CALX Options History — August 2016

In August 2016, CALX traded between $7.45 and $8.16. ATM implied volatility averaged 39.4%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 0.7% (HV 20d: 38.7%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.87.

Notable Days

  • 2016-08-04: Highest Volume — 160 contracts
  • 2016-08-03: Largest IV drop — 44.9% change
  • 2016-08-01: Highest IV Rank — 53.6%
  • 2016-08-01: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.74$7.45$8.16$7.76$7.46
Max Pain$6.30$5.00$7.50$7.50$7.50
ATM IV39.4%33.2%70.3%70.3%41.6%
Expected Move11.2%9.5%20.1%20.1%11.9%
HV 20d38.7%26.8%45.2%36.8%26.8%
HV 60d40.6%39.0%42.8%39.5%40.5%
IV Rank11.9%3.7%53.6%53.6%15.0%
IV Percentile15.5%0.8%92.9%92.9%31.7%
Term Structure-2.4%-19.1%2.3%-19.1%-3.0%
VWIV39.6%33.5%70.3%70.3%42.2%
Skew 25d11.9%-15.0%54.3%9.3%-15.0%
Skew 10d33.0%-25.7%93.9%12.5%-25.7%
Call IV 25d40.7%32.7%58.6%40.9%57.3%
Put IV 25d52.7%37.1%100.0%50.2%42.3%
Bid-Ask Spread %32.6512.87100.6129.2793.42
Gamma HHI0.620.470.790.470.77
Net GEX76.0K34.6K145.9K61.3K39.1K
Net DEX-2.0M-2.8M-1.1M-2.1M-1.1M
Net VEX-2.9K-4.3K-2.3K-4.3K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.001.771.770.87
Total Volume115.2610160147148
Total OI3,742.8262,4274,4424,3782,508

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$7.76$7.5070.3%20.1%36.8%53.6%70.3%9.3%-19.1%61.3K-2.1M-4.3K1.7729.2753944,227151
2016-08-02$7.58$7.5067.2%19.3%36.0%49.5%67.2%-8.7%-15.3%64.5K-1.9M-4.3K1.4130.8054764,217155
2016-08-03$8.16$7.5037.0%10.6%43.4%8.8%38.8%-6.8%-0.3%67.2K-2.8M-3.3K1.0926.0470764,217190
2016-08-04$7.90$7.5036.8%9.9%45.2%8.4%34.6%16.4%1.1%93.8K-2.5M-3.5K0.9027.2284764,231190
2016-08-05$7.97$5.0037.4%10.5%41.3%9.2%36.5%14.8%-1.0%89.2K-2.6M-3.4K0.5619.1587494,245190
2016-08-08$7.89$5.0035.1%10.4%41.5%6.2%36.4%4.7%-1.5%97.3K-2.5M-3.3K0.6019.8982494,237190
2016-08-09$7.93$5.0041.9%10.5%41.5%15.4%36.7%19.3%-1.7%101.1K-2.6M-3.2K0.6017.7282494,242190
2016-08-10$7.74$5.0034.6%9.9%42.4%5.5%34.7%7.0%0.1%115.3K-2.3M-3.4K0.6015.3582494,242190
2016-08-11$7.74$5.0035.1%10.1%42.2%6.2%35.1%7.0%-0.3%111.4K-2.4M-3.3K0.6012.8782494,242190
2016-08-12$7.82$5.0034.6%9.9%42.2%5.5%34.6%23.7%0.6%136.9K-2.5M-3.2K0.7216.3968494,242190
2016-08-15$7.90$5.0033.9%9.7%42.3%4.5%33.9%12.2%0.3%79.2K-2.8M-2.4K0.7921.1062494,242190
2016-08-16$7.84$5.0033.5%9.6%41.9%4.0%33.5%3.3%1.4%103.2K-2.7M-2.6K0.8220.7760494,242190
2016-08-17$7.68$5.0033.2%9.5%36.7%3.7%0.0%6.1%2.3%145.9K-2.3M-2.9K0.0020.991004,242190
2016-08-18$7.73$5.0034.8%10.0%35.4%5.8%0.0%29.8%-0.0%145.1K-2.5M-2.7K0.0022.26004,252190
2016-08-19$7.69$5.0034.4%9.9%35.4%5.2%34.4%6.3%-1.4%37.3K-2.8M-2.4K1.6417.2450824,252190
2016-08-22$7.76$7.5038.5%11.0%35.0%10.7%38.5%33.9%-3.0%34.8K-1.3M-2.3K1.19100.6147562,32998
2016-08-23$7.65$7.5035.0%10.0%35.3%6.0%34.4%4.7%-0.1%34.6K-1.3M-2.4K1.0428.5647492,329101
2016-08-24$7.51$7.5039.9%11.4%35.8%12.6%0.0%-1.9%-4.8%37.5K-1.1M-2.5K0.0048.170202,328101
2016-08-25$7.74$7.5038.4%11.0%36.8%10.6%38.3%33.9%-2.9%35.2K-1.3M-2.3K0.4928.0679392,328121
2016-08-26$7.45$7.5034.7%9.9%39.1%5.6%34.7%11.7%1.7%39.3K-1.1M-2.6K0.8780.2379692,357121
2016-08-29$7.54$7.5039.3%11.3%39.4%11.8%39.3%54.3%-3.0%39.7K-1.1M-2.4K0.8731.8579692,357151
2016-08-30$7.52$7.5038.5%11.0%38.5%10.7%37.8%8.6%-4.3%38.4K-1.2M-2.4K0.8723.0279692,357151
2016-08-31$7.46$7.5041.6%11.9%26.8%15.0%42.2%-15.0%-3.0%39.1K-1.1M-2.5K0.8793.4279692,357151