CALX Options History — December 2017

In December 2017, CALX traded between $5.90 and $6.75. ATM implied volatility averaged 52.1%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 5.5% (HV 20d: 46.6%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.13.

Notable Days

  • 2017-12-04: Highest Volume — 2,059 contracts
  • 2017-12-11: Largest IV spike — 92.3% change
  • 2017-12-12: Highest IV Rank — 80.1%
  • 2017-12-12: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.46$5.90$6.75$6.75$5.90
Max Pain$5.95$5.00$6.00$5.00$6.00
ATM IV52.1%37.4%72.2%48.6%56.7%
Expected Move14.9%12.3%18.7%13.9%16.3%
HV 20d46.6%27.4%70.9%70.2%34.2%
HV 60d47.2%46.4%49.2%48.4%49.2%
IV Rank48.4%25.2%80.1%43.0%55.7%
IV Percentile59.5%13.5%94.4%57.5%71.0%
Term Structure11.7%-23.9%143.7%12.4%6.1%
VWIV51.3%43.8%58.1%49.5%53.0%
Skew 25d4.0%-9.3%18.8%-9.3%0.5%
Skew 10d5.7%-15.3%26.4%-13.1%1.5%
Call IV 25d45.1%35.0%52.2%48.4%44.2%
Put IV 25d49.1%39.0%60.4%39.0%44.7%
Bid-Ask Spread %56.1722.72113.1340.2332.91
Gamma HHI0.340.290.390.380.29
Net GEX22.7K13.5K31.9K29.8K13.5K
Net DEX-883.3K-1.2M-582.0K-1.2M-582.0K
Net VEX-3.5K-4.5K-2.7K-4.5K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.090.140.100.13
Total Volume1,826.151,7112,0591,8961,711
Total OI3,930.353,8234,1404,1303,833

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$6.75$5.0048.6%13.9%70.2%43.0%49.5%-9.3%12.4%29.8K-1.2M-4.5K0.1040.231,7201763,875255
2017-12-04$6.68$6.0054.1%15.2%70.5%51.6%48.6%3.9%-0.3%31.9K-1.1M-4.2K0.0968.401,8831763,885255
2017-12-05$6.55$6.0056.9%14.7%70.9%56.0%51.4%0.5%0.2%27.5K-998.8K-3.9K0.1168.291,6911783,685255
2017-12-06$6.53$6.0037.8%14.6%65.6%25.8%50.0%-3.5%3.8%26.9K-954.8K-3.8K0.1248.161,6882103,685258
2017-12-07$6.40$6.0049.4%14.7%59.1%44.2%51.5%-5.6%5.4%24.2K-854.0K-3.7K0.1251.741,6882103,690300
2017-12-08$6.33$6.0037.4%14.7%48.5%25.2%50.9%-6.3%3.2%23.0K-836.9K-3.6K0.1254.831,6872103,690300
2017-12-11$6.35$6.0071.8%14.6%48.5%79.6%51.2%3.0%4.1%22.8K-834.4K-3.5K0.1322.721,6422123,685300
2017-12-12$6.43$6.0072.2%18.7%47.3%80.1%54.9%11.7%-23.9%25.2K-911.0K-3.7K0.1350.221,6422123,690302
2017-12-13$6.48$6.0058.0%16.6%44.6%57.8%55.2%18.8%-17.4%23.7K-911.0K-3.6K0.12113.131,7122123,690302
2017-12-14$6.50$6.0049.9%14.3%44.2%45.0%50.7%6.9%6.9%21.7K-868.4K-3.5K0.1235.641,7222123,690302
2017-12-15$6.60$6.0047.3%13.6%42.7%40.9%43.8%7.8%4.0%22.6K-927.4K-3.5K0.1286.521,7372123,700302
2017-12-18$6.50$6.0057.8%16.6%42.6%57.4%58.1%18.5%143.7%22.3K-871.8K-3.4K0.1458.161,5092123,575302
2017-12-19$6.38$6.0046.7%13.4%35.7%39.9%46.8%-4.3%23.2%19.0K-796.1K-3.2K0.1450.801,5092123,550273
2017-12-20$6.50$6.0052.2%15.0%36.5%48.6%51.0%9.7%7.3%20.7K-848.6K-3.2K0.1471.161,5112123,550273
2017-12-21$6.55$6.0048.8%14.0%35.9%43.2%50.6%10.2%9.0%22.3K-885.8K-3.3K0.1438.111,5112123,550273
2017-12-22$6.43$6.0050.9%14.6%36.3%46.6%52.2%3.5%7.5%19.7K-818.6K-3.2K0.1469.461,5112123,560273
2017-12-26$6.53$6.0042.8%12.3%36.7%33.8%51.7%13.4%14.1%20.8K-854.3K-3.1K0.1470.811,5112123,560273
2017-12-27$6.40$6.0050.1%14.4%33.8%45.2%52.0%-0.2%15.3%18.8K-806.4K-2.9K0.1445.171,5112123,560273
2017-12-28$6.35$6.0052.6%15.1%27.4%49.2%51.7%0.2%10.3%17.4K-766.0K-2.9K0.1447.041,5112123,560273
2017-12-29$5.90$6.0056.7%16.3%34.2%55.7%53.0%0.5%6.1%13.5K-582.0K-2.7K0.1332.911,5112003,560273