CALX Options History — May 2017

In May 2017, CALX traded between $6.53 and $6.80. ATM implied volatility averaged 51.2%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 24.8% (HV 20d: 26.4%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.58.

Notable Days

  • 2017-05-17: Highest Volume — 380 contracts
  • 2017-05-10: Largest IV drop — 51.8% change
  • 2017-05-08: Highest IV Rank — 97.1%
  • 2017-05-03: Largest Expected Move — 22.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.70$6.53$6.80$6.65$6.60
Max Pain$7.45$7.00$8.00$7.00$7.00
ATM IV51.2%37.8%83.2%66.3%44.6%
Expected Move13.5%10.8%22.5%19.0%12.8%
HV 20d26.4%24.0%37.9%37.9%24.0%
HV 60d34.1%29.8%39.4%39.4%29.8%
IV Rank38.2%13.4%97.1%66.0%25.9%
IV Percentile50.8%14.7%99.6%92.1%51.6%
Term Structure-5.5%-24.9%2.9%-15.8%-10.6%
VWIV47.1%28.3%79.3%68.1%49.0%
Skew 25d4.9%-8.6%14.8%-3.3%14.2%
Skew 10d9.0%-12.4%27.6%-12.4%27.6%
Call IV 25d43.0%29.4%72.0%72.0%49.0%
Put IV 25d47.9%31.7%71.3%68.8%63.2%
Bid-Ask Spread %42.0622.15105.2739.2760.98
Gamma HHI0.770.680.840.840.75
Net GEX12.6K10.1K15.6K11.0K11.9K
Net DEX-143.9K-203.1K-46.8K-203.1K-77.0K
Net VEX-1.6K-1.7K-1.4K-1.7K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.922.761.921.45
Total Volume245.045186380210233
Total OI1,596.5451,4681,7921,4681,650

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$6.65$7.0066.3%19.0%37.9%66.0%68.1%-3.3%-15.8%11.0K-203.1K-1.7K1.9239.27721381,215253
2017-05-02$6.73$7.0071.7%20.5%25.9%75.8%72.0%14.4%-20.1%11.1K-195.7K-1.7K1.9230.03721381,215283
2017-05-03$6.63$7.0078.6%22.5%26.1%88.7%79.3%3.5%-24.9%10.5K-178.9K-1.6K1.92105.27721381,215283
2017-05-04$6.75$8.0068.5%14.9%26.1%69.9%48.4%5.5%-5.0%10.8K-196.3K-1.7K1.7826.35721281,215283
2017-05-05$6.70$8.0071.1%15.1%26.3%74.8%49.1%5.5%-9.3%11.1K-189.6K-1.6K1.7824.82721281,215283
2017-05-08$6.55$8.0083.2%16.2%26.8%97.1%55.1%-1.0%-7.5%10.1K-171.5K-1.5K1.2525.371021281,215283
2017-05-09$6.53$8.0083.0%15.9%26.6%96.8%56.6%-1.9%-6.6%10.7K-165.0K-1.5K1.4222.62771091,255283
2017-05-10$6.80$8.0040.0%11.5%28.3%17.5%46.7%-0.1%-1.5%14.0K-171.7K-1.5K1.1542.09951091,260284
2017-05-11$6.65$8.0039.4%11.3%27.8%16.4%29.0%3.5%1.4%12.5K-137.9K-1.5K1.1555.33951091,273284
2017-05-12$6.65$8.0037.9%10.9%27.6%13.5%0.0%9.1%2.3%13.0K-125.6K-1.5K0.9256.721181091,273284
2017-05-15$6.75$8.0041.2%11.8%28.0%19.7%28.3%11.1%-2.3%14.6K-185.8K-1.5K0.9236.481181091,306284
2017-05-16$6.80$8.0039.5%11.3%25.5%16.6%0.0%14.8%-3.5%15.6K-179.0K-1.5K2.4855.89992461,306304
2017-05-17$6.75$8.0043.7%12.5%25.3%24.4%42.7%7.6%-5.8%11.9K-85.6K-1.6K1.8454.601342461,306451
2017-05-18$6.65$7.0038.1%10.9%25.3%14.0%37.6%10.9%0.6%12.0K-46.8K-1.5K1.8422.961342461,341451
2017-05-19$6.70$7.0038.3%11.0%25.4%14.4%38.2%13.6%0.6%12.5K-69.3K-1.6K2.1626.491142461,341451
2017-05-22$6.78$7.0037.8%10.8%25.1%13.4%37.7%12.9%-0.3%13.7K-132.6K-1.6K2.7641.98852351,234350
2017-05-23$6.80$7.0041.3%11.8%25.1%19.8%41.3%0.8%-4.6%14.4K-143.5K-1.6K1.2423.60951181,245350
2017-05-24$6.80$7.0037.9%10.9%24.7%13.5%37.9%2.5%2.9%14.6K-161.9K-1.6K1.2463.99951181,285365
2017-05-25$6.70$7.0041.4%11.9%24.8%20.1%41.5%-3.8%-3.8%13.7K-128.4K-1.6K1.2422.15951181,285365
2017-05-26$6.70$7.0040.0%11.5%24.7%17.4%40.1%-4.6%-2.0%13.8K-125.0K-1.5K1.2422.24951181,285365
2017-05-30$6.63$7.0043.8%12.6%24.4%24.4%44.0%-8.6%-4.3%13.2K-96.5K-1.4K1.2466.12951181,285365
2017-05-31$6.60$7.0044.6%12.8%24.0%25.9%49.0%14.2%-10.6%11.9K-77.0K-1.4K1.4560.98951381,285365