%12.2%36.5%1.9%18.6%21.9K-846.2K-3.7K3.9756.08331312,296168
2016-06-22$6.92$7.5034.8%10.0%19.2%11.5%35.3%-2.8%12.0%21.5K-801.7K-3.6K5.1868.19331712,296168
2016-06-23$7.27$7.5036.0%10.3%25.7%13.1%37.9%5.5%14.9%24.2K-910.0K-3.7K5.34127.91321712,296187
2016-06-24$6.79$7.5051.6%14.8%36.2%29.1%70.0%22.3%10.5%20.0K-722.9K-3.5K7.13144.88241712,295187
2016-06-27$6.39$7.5040.8%11.7%42.0%13.8%36.2%-11.2%5.5%17.9K-569.6K-3.2K5.3429.53321712,293187
2016-06-28$6.53$7.5046.2%13.2%42.9%21.1%48.0%14.3%11.4%19.6K-594.8K-3.3K3.7054.39471742,303187
2016-06-29$6.65$7.5051.7%14.8%43.4%28.5%50.3%17.9%7.4%20.4K-674.2K-3.4K3.3554.96521742,328190
2016-06-30$6.89$7.5039.2%11.2%45.3%11.7%46.8%17.9%27.0%21.5K-741.3K-3.5K3.3553.24521742,333190