CALX Options History — June 2018

In June 2018, CALX traded between $7.30 and $8.00. ATM implied volatility averaged 32.9%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 3.8% (HV 20d: 36.7%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.75.

Notable Days

2018-06-04: Highest Volume — 1,768 contracts
2018-06-11: Largest IV spike — 94.7% change
2018-06-11: Highest IV Rank — 36.1%
2018-06-28: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.82	$7.30	$8.00	$7.30	$7.78
Max Pain	$6.95	$6.00	$7.00	$6.00	$7.00
ATM IV	32.9%	21.9%	45.1%	30.5%	24.6%
Expected Move	9.4%	7.0%	10.9%	8.7%	7.0%
HV 20d	36.7%	25.4%	42.9%	40.6%	25.4%
HV 60d	32.5%	31.0%	35.5%	34.1%	31.4%
IV Rank	19.8%	5.2%	36.1%	16.5%	8.7%
IV Percentile	13.8%	1.6%	40.9%	6.3%	2.4%
Term Structure	9.4%	2.7%	27.4%	2.7%	27.4%
VWIV	32.5%	23.9%	41.3%	29.2%	23.9%
Skew 25d	3.6%	-12.2%	13.9%	7.2%	5.9%
Skew 10d	5.9%	-12.8%	22.4%	8.5%	2.8%
Call IV 25d	27.1%	21.2%	38.5%	24.6%	21.2%
Put IV 25d	30.6%	23.1%	42.1%	31.8%	27.0%
Bid-Ask Spread %	20.15	11.89	41.87	15.40	29.74
Gamma HHI	0.42	0.35	0.65	0.51	0.37
Net GEX	65.0K	44.2K	135.3K	65.9K	51.6K
Net DEX	-2.4M	-2.7M	-2.0M	-2.1M	-2.1M
Net VEX	-5.3K	-6.7K	-4.6K	-6.7K	-4.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.12	1.53	0.19	1.50
Total Volume	631.762	368	1,768	1,212	514
Total OI	5,171.429	4,647	5,770	5,653	4,674

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-06-01	$7.30	$6.00	30.5%	8.7%	40.6%	16.5%	29.2%	7.2%	2.7%	65.9K	-2.1M	-6.7K	0.19	15.40	1,021	191	5,055	598
2018-06-04	$7.65	$7.00	39.4%	8.0%	42.9%	28.4%	29.2%	3.9%	4.9%	55.8K	-2.4M	-6.0K	0.12	39.70	1,577	191	4,754	577
2018-06-05	$7.70	$7.00	38.1%	9.4%	42.8%	26.8%	31.9%	-12.2%	6.7%	67.8K	-2.5M	-5.9K	0.42	13.93	460	191	4,943	577
2018-06-06	$7.85	$7.00	34.3%	9.4%	41.8%	21.6%	33.1%	1.0%	7.0%	84.8K	-2.7M	-5.9K	0.28	15.64	682	191	5,193	577
2018-06-07	$7.90	$7.00	31.2%	9.8%	41.8%	17.5%	34.8%	12.7%	5.9%	86.6K	-2.7M	-5.9K	0.26	19.07	666	174	5,177	577
2018-06-08	$7.80	$7.00	23.2%	9.9%	39.4%	6.8%	34.8%	11.2%	5.4%	94.8K	-2.6M	-5.8K	0.28	18.92	611	174	5,172	585
2018-06-11	$7.83	$7.00	45.1%	9.9%	39.4%	36.1%	35.6%	10.1%	5.0%	83.2K	-2.5M	-5.6K	0.57	19.69	393	223	4,950	585
2018-06-12	$7.80	$7.00	21.9%	9.0%	37.8%	5.2%	29.2%	-2.4%	8.2%	91.5K	-2.4M	-5.3K	0.62	15.04	359	223	4,940	605
2018-06-13	$7.80	$7.00	32.8%	9.4%	37.6%	19.6%	31.2%	8.1%	6.5%	86.2K	-2.5M	-5.4K	0.69	16.34	325	223	4,940	605
2018-06-14	$8.00	$7.00	32.4%	9.3%	36.5%	19.1%	35.8%	13.3%	7.1%	135.3K	-2.7M	-5.2K	0.76	11.89	300	228	4,913	605
2018-06-15	$7.93	$7.00	31.6%	9.1%	37.1%	18.1%	29.8%	11.3%	7.8%	45.4K	-2.4M	-5.0K	0.70	18.67	284	199	4,930	625
2018-06-18	$7.93	$7.00	34.4%	9.9%	37.2%	21.8%	31.6%	1.3%	8.5%	44.2K	-2.3M	-4.9K	0.86	17.17	225	193	4,150	607
2018-06-19	$7.90	$7.00	32.2%	9.2%	37.1%	18.8%	32.0%	-0.7%	13.7%	45.0K	-2.3M	-5.1K	0.89	13.35	217	193	4,162	607
2018-06-20	$7.98	$7.00	32.8%	9.4%	35.1%	19.6%	29.9%	4.9%	14.1%	45.3K	-2.4M	-4.8K	0.77	13.50	241	186	4,161	607
2018-06-21	$7.88	$7.00	31.7%	9.1%	33.0%	18.2%	28.9%	-1.5%	13.2%	45.9K	-2.2M	-4.9K	0.77	41.87	241	186	4,122	608
2018-06-22	$7.83	$7.00	33.5%	9.6%	32.8%	20.5%	36.2%	0.1%	10.8%	45.1K	-2.2M	-4.9K	0.91	19.56	204	186	4,039	608
2018-06-25	$7.75	$7.00	37.6%	10.8%	32.6%	26.0%	39.6%	-6.9%	8.2%	45.9K	-2.0M	-4.9K	1.16	17.37	170	198	4,065	608
2018-06-26	$7.95	$7.00	31.9%	9.1%	33.1%	18.4%	32.1%	-0.1%	15.6%	48.5K	-2.3M	-4.6K	1.01	17.98	201	203	4,060	625
2018-06-27	$7.83	$7.00	33.7%	9.7%	33.2%	20.8%	41.3%	13.9%	13.7%	48.9K	-2.2M	-4.8K	1.53	13.96	201	308	4,105	625
2018-06-28	$7.73	$7.00	38.0%	10.9%	33.9%	26.6%	33.3%	-6.5%	6.0%	47.7K	-2.1M	-4.9K	1.50	34.34	206	308	4,105	579
2018-06-29	$7.78	$7.00	24.6%	7.0%	25.4%	8.7%	23.9%	5.9%	27.4%	51.6K	-2.1M	-4.7K	1.50	29.74	206	308	4,095	579