CALX Options History — October 2016

In October 2016, CALX traded between $6.30 and $7.32. ATM implied volatility averaged 57.7%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 25.8% (HV 20d: 31.9%). Max pain ranged from $7.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2016-10-06: Highest Volume — 2,182 contracts
  • 2016-10-28: Largest IV spike — 79.2% change
  • 2016-10-28: Highest IV Rank — 64.7%
  • 2016-10-28: Largest Expected Move — 22.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.81$6.30$7.32$7.31$6.30
Max Pain$7.43$7.00$7.50$7.00$7.50
ATM IV57.7%43.4%78.6%49.9%69.6%
Expected Move17.1%12.4%22.5%14.3%19.9%
HV 20d31.9%26.7%35.3%33.4%29.6%
HV 60d32.8%29.0%34.9%33.5%29.2%
IV Rank36.6%17.3%64.7%26.1%52.6%
IV Percentile73.6%46.0%96.8%64.7%92.5%
Term Structure-11.5%-20.6%14.7%6.7%-17.7%
VWIV58.5%33.5%78.5%46.8%67.2%
Skew 25d-0.9%-27.4%21.6%21.6%7.9%
Skew 10d1.8%-16.8%20.9%10.7%20.9%
Call IV 25d53.8%27.7%72.3%32.6%58.4%
Put IV 25d52.9%44.9%66.3%54.2%66.3%
Bid-Ask Spread %36.4516.3099.4999.4927.91
Gamma HHI0.690.460.990.470.98
Net GEX87.9K34.8K174.7K106.5K34.9K
Net DEX-1.6M-3.2M-815.5K-3.0M-815.5K
Net VEX-7.4K-11.2K-5.2K-11.2K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.030.520.510.25
Total Volume386.7141282,182175150
Total OI6,031.2864,4307,8317,8014,454

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$7.31$7.0049.9%14.3%33.4%26.1%46.8%21.6%6.7%106.5K-3.0M-11.2K0.5199.49116597,653148
2016-10-04$7.22$7.0044.2%12.7%32.9%18.4%40.6%15.0%13.3%113.2K-2.9M-10.9K0.5220.49113597,653148
2016-10-05$7.32$7.0043.4%12.4%33.4%17.3%39.9%18.6%14.7%112.3K-3.2M-11.0K0.5299.18113597,683148
2016-10-06$7.07$7.5047.9%15.9%34.9%23.4%55.3%1.7%-11.5%115.5K-2.6M-10.7K0.0320.662,123597,683148
2016-10-07$7.11$7.5046.6%15.7%31.3%21.6%54.8%2.3%-11.8%116.6K-2.5M-10.1K0.4818.59123597,346148
2016-10-10$7.21$7.5047.6%16.8%31.5%22.9%58.7%4.0%-14.7%103.3K-2.2M-7.7K0.4116.30143595,846148
2016-10-11$6.98$7.5046.0%16.6%31.9%20.8%57.7%-0.3%-11.8%108.9K-1.8M-7.3K0.4018.92148595,846148
2016-10-12$6.92$7.5059.6%17.1%32.0%39.2%59.7%-1.1%-16.7%108.8K-1.8M-7.2K0.4046.12148595,846148
2016-10-13$6.88$7.5056.6%16.2%31.9%35.1%56.7%-1.5%-10.9%125.2K-1.5M-7.0K0.4020.95148595,846118
2016-10-14$6.71$7.5055.7%16.0%32.9%34.0%55.6%-3.5%-10.2%103.5K-1.3M-6.6K0.2230.57183415,846118
2016-10-17$6.60$7.5060.5%17.3%33.0%40.3%60.8%-8.6%-18.0%78.4K-1.0M-6.1K0.4829.99183885,846141
2016-10-18$6.68$7.5059.3%17.0%33.2%38.8%59.5%-6.2%-13.7%98.5K-1.2M-6.1K0.4827.08182885,846107
2016-10-19$6.85$7.5062.0%17.8%34.4%42.5%62.2%-7.0%-17.8%174.7K-1.3M-6.4K0.0982.251,024885,846107
2016-10-20$6.70$7.5062.5%17.9%35.2%43.0%62.8%-5.5%-17.1%115.0K-1.3M-6.4K0.0923.061,024886,429107
2016-10-21$6.63$7.5065.4%18.8%35.3%47.0%65.5%-7.4%-18.8%40.8K-1.0M-6.3K0.1427.98506726,775107
2016-10-24$6.70$7.5068.6%19.7%29.8%51.2%68.5%-6.9%-11.9%41.5K-1.1M-6.2K0.3147.7098304,37357
2016-10-25$6.55$7.5072.1%20.7%30.0%56.0%71.9%-1.4%-18.7%40.1K-1.0M-6.0K0.2823.42108304,38157
2016-10-26$6.43$7.5072.0%20.6%26.7%55.8%71.5%-3.5%-18.2%36.9K-947.2K-5.8K0.2623.99114304,39157
2016-10-27$6.30$7.5043.8%12.6%26.7%17.9%33.5%-27.4%-15.6%34.8K-867.1K-5.4K0.2632.53114304,39757
2016-10-28$6.45$7.5078.6%22.5%29.0%64.7%78.5%-9.5%-20.6%37.5K-986.1K-5.8K0.2628.20114304,39757
2016-10-31$6.30$7.5069.6%19.9%29.6%52.6%67.2%7.9%-17.7%34.9K-815.5K-5.2K0.2527.91120304,39757