CALX Options History — November 2016

In November 2016, CALX traded between $6.23 and $7.85. ATM implied volatility averaged 48.0%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 8.7% (HV 20d: 39.3%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2016-11-07: Highest Volume — 1,948 contracts
  • 2016-11-07: Largest IV spike — 39.7% change
  • 2016-11-01: Highest IV Rank — 45.0%
  • 2016-11-01: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.34$6.23$7.85$6.23$7.50
Max Pain$5.95$5.00$7.50$7.50$7.50
ATM IV48.0%40.1%63.9%63.9%41.8%
Expected Move13.2%10.7%18.3%18.3%12.0%
HV 20d39.3%29.6%43.0%29.6%37.5%
HV 60d34.2%29.2%35.8%29.2%34.8%
IV Rank23.5%12.9%45.0%45.0%15.2%
IV Percentile54.3%25.0%84.9%84.9%35.7%
Term Structure-5.6%-13.0%-0.6%-2.0%-0.6%
VWIV47.9%40.1%82.5%82.5%41.9%
Skew 25d17.5%-5.7%61.4%2.1%-4.8%
Skew 10d29.7%-10.8%103.4%14.9%-1.3%
Call IV 25d42.7%32.0%50.6%50.6%44.9%
Put IV 25d60.2%38.2%108.9%52.7%40.1%
Bid-Ask Spread %54.2727.51102.5832.4829.09
Gamma HHI0.980.960.990.980.97
Net GEX40.8K20.5K85.8K31.1K22.2K
Net DEX-987.1K-1.8M-440.8K-707.3K-730.2K
Net VEX-3.6K-5.9K-2.7K-5.0K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.021.300.291.19
Total Volume702.0951541,948166175
Total OI3,003.3812,0664,6284,4622,089

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$6.23$7.5063.9%18.3%29.6%45.0%82.5%2.1%-2.0%31.1K-707.3K-5.0K0.2932.48129374,40557
2016-11-02$6.70$7.5054.5%15.6%40.5%32.3%60.5%7.6%-11.6%46.5K-1.0M-5.9K0.1234.72247304,42264
2016-11-03$6.63$5.0057.1%10.7%39.0%35.8%44.5%-5.7%-5.8%45.8K-953.9K-5.6K0.0289.511,886304,55474
2016-11-04$6.65$5.0040.9%12.3%38.9%14.0%43.5%9.7%-1.4%29.5K-440.8K-2.7K0.0299.961,886422,95574
2016-11-07$6.88$5.0057.1%12.5%40.7%35.8%48.4%45.1%-5.2%40.1K-586.0K-3.0K0.0382.761,886622,95599
2016-11-08$6.90$5.0054.4%13.0%39.2%32.1%45.3%61.4%-6.4%41.6K-591.6K-3.0K0.0485.101,862682,955119
2016-11-09$7.03$5.0040.1%11.5%39.6%12.9%40.1%46.0%-1.8%51.9K-618.3K-3.0K0.0428.651,853682,955125
2016-11-10$7.35$5.0047.9%13.7%42.4%23.5%48.7%3.4%-4.0%64.8K-985.9K-3.4K0.1557.32466682,958145
2016-11-11$7.65$5.0047.7%13.7%43.0%23.1%47.9%0.7%-2.5%67.8K-1.4M-3.9K0.3654.983311183,120145
2016-11-14$7.65$5.0045.4%13.0%42.2%20.0%45.5%14.3%-4.9%68.8K-1.3M-3.8K0.5053.122361183,076195
2016-11-15$7.68$5.0047.3%13.5%42.1%22.5%47.5%10.4%-7.5%84.7K-1.4M-3.7K0.4834.642361133,071195
2016-11-16$7.70$5.0046.7%13.4%41.6%21.7%46.7%35.6%-3.8%20.5K-1.8M-3.3K0.5130.322231133,068181
2016-11-17$7.68$5.0047.6%13.6%40.4%23.0%47.7%15.0%-8.7%85.8K-1.5M-3.5K0.9454.561201133,067181
2016-11-18$7.70$5.0042.2%12.1%40.0%15.8%42.1%55.6%-3.7%22.9K-1.7M-3.3K0.1387.981,1251433,067181
2016-11-21$7.65$5.0048.1%13.8%40.2%23.6%48.2%6.8%-9.9%21.3K-826.2K-3.3K1.18102.5874871,880186
2016-11-22$7.60$7.5045.0%12.9%39.1%19.5%45.0%3.5%-9.1%22.2K-796.0K-3.3K1.1831.7274871,882203
2016-11-23$7.75$7.5048.4%13.9%38.0%24.1%48.4%25.1%-13.0%22.6K-844.8K-3.3K1.3032.2567871,882203
2016-11-25$7.85$7.5045.9%13.1%36.4%20.7%45.6%31.5%-4.5%22.0K-878.0K-3.3K1.3059.4867871,890203
2016-11-28$7.68$7.5043.5%12.5%37.9%17.5%43.5%6.0%-6.1%22.7K-825.0K-3.2K1.1230.8778871,898203
2016-11-29$7.70$7.5042.4%12.1%36.0%16.0%42.4%-2.1%-5.0%23.0K-841.2K-3.2K1.1227.5178871,886203
2016-11-30$7.50$7.5041.8%12.0%37.5%15.2%41.9%-4.8%-0.6%22.2K-730.2K-3.2K1.1929.0980951,886203