CALX Options History — August 2018

In August 2018, CALX traded between $6.65 and $7.78. ATM implied volatility averaged 37.4%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 11.4% (HV 20d: 26.0%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.24.

Notable Days

  • 2018-08-08: Highest Volume — 2,619 contracts
  • 2018-08-08: Largest IV drop — 58.2% change
  • 2018-08-07: Highest IV Rank — 84.1%
  • 2018-08-03: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.19$6.65$7.78$7.00$7.78
Max Pain$6.48$6.00$7.00$7.00$6.00
ATM IV37.4%18.1%81.1%66.0%29.0%
Expected Move10.2%5.2%19.0%18.9%8.3%
HV 20d26.0%18.2%32.6%18.9%30.0%
HV 60d28.1%23.8%30.0%30.0%23.8%
IV Rank25.8%0.0%84.1%63.9%14.5%
IV Percentile27.9%0.4%98.0%87.3%10.3%
Term Structure0.3%-21.8%14.4%-20.5%1.5%
VWIV33.9%19.3%67.2%67.1%27.2%
Skew 25d1.2%-15.9%9.8%3.5%-4.7%
Skew 10d4.6%-10.3%29.9%25.7%-5.0%
Call IV 25d32.7%18.1%71.1%70.3%27.6%
Put IV 25d33.8%19.3%74.8%73.8%22.9%
Bid-Ask Spread %17.429.0430.3716.5311.44
Gamma HHI0.630.520.860.540.52
Net GEX72.4K46.4K140.3K46.4K60.7K
Net DEX-1.8M-2.4M-1.1M-1.8M-2.4M
Net VEX-5.2K-6.8K-4.3K-6.8K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.060.790.660.16
Total Volume977.9132722,619354774
Total OI5,039.134,1905,9575,0494,723

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-08-01$7.00$7.0066.0%18.9%18.9%63.9%67.1%3.5%-20.5%46.4K-1.8M-6.8K0.6616.532131414,778271
2018-08-02$7.00$7.0066.2%19.0%19.0%64.1%66.1%7.0%-21.8%47.5K-1.7M-6.7K0.7518.811871414,788271
2018-08-03$6.93$7.0066.4%19.0%19.0%64.4%67.2%-15.9%-20.0%47.6K-1.7M-6.7K0.7914.041521204,814273
2018-08-06$6.93$7.0058.7%13.4%19.1%54.2%48.2%2.3%-2.2%48.4K-1.6M-6.6K0.0617.481,7501064,825285
2018-08-07$6.90$7.0081.1%13.2%18.2%84.1%46.2%1.5%-3.0%67.0K-1.8M-6.5K0.1525.797141095,605287
2018-08-08$6.65$7.0033.9%9.9%19.8%21.1%38.1%-2.3%-0.9%86.6K-1.4M-5.8K0.0623.732,4641555,654303
2018-08-09$6.85$7.0033.2%10.0%23.3%20.2%28.2%-3.1%-1.3%85.1K-1.3M-5.2K0.0713.781,7741254,942355
2018-08-10$6.88$7.0033.3%9.8%23.2%20.3%27.2%-0.3%-0.7%94.2K-1.4M-5.1K0.1015.461,2801254,944340
2018-08-13$6.98$7.0037.4%10.2%24.1%25.7%27.2%1.8%-1.0%104.0K-1.5M-5.0K0.0913.661,2801104,944340
2018-08-14$7.15$7.0026.6%9.7%26.1%11.3%24.5%5.4%0.1%129.6K-1.9M-4.9K0.0816.721,2801064,954335
2018-08-15$6.98$7.0036.6%10.5%27.1%24.6%33.3%3.8%-1.8%118.1K-1.6M-4.9K0.0916.461,2321064,954336
2018-08-16$6.88$6.0034.1%9.8%26.8%21.4%34.0%2.5%0.2%140.3K-1.2M-4.6K0.099.041,2111064,964336
2018-08-17$6.88$6.0034.6%9.9%26.6%22.0%31.6%-0.9%-0.4%48.1K-1.1M-4.5K0.5912.021721014,975336
2018-08-20$6.98$6.0025.4%7.3%26.4%9.8%25.7%2.4%8.5%51.2K-1.2M-4.4K0.4519.71192863,887303
2018-08-21$7.33$6.0030.3%8.7%32.1%16.3%25.3%9.1%8.1%53.8K-1.6M-4.5K0.1220.42666833,917303
2018-08-22$7.53$6.0025.4%7.3%32.6%9.8%27.4%9.8%6.9%61.5K-2.1M-5.3K0.1630.376611064,496302
2018-08-23$7.55$6.0027.9%8.0%32.4%13.1%25.2%-5.6%4.2%62.6K-2.1M-5.2K0.1621.786611064,533277
2018-08-24$7.60$6.0018.1%5.2%31.1%0.0%19.3%1.1%14.4%62.9K-2.2M-5.1K0.1621.026691064,533277
2018-08-27$7.65$6.0027.1%7.8%30.6%12.0%22.3%4.5%13.8%62.7K-2.3M-4.9K0.1612.556691064,523277
2018-08-28$7.65$6.0020.8%6.0%30.7%3.6%20.8%4.3%9.8%61.3K-2.3M-4.5K0.1616.496511064,503277
2018-08-29$7.65$6.0018.7%5.4%30.4%0.9%20.3%2.6%11.7%62.4K-2.3M-4.7K0.1614.376551064,503277
2018-08-30$7.75$6.0029.4%8.4%30.5%15.1%27.6%-2.1%2.4%62.9K-2.4M-4.6K0.1519.047231064,503277
2018-08-31$7.78$6.0029.0%8.3%30.0%14.5%27.2%-4.7%1.5%60.7K-2.4M-4.3K0.1611.446681064,446277