CALX Options History — August 2017

In August 2017, CALX traded between $4.75 and $6.93. ATM implied volatility averaged 45.9%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 23.0% (HV 20d: 68.9%). Max pain ranged from $5.00 to $7.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.47.

Notable Days

  • 2017-08-30: Highest Volume — 450 contracts
  • 2017-08-09: Largest IV drop — 63.9% change
  • 2017-08-07: Highest IV Rank — 94.9%
  • 2017-08-02: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.46$4.75$6.93$6.93$4.93
Max Pain$6.30$5.00$7.00$7.00$5.00
ATM IV45.9%27.6%82.1%64.5%46.0%
Expected Move12.0%7.9%19.0%18.5%13.2%
HV 20d68.9%19.9%87.4%21.7%86.9%
HV 60d46.9%24.5%55.3%26.0%54.5%
IV Rank31.4%0.0%94.9%60.9%32.1%
IV Percentile32.8%0.0%98.8%88.9%49.2%
Term Structure-1.6%-15.5%8.4%-15.5%-7.4%
VWIV47.1%31.5%86.6%65.4%46.4%
Skew 25d2.9%-37.4%75.9%23.9%0.9%
Skew 10d7.6%-42.3%122.2%23.9%2.1%
Call IV 25d43.2%29.3%68.3%46.2%56.2%
Put IV 25d46.0%19.8%108.3%70.1%57.1%
Bid-Ask Spread %55.7023.7498.1423.7462.29
Gamma HHI0.570.410.740.740.49
Net GEX5.8K2.5K12.8K12.1K2.7K
Net DEX-92.9K-390.2K35.6K-390.2K24.3K
Net VEX-1.3K-2.9K-523-2.9K-678
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.300.670.630.67
Total Volume313.391207450212450
Total OI1,922.7831,7352,1081,7352,108

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$6.93$7.0064.5%18.5%21.7%60.9%65.4%23.9%-15.5%12.1K-390.2K-2.9K0.6323.74130821,558177
2017-08-02$6.88$7.0066.3%19.0%19.9%64.5%55.8%3.3%-15.3%11.8K-378.9K-2.9K0.6339.97130821,558177
2017-08-03$6.83$7.0068.1%15.0%20.1%67.8%53.3%-29.8%-8.5%12.1K-352.5K-2.7K0.6398.14130821,558177
2017-08-04$6.68$7.0071.1%14.9%20.6%73.7%51.5%-6.8%-5.7%11.2K-311.8K-2.7K0.6334.41130821,558177
2017-08-07$6.78$7.0082.1%14.1%21.2%94.9%52.0%5.2%-8.8%12.6K-364.2K-2.9K0.6334.18130821,658177
2017-08-08$6.83$7.0076.4%14.3%21.2%84.0%50.8%1.7%-4.7%12.8K-387.5K-2.9K0.6629.29125821,658177
2017-08-09$5.40$7.0027.6%7.9%86.3%0.0%86.6%-37.4%1.8%4.6K-36.2K-1.3K0.4358.73200871,663177
2017-08-10$5.23$7.0040.6%11.7%86.6%22.8%0.0%-6.2%0.3%3.9K-18.1K-1.1K0.3970.68225871,738171
2017-08-11$5.15$7.0041.0%11.7%85.7%23.4%0.0%56.9%2.6%4.0K-15.8K-1.1K0.4646.172351071,763171
2017-08-14$5.13$7.0038.5%11.0%85.6%19.1%0.0%4.3%2.9%3.8K-8.6K-9640.4453.292451071,783191
2017-08-15$5.00$7.0036.4%10.4%85.5%15.5%0.0%4.6%3.4%3.5K-7.9K-8650.4457.082451071,813172
2017-08-16$5.03$7.0035.6%10.2%84.5%14.1%47.9%13.4%2.0%3.7K-12.7K-8690.4491.472451071,813172
2017-08-17$5.00$7.0037.7%10.8%84.6%17.7%0.0%75.9%2.7%3.3K626-7330.4483.272451071,813177
2017-08-18$4.88$7.0037.7%10.8%84.6%17.7%0.0%-0.7%1.6%2.5K19.7K-5870.4458.182451071,813177
2017-08-21$4.75$7.0040.9%11.7%84.3%23.2%44.3%-9.3%-3.1%2.5K18.6K-5270.3047.90265801,763170
2017-08-22$4.75$5.0039.8%11.4%84.2%21.3%41.0%-4.2%-0.9%2.9K14.6K-5230.3350.05245801,793170
2017-08-23$4.93$5.0031.8%9.1%86.5%7.4%32.0%1.8%4.3%3.8K5.9K-6240.3267.17250801,803170
2017-08-24$4.85$5.0030.6%8.8%86.5%5.2%31.6%-2.4%3.3%3.7K12.0K-5420.3250.63250801,808170
2017-08-25$5.00$5.0036.6%10.5%87.4%15.7%36.6%3.8%1.7%3.9K2.0K-6290.3251.53250801,808170
2017-08-28$4.93$5.0038.4%11.0%87.2%18.9%38.3%-9.8%-2.2%3.7K9.6K-6030.3158.27260801,808170
2017-08-29$4.88$5.0035.9%10.3%86.3%14.4%36.1%-19.4%0.4%4.3K5.0K-5980.3169.73260801,828170
2017-08-30$4.88$5.0031.6%9.1%86.4%7.0%31.5%-4.1%8.4%3.0K35.6K-5960.6745.002701801,828270
2017-08-31$4.93$5.0046.0%13.2%86.9%32.1%46.4%0.9%-7.4%2.7K24.3K-6780.6762.292701801,838270