CALX Options History — January 2018

In January 2018, CALX traded between $5.70 and $6.45. ATM implied volatility averaged 65.3%, placing in the 69.3% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded above realized volatility by 24.1% (HV 20d: 41.2%). Max pain ranged from $4.00 to $6.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2018-01-02: Highest Volume — 1,709 contracts
  • 2018-01-10: Largest IV spike — 69.5% change
  • 2018-01-30: Highest IV Rank — 96.3%
  • 2018-01-30: Largest Expected Move — 23.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.02$5.70$6.45$5.78$6.45
Max Pain$5.05$4.00$6.00$6.00$6.00
ATM IV65.3%33.9%82.4%57.1%78.7%
Expected Move19.9%16.4%23.6%16.4%22.6%
HV 20d41.2%32.4%49.6%32.9%42.9%
HV 60d49.8%47.7%51.9%48.7%51.9%
IV Rank69.3%19.7%96.3%56.4%90.4%
IV Percentile80.0%6.0%98.4%74.2%96.4%
Term Structure-9.2%-25.3%10.1%9.3%-16.6%
VWIV68.6%53.4%80.7%54.8%74.7%
Skew 25d7.1%-4.8%19.8%2.1%9.2%
Skew 10d17.0%2.0%35.1%6.5%5.8%
Call IV 25d63.5%44.7%79.8%44.7%64.1%
Put IV 25d70.5%44.5%85.5%46.8%73.4%
Bid-Ask Spread %53.0417.8881.5543.5768.28
Gamma HHI0.380.320.430.320.33
Net GEX14.6K9.9K23.1K12.1K23.1K
Net DEX-808.8K-1.5M-469.8K-538.9K-1.5M
Net VEX-3.1K-4.3K-2.4K-2.6K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.141.020.140.63
Total Volume849.1434811,7091,709529
Total OI3,780.5242,7194,5733,8223,973

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$5.78$6.0057.1%16.4%32.9%56.4%54.8%2.1%9.3%12.1K-538.9K-2.6K0.1443.571,5012083,560262
2018-01-03$5.73$6.0057.2%16.4%32.9%56.5%53.4%-4.8%10.1%11.7K-510.8K-2.5K0.3662.835672053,570270
2018-01-04$5.75$5.0054.5%17.9%32.8%52.3%66.1%5.2%-7.7%11.9K-526.3K-2.5K0.5540.865793203,581270
2018-01-05$5.73$5.0053.3%18.5%32.8%50.3%65.0%-2.2%-11.0%10.3K-469.8K-2.5K0.5531.365793203,591323
2018-01-08$5.70$5.0033.9%19.4%32.4%19.7%69.4%0.8%-9.7%9.9K-471.0K-2.5K0.4555.445792603,591323
2018-01-09$5.70$5.0038.9%20.4%32.4%27.6%66.5%3.3%-11.3%10.6K-478.6K-2.4K0.4353.645992603,591314
2018-01-10$5.95$4.0065.9%18.9%36.6%70.3%67.9%9.1%-8.3%11.0K-599.7K-2.6K0.2840.289402603,625314
2018-01-11$6.03$4.0064.9%18.6%36.6%68.6%66.3%10.1%-9.0%13.3K-741.1K-3.1K0.2827.589402603,970314
2018-01-12$5.93$4.0064.5%18.5%36.7%68.0%65.4%5.6%-8.4%12.4K-701.9K-3.0K0.2838.719402603,970314
2018-01-16$6.35$4.0069.1%19.8%44.9%75.3%65.8%19.8%-9.3%13.4K-898.0K-3.0K0.3181.558392603,970314
2018-01-17$6.05$4.0068.9%19.8%47.4%74.9%73.1%-0.2%-8.2%13.4K-827.4K-3.2K0.3159.428392604,181314
2018-01-18$6.00$4.0070.5%20.2%47.2%77.5%67.0%16.2%-12.8%13.6K-795.0K-3.2K0.8966.193242894,181310
2018-01-19$6.05$4.0076.5%21.9%47.1%86.9%69.9%10.4%-25.3%16.6K-916.3K-3.3K0.8579.353402894,243330
2018-01-22$6.20$4.0065.9%18.9%47.5%70.2%67.5%6.0%-5.7%17.0K-893.3K-3.3K0.7017.883042132,529190
2018-01-23$6.20$6.0065.0%18.6%47.4%68.8%67.3%4.7%-5.9%17.1K-891.3K-3.3K0.6651.193242132,540215
2018-01-24$6.23$6.0074.3%21.3%47.1%83.5%71.9%15.4%-13.4%17.0K-917.2K-3.3K0.7349.953342432,550215
2018-01-25$6.18$6.0076.8%22.0%46.7%87.4%75.8%13.6%-13.2%15.7K-884.7K-3.4K0.5643.824362432,560295
2018-01-26$5.95$6.0074.3%21.3%48.0%83.4%75.5%-3.1%-12.1%16.9K-905.1K-3.7K0.4172.426802782,883295
2018-01-29$6.15$6.0078.6%22.5%49.6%90.2%76.3%17.5%-12.4%20.7K-1.2M-4.1K1.0258.242382433,410355
2018-01-30$6.40$6.0082.4%23.6%43.8%96.3%80.7%9.6%-12.6%19.3K-1.4M-4.2K0.5871.243401973,425360
2018-01-31$6.45$6.0078.7%22.6%42.9%90.4%74.7%9.2%-16.6%23.1K-1.5M-4.3K0.6368.283242053,609364