CALX Options History — March 2017

In March 2017, CALX traded between $6.88 and $7.23. ATM implied volatility averaged 45.1%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 7.4% (HV 20d: 37.7%). 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 20 of 23 days. Put/call ratio averaged 0.63.

Notable Days

  • 2017-03-15: Highest Volume — 1,761 contracts
  • 2017-03-03: Largest IV spike — 37.8% change
  • 2017-03-13: Highest IV Rank — 61.3%
  • 2017-03-03: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.04$6.88$7.23$7.03$7.23
Max Pain$5.48$5.00$7.50$7.00$5.00
ATM IV45.1%33.7%63.8%40.5%41.1%
Expected Move11.8%9.7%15.7%11.6%11.8%
HV 20d37.7%23.8%51.9%51.9%26.3%
HV 60d38.2%37.2%39.1%38.9%39.1%
IV Rank26.8%5.9%61.3%18.4%19.5%
IV Percentile43.5%2.0%86.1%29.0%33.3%
Term Structure5.6%-9.7%15.7%-1.8%12.5%
VWIV41.8%36.7%52.8%41.2%41.2%
Skew 25d-2.2%-12.0%7.8%3.8%2.4%
Skew 10d2.7%-14.7%46.9%6.3%3.6%
Call IV 25d41.2%37.7%48.0%39.7%41.0%
Put IV 25d38.9%27.5%50.9%43.5%43.3%
Bid-Ask Spread %56.8220.95101.7731.0820.95
Gamma HHI0.980.960.990.970.97
Net GEX39.5K24.6K57.6K25.2K56.2K
Net DEX-551.5K-848.4K-334.5K-344.0K-794.3K
Net VEX-2.4K-3.4K-1.5K-1.6K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.091.961.130.19
Total Volume866.7392311,7612851,585
Total OI2,506.9131,6943,0661,6943,009

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$7.03$7.0040.5%11.6%51.9%18.4%41.2%3.8%-1.8%25.2K-344.0K-1.6K1.1331.081341511,531163
2017-03-02$6.98$7.0039.7%11.4%51.9%17.0%41.9%7.8%-1.5%24.6K-343.8K-1.7K0.2479.636241511,545163
2017-03-03$6.98$7.0054.7%15.7%51.5%44.6%52.8%2.9%-9.7%27.9K-442.2K-1.9K0.2434.216241511,857163
2017-03-06$7.05$5.0053.2%11.9%50.6%41.9%41.5%5.4%3.1%30.9K-420.5K-1.8K0.2456.556171511,857163
2017-03-07$6.90$5.0047.6%11.2%50.6%31.4%38.8%5.5%6.4%30.1K-374.8K-1.8K0.2455.696171511,865163
2017-03-08$6.93$5.0045.3%11.3%50.5%27.3%40.8%5.1%3.7%30.1K-343.3K-1.7K0.2443.136171511,865163
2017-03-09$7.05$5.0050.8%11.7%50.8%37.3%41.1%5.2%4.3%32.0K-400.1K-1.8K0.2455.926171511,865163
2017-03-10$7.00$5.0048.4%11.2%50.8%33.0%39.4%5.6%4.7%32.4K-370.2K-1.7K0.2469.216171511,865163
2017-03-13$6.95$5.0063.8%12.0%48.4%61.3%42.0%-7.0%4.0%30.9K-362.5K-1.6K0.2477.196171511,865163
2017-03-14$6.95$5.0062.3%11.0%48.4%58.6%39.5%-10.7%4.6%32.8K-334.5K-1.5K0.2465.046171511,865163
2017-03-15$7.05$5.0041.9%12.0%44.8%21.0%42.1%-7.5%2.7%33.6K-410.6K-1.7K0.0981.501,6101511,865163
2017-03-16$7.00$7.5043.8%12.5%23.8%24.4%44.0%-8.5%1.7%41.9K-710.5K-3.2K1.2568.791401752,850188
2017-03-17$7.20$7.5042.9%12.3%25.6%22.7%42.9%-3.4%2.6%46.7K-848.4K-3.4K1.2861.601371752,878188
2017-03-20$7.08$5.0045.0%12.9%26.3%26.7%45.3%-4.0%8.0%45.4K-781.1K-3.2K1.9663.20781532,851129
2017-03-21$7.03$5.0043.4%12.4%26.5%23.7%43.4%-10.2%7.5%45.3K-706.2K-3.1K1.8536.92881632,871129
2017-03-22$6.88$5.0037.1%10.6%27.7%12.0%37.6%-12.0%8.2%41.2K-605.6K-2.9K1.8524.88881632,881139
2017-03-23$7.05$5.0044.0%12.6%27.5%24.9%44.1%-8.8%8.4%46.8K-714.9K-3.1K1.91101.77881682,881139
2017-03-24$7.05$5.0040.2%11.5%27.3%17.9%40.7%-7.4%10.4%49.4K-687.2K-3.1K0.1425.181,3241882,881144
2017-03-27$7.20$5.0041.8%12.0%28.3%20.7%42.4%-0.2%10.7%51.2K-750.4K-3.1K0.1488.371,3241882,764164
2017-03-28$7.00$5.0038.7%11.1%27.0%15.0%40.2%-2.5%13.7%48.8K-632.9K-2.9K0.1969.201,3242482,764164
2017-03-29$7.03$5.0036.9%10.6%25.0%11.7%42.1%-5.9%9.2%46.4K-612.8K-3.0K0.1970.861,3352482,764234
2017-03-30$7.20$5.0033.7%9.7%26.3%5.9%36.7%-7.1%15.7%57.6K-694.0K-3.1K0.1925.971,3352482,775234
2017-03-31$7.23$5.0041.1%11.8%26.3%19.5%41.2%2.4%12.5%56.2K-794.3K-3.1K0.1920.951,3372482,775234