CALX Options History — June 2017

In June 2017, CALX traded between $6.75 and $7.25. ATM implied volatility averaged 45.2%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 16.6% (HV 20d: 28.7%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2017-06-16: Highest Volume — 521 contracts
  • 2017-06-22: Largest IV spike — 21.5% change
  • 2017-06-13: Highest IV Rank — 51.4%
  • 2017-06-20: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.99$6.75$7.25$6.90$6.83
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV45.2%38.4%59.5%39.3%46.1%
Expected Move12.4%11.0%14.1%11.3%13.2%
HV 20d28.7%26.8%32.2%28.3%28.4%
HV 60d30.9%27.2%32.4%30.9%27.3%
IV Rank25.0%14.5%51.4%16.2%25.7%
IV Percentile47.5%16.7%79.4%23.4%53.6%
Term Structure4.4%-4.3%12.8%-2.5%5.3%
VWIV42.8%38.4%48.2%39.4%44.1%
Skew 25d-2.9%-21.7%8.8%4.3%-11.0%
Skew 10d2.1%-24.5%20.5%7.6%-0.1%
Call IV 25d43.4%33.5%60.7%35.0%46.8%
Put IV 25d40.5%31.2%51.0%39.3%35.8%
Bid-Ask Spread %83.4233.85133.1582.0473.91
Gamma HHI0.600.400.840.770.43
Net GEX20.9K15.7K25.8K15.7K23.2K
Net DEX-309.4K-505.6K-121.8K-152.7K-325.6K
Net VEX-2.5K-3.4K-1.6K-1.6K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.441.451.450.77
Total Volume346.455233521233385
Total OI2,313.1361,6802,9411,6802,941

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$6.90$7.0039.3%11.3%28.3%16.2%39.4%4.3%-2.5%15.7K-152.7K-1.6K1.4582.04951381,285395
2017-06-02$7.03$7.0038.4%11.0%28.4%14.5%38.4%4.9%4.1%17.4K-211.0K-1.7K1.2298.781131381,285395
2017-06-05$6.98$7.0046.4%11.6%28.4%29.2%42.2%-8.5%3.2%17.6K-211.5K-1.8K1.2991.221071381,351430
2017-06-06$6.80$7.0041.9%11.3%28.8%20.9%39.4%1.1%3.7%16.3K-121.8K-1.6K1.2974.941071381,353430
2017-06-07$6.88$7.0044.9%11.9%28.9%26.5%44.2%1.8%4.0%16.9K-167.1K-1.7K1.3893.831071481,353430
2017-06-08$7.15$7.0046.9%12.9%28.6%30.2%41.6%6.0%0.9%19.5K-277.9K-1.8K0.7595.871971481,353440
2017-06-09$7.05$7.0045.3%11.6%27.8%27.2%42.3%-7.8%2.8%20.5K-284.6K-2.0K0.7589.801971481,461440
2017-06-12$7.10$7.0051.5%13.2%27.8%36.1%44.8%1.2%-3.0%22.2K-329.6K-2.2K0.6385.152231401,561440
2017-06-13$7.10$7.0059.5%11.3%27.5%51.4%40.0%-6.7%4.2%23.8K-327.7K-2.1K1.0985.381281401,589440
2017-06-14$7.10$7.0047.3%13.6%27.4%27.9%45.4%-3.6%-4.3%23.0K-333.4K-2.3K0.63133.152231401,689440
2017-06-15$7.13$7.0040.5%11.6%27.2%14.8%42.2%4.5%4.2%25.8K-367.5K-2.3K0.6479.062731751,689440
2017-06-16$7.25$7.0044.2%12.7%26.8%21.9%43.6%1.1%3.5%21.7K-458.0K-2.8K0.4482.203611601,838536
2017-06-19$7.20$7.0048.1%13.8%27.0%29.5%47.6%-6.8%5.4%22.5K-498.0K-3.2K0.7991.382021602,038531
2017-06-20$7.15$7.0049.3%14.1%27.1%31.8%45.6%8.8%4.4%24.4K-505.6K-3.4K0.8478.412021702,146531
2017-06-21$6.93$7.0040.5%11.6%29.6%14.8%43.4%2.6%12.8%20.8K-320.5K-3.1K0.8278.472071702,146541
2017-06-22$6.90$7.0049.2%14.1%29.7%31.6%45.3%6.2%4.5%20.0K-331.5K-3.1K0.77112.122071602,151541
2017-06-23$7.03$7.0045.1%12.9%29.8%23.7%48.2%-21.7%3.9%23.9K-439.4K-3.4K0.7787.802071602,251541
2017-06-26$6.93$7.0042.8%12.3%30.3%19.3%43.1%-3.0%8.1%23.9K-350.1K-3.2K0.8174.512071682,251541
2017-06-27$6.75$7.0043.9%12.6%31.7%21.4%42.2%-15.1%8.9%20.1K-256.6K-3.1K0.8165.432071682,351541
2017-06-28$6.88$7.0042.3%12.1%32.2%18.3%40.9%-9.8%9.8%22.4K-307.9K-3.2K0.8133.852071682,351541
2017-06-29$6.75$7.0041.9%12.0%28.9%17.4%38.4%-11.6%12.8%19.1K-228.4K-3.0K0.7747.962171682,351541
2017-06-30$6.83$7.0046.1%13.2%28.4%25.7%44.1%-11.0%5.3%23.2K-325.6K-3.2K0.7773.912171682,400541