CALX Options History — May 2018

In May 2018, CALX traded between $6.25 and $6.83. ATM implied volatility averaged 39.2%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 9.9% (HV 20d: 29.3%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.16.

Notable Days

  • 2018-05-17: Highest Volume — 1,886 contracts
  • 2018-05-15: Largest IV spike — 45.2% change
  • 2018-05-08: Highest IV Rank — 80.7%
  • 2018-05-01: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.57$6.25$6.83$6.60$6.83
Max Pain$6.09$6.00$7.00$7.00$6.00
ATM IV39.2%18.1%79.3%62.4%25.5%
Expected Move10.0%5.2%17.9%17.9%7.3%
HV 20d29.3%25.3%34.0%26.6%33.4%
HV 60d33.7%30.3%38.2%38.1%31.3%
IV Rank25.9%0.0%80.7%57.2%9.9%
IV Percentile27.1%0.0%97.2%80.2%2.0%
Term Structure2.3%-13.0%17.9%-13.0%10.4%
VWIV33.8%18.4%57.6%57.6%20.7%
Skew 25d1.4%-17.7%17.2%-13.2%5.9%
Skew 10d5.0%-13.1%89.0%1.6%0.4%
Call IV 25d32.0%18.0%54.6%54.6%23.7%
Put IV 25d33.4%19.9%57.1%41.4%29.5%
Bid-Ask Spread %21.6811.1774.7823.8417.05
Gamma HHI0.590.510.680.590.59
Net GEX44.5K30.5K63.6K34.9K63.6K
Net DEX-1.0M-1.5M-519.4K-1.1M-1.5M
Net VEX-6.1K-6.9K-4.6K-6.8K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.090.340.190.34
Total Volume1,386.7279591,8861,051987
Total OI5,242.1364,5756,0654,8015,587

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$6.60$7.0062.4%17.9%26.6%57.2%57.6%-13.2%-13.0%34.9K-1.1M-6.8K0.1923.848811704,266535
2018-05-02$6.73$7.0055.0%15.8%27.0%46.9%52.6%-4.3%-5.6%37.8K-1.2M-6.8K0.1931.649161704,259535
2018-05-03$6.70$6.0069.4%14.2%27.0%66.9%51.2%6.9%-4.4%36.4K-1.2M-6.9K0.1919.269161764,294535
2018-05-04$6.63$6.0063.8%14.1%27.1%59.2%50.7%4.6%-5.6%35.9K-1.1M-6.8K0.1913.779161764,294546
2018-05-07$6.63$6.0071.1%11.3%27.1%69.3%44.7%7.7%-6.3%41.0K-1.0M-6.4K0.1174.781,5331674,294546
2018-05-08$6.50$6.0079.3%15.2%26.6%80.7%38.4%9.6%-4.6%32.5K-895.2K-6.0K0.2117.929521964,029546
2018-05-09$6.55$6.0043.5%12.5%25.3%30.8%36.2%-1.1%-11.2%48.2K-918.3K-5.8K0.1932.371,0291944,568546
2018-05-10$6.33$6.0030.0%8.6%27.6%12.0%28.4%8.6%3.8%30.5K-695.6K-5.4K0.1919.051,0311924,569553
2018-05-11$6.43$6.0028.6%8.2%28.5%10.0%31.1%2.1%-2.7%37.3K-708.6K-5.3K0.1913.001,0311924,638554
2018-05-14$6.28$6.0025.0%7.2%29.3%5.0%29.8%0.0%6.4%32.2K-610.0K-5.0K0.1913.381,0371924,634554
2018-05-15$6.25$6.0036.3%10.4%26.6%20.8%23.5%17.2%3.5%33.6K-519.4K-4.6K0.1626.101,2271924,629554
2018-05-16$6.50$6.0035.4%10.2%30.5%19.6%31.3%14.3%0.4%48.8K-841.8K-5.6K0.1614.351,0271674,829547
2018-05-17$6.53$6.0021.2%6.1%28.5%0.0%40.9%-2.7%11.8%40.4K-874.7K-5.7K0.1015.851,7191674,839552
2018-05-18$6.62$6.0030.4%8.7%28.6%12.7%26.4%-4.8%4.3%53.7K-1.2M-6.7K0.0940.271,7141575,513552
2018-05-21$6.58$6.0035.6%10.2%28.6%20.1%29.1%-10.5%-3.9%48.2K-1.2M-6.5K0.1020.401,6001544,900522
2018-05-22$6.43$6.0026.9%7.7%28.4%7.9%33.6%-17.7%6.4%44.6K-1.0M-6.1K0.1011.171,5171544,812522
2018-05-23$6.75$6.0033.0%9.4%33.4%16.3%31.7%-6.4%1.5%54.8K-1.4M-6.7K0.1014.161,5161544,932522
2018-05-24$6.68$6.0018.1%5.2%33.6%0.0%18.4%2.6%15.7%57.3K-1.3M-6.4K0.1015.641,5161544,998522
2018-05-25$6.60$6.0019.4%5.6%33.8%1.7%21.9%-0.9%13.3%54.5K-1.2M-6.4K0.1114.291,5161645,038522
2018-05-29$6.60$6.0027.4%7.8%32.8%12.4%24.2%8.4%11.8%53.2K-1.2M-6.3K0.1113.441,5161645,038532
2018-05-30$6.80$6.0026.2%7.5%34.0%10.8%21.5%5.5%17.9%59.9K-1.5M-6.6K0.2115.317951645,038532
2018-05-31$6.83$6.0025.5%7.3%33.4%9.9%20.7%5.9%10.4%63.6K-1.5M-6.4K0.3417.057372505,055532