CALX Options History — March 2018

In March 2018, CALX traded between $6.60 and $7.27. ATM implied volatility averaged 45.1%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 1.2% (HV 20d: 43.9%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.22.

Notable Days

  • 2018-03-14: Highest Volume — 3,798 contracts
  • 2018-03-14: Largest IV spike — 35.2% change
  • 2018-03-16: Highest IV Rank — 43.9%
  • 2018-03-16: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.85$6.60$7.27$6.60$6.83
Max Pain$5.10$5.00$6.00$6.00$5.00
ATM IV45.1%32.8%52.9%45.9%47.0%
Expected Move13.6%11.7%15.2%13.2%13.5%
HV 20d43.9%33.3%52.5%52.5%33.6%
HV 60d44.5%43.0%46.3%43.6%43.0%
IV Rank33.1%15.9%43.9%34.2%35.7%
IV Percentile40.1%4.8%59.9%43.7%45.6%
Term Structure7.7%-1.0%18.0%3.0%10.4%
VWIV43.9%29.6%53.5%46.9%47.8%
Skew 25d3.1%-13.4%19.0%6.0%4.0%
Skew 10d5.7%-14.5%36.7%12.8%11.8%
Call IV 25d40.6%31.6%50.1%45.9%35.4%
Put IV 25d43.7%30.9%56.0%51.9%39.4%
Bid-Ask Spread %46.4217.9984.0744.9517.99
Gamma HHI0.400.310.560.310.45
Net GEX45.3K32.4K59.8K33.5K57.1K
Net DEX-2.5M-3.4M-1.6M-1.6M-3.1M
Net VEX-7.6K-11.0K-4.2K-4.4K-10.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.070.300.250.23
Total Volume1,833.2861,3113,7981,6191,790
Total OI6,434.5714,5438,2154,5438,215

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$6.60$6.0045.9%13.2%52.5%34.2%46.9%6.0%3.0%33.5K-1.6M-4.4K0.2544.951,2983214,070473
2018-03-02$6.70$6.0040.7%11.7%51.2%26.9%32.7%6.0%18.0%32.8K-1.7M-4.4K0.2535.541,2983214,078483
2018-03-05$6.75$5.0037.7%14.5%50.9%22.8%47.9%5.9%2.6%32.4K-1.8M-4.2K0.2546.071,2983214,088483
2018-03-06$6.75$5.0042.0%13.9%50.6%28.7%52.2%5.3%6.1%32.9K-1.8M-4.2K0.2938.631,2033514,088483
2018-03-07$6.80$5.0046.7%14.1%49.8%35.3%52.9%5.2%5.2%34.0K-1.8M-4.3K0.3045.151,1553514,143513
2018-03-08$6.85$5.0032.8%12.6%49.7%15.9%53.5%4.1%11.8%38.6K-1.9M-4.2K0.2927.321,2163514,173543
2018-03-09$6.85$5.0040.3%13.2%49.1%26.3%49.0%16.6%5.8%38.0K-2.0M-4.8K0.2350.621,5013514,434543
2018-03-12$6.85$5.0050.9%13.4%49.1%41.2%49.2%15.5%5.4%39.9K-2.1M-5.2K0.1937.081,2372384,719543
2018-03-13$6.85$5.0035.3%13.2%48.6%19.4%29.6%15.3%5.5%42.7K-2.1M-5.3K0.2136.291,1402384,799553
2018-03-14$7.27$5.0047.8%13.7%49.8%36.8%48.1%19.0%6.4%33.1K-2.5M-5.3K0.0784.073,5652334,804553
2018-03-15$7.10$5.0046.0%13.2%47.8%34.3%35.6%-9.9%6.5%59.8K-3.2M-9.3K0.2430.441,0532586,760558
2018-03-16$7.25$5.0052.9%15.2%36.4%43.9%40.2%-3.6%-1.0%43.3K-3.4M-9.3K0.2762.871,2203286,763578
2018-03-19$6.88$5.0050.1%14.4%40.9%40.1%52.4%1.3%6.9%46.5K-2.8M-9.2K0.2440.911,2863146,611493
2018-03-20$6.80$5.0044.3%12.7%41.2%31.9%46.9%-13.4%11.9%51.7K-2.8M-9.5K0.1645.992,0123296,873525
2018-03-21$6.80$5.0048.3%13.8%39.7%37.5%30.8%5.1%10.6%53.4K-3.1M-10.9K0.1670.302,0123297,623550
2018-03-22$6.85$5.0052.5%15.1%36.9%43.4%41.3%-0.8%4.9%54.6K-3.1M-11.0K0.1669.762,0323297,623550
2018-03-23$6.75$5.0048.1%13.8%37.1%37.3%36.1%-1.5%9.1%54.9K-3.1M-10.8K0.2256.801,4913297,643550
2018-03-26$6.83$5.0047.1%13.5%37.3%35.9%38.7%-2.2%9.4%57.0K-3.1M-10.7K0.2221.061,4913297,669546
2018-03-27$6.75$5.0044.4%12.7%37.5%32.1%42.8%-5.5%12.6%57.4K-3.0M-10.6K0.2357.881,4613297,669546
2018-03-28$6.73$5.0046.3%13.3%33.3%34.8%47.3%-7.4%11.7%58.4K-2.9M-10.5K0.2355.161,4613297,669546
2018-03-29$6.83$5.0047.0%13.5%33.6%35.7%47.8%4.0%10.4%57.1K-3.1M-10.6K0.2317.991,4613297,669546