CALX Options History — April 2018

In April 2018, CALX traded between $6.55 and $7.13. ATM implied volatility averaged 53.9%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 24.6% (HV 20d: 29.2%). Max pain ranged from $5.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2018-04-20: Highest Volume — 2,850 contracts
  • 2018-04-10: Largest IV spike — 74.5% change
  • 2018-04-10: Highest IV Rank — 59.8%
  • 2018-04-17: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.77$6.55$7.13$6.68$6.70
Max Pain$6.71$5.00$7.00$5.00$7.00
ATM IV53.9%36.8%64.2%38.0%61.9%
Expected Move15.9%10.9%18.2%10.9%17.7%
HV 20d29.2%21.4%36.4%34.3%26.1%
HV 60d40.8%38.1%43.4%43.3%38.1%
IV Rank45.3%21.5%59.8%23.1%56.5%
IV Percentile59.9%10.7%82.9%17.1%79.8%
Term Structure-4.4%-14.5%29.8%15.3%-12.1%
VWIV56.7%34.2%64.4%39.7%62.9%
Skew 25d5.0%-10.5%19.6%-10.5%19.6%
Skew 10d10.7%-6.9%27.9%-6.0%17.6%
Call IV 25d52.8%29.0%71.1%40.6%50.0%
Put IV 25d57.8%30.0%70.1%30.0%69.7%
Bid-Ask Spread %46.6413.05113.6738.4420.07
Gamma HHI0.570.440.750.440.57
Net GEX51.2K32.7K70.0K58.4K34.2K
Net DEX-2.3M-3.0M-1.0M-2.9M-1.1M
Net VEX-9.0K-10.3K-6.8K-10.1K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.080.230.230.19
Total Volume1,640.3811,0432,8501,7901,052
Total OI6,893.4764,7208,3378,2254,776

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$6.68$5.0038.0%10.9%34.3%23.1%39.7%-10.5%15.3%58.4K-2.9M-10.1K0.2338.441,4613297,679546
2018-04-03$6.65$5.0042.7%12.2%34.2%29.7%34.9%-6.8%14.2%60.5K-2.9M-10.0K0.2328.901,4523327,679546
2018-04-04$6.75$5.0038.1%10.9%34.6%23.3%34.2%8.7%29.8%59.1K-3.0M-10.3K0.2331.431,4613417,679627
2018-04-05$6.73$7.0049.3%15.3%34.5%38.9%54.4%1.6%2.3%57.4K-3.0M-10.2K0.23100.991,4613417,689636
2018-04-06$6.68$7.0041.5%16.6%34.5%28.1%59.3%1.6%0.9%58.7K-2.9M-10.1K0.1866.641,4612637,689636
2018-04-09$6.65$7.0036.8%16.4%34.5%21.5%59.9%4.5%-6.7%60.6K-2.9M-9.7K0.20113.671,4612917,699638
2018-04-10$6.80$7.0064.2%17.3%35.5%59.8%62.9%7.0%-10.4%58.7K-2.4M-10.1K0.2053.861,4612916,725638
2018-04-11$6.95$7.0043.4%12.4%36.4%30.7%61.4%17.2%-2.3%62.7K-2.6M-10.0K0.1978.391,4612716,735638
2018-04-12$6.95$7.0058.7%16.8%29.0%52.0%61.7%10.6%-11.3%49.5K-2.7M-9.9K0.1996.391,4612716,735633
2018-04-13$6.93$7.0058.1%16.7%27.9%51.2%60.6%7.7%-6.1%57.2K-2.6M-9.9K0.1737.731,4612516,735633
2018-04-16$6.93$7.0054.5%15.6%26.7%46.1%60.4%5.9%-4.6%59.9K-2.6M-9.7K0.1748.441,4612516,735643
2018-04-17$7.13$7.0063.6%18.2%21.4%58.9%64.4%10.8%-14.5%61.0K-2.9M-9.8K0.1834.711,3672446,735643
2018-04-18$6.98$7.0061.1%17.5%22.5%55.4%62.4%5.9%-12.8%70.0K-2.7M-9.6K0.1817.641,3712446,781637
2018-04-19$6.75$7.0060.5%17.4%25.6%54.6%60.5%-9.8%-12.9%61.4K-2.3M-9.2K0.1844.211,3712466,781637
2018-04-20$6.83$7.0058.2%16.7%25.9%51.3%58.2%4.6%-10.8%39.6K-2.3M-9.3K0.0947.422,6042466,781649
2018-04-23$6.80$7.0063.5%18.2%25.4%58.7%62.7%0.6%-13.1%33.6K-1.3M-7.3K0.0822.942,0581614,194526
2018-04-24$6.63$7.0060.7%17.4%26.5%54.8%59.6%11.6%-9.8%32.7K-1.1M-7.0K0.1813.058821614,219526
2018-04-25$6.58$7.0059.6%17.1%26.4%53.3%57.2%5.8%-8.2%33.0K-1.1M-7.0K0.1820.208821614,216526
2018-04-26$6.60$7.0059.2%17.0%26.4%52.7%56.7%2.8%-9.9%33.2K-1.1M-7.0K0.1944.948821704,241526
2018-04-27$6.55$7.0057.7%16.5%25.8%50.6%56.9%5.6%-9.4%33.6K-1.0M-6.8K0.1919.318821704,241535
2018-04-30$6.70$7.0061.9%17.7%26.1%56.5%62.9%19.6%-12.1%34.2K-1.1M-6.9K0.1920.078821704,241535