CALX Options History — September 2018

In September 2018, CALX traded between $7.90 and $8.93. ATM implied volatility averaged 33.3%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 4.0% (HV 20d: 29.3%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.36.

Notable Days

2018-09-07: Highest Volume — 792 contracts
2018-09-12: Largest IV spike — 81.4% change
2018-09-18: Highest IV Rank — 28.5%
2018-09-18: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.24	$7.90	$8.93	$7.90	$8.15
Max Pain	$6.00	$6.00	$6.00	$6.00	$6.00
ATM IV	33.3%	20.4%	39.4%	30.0%	33.2%
Expected Move	9.7%	8.4%	11.3%	8.6%	9.5%
HV 20d	29.3%	23.3%	33.8%	30.1%	32.1%
HV 60d	26.6%	23.9%	28.4%	23.9%	28.2%
IV Rank	20.3%	3.1%	28.5%	15.9%	20.2%
IV Percentile	23.1%	1.6%	40.5%	12.3%	21.4%
Term Structure	6.2%	-0.9%	13.5%	2.4%	10.9%
VWIV	31.5%	24.8%	38.4%	30.0%	27.6%
Skew 25d	0.7%	-6.7%	11.3%	-1.5%	3.6%
Skew 10d	0.1%	-12.9%	14.0%	-1.3%	3.0%
Call IV 25d	29.9%	21.5%	37.5%	28.1%	26.6%
Put IV 25d	30.6%	25.1%	35.5%	26.6%	30.2%
Bid-Ask Spread %	20.49	12.76	28.82	19.20	20.90
Gamma HHI	0.42	0.30	0.48	0.48	0.43
Net GEX	46.1K	31.1K	58.6K	58.6K	44.5K
Net DEX	-2.8M	-3.4M	-2.5M	-2.5M	-2.7M
Net VEX	-3.2K	-4.1K	-2.4K	-4.0K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.36	0.16	0.64	0.16	0.63
Total Volume	457.053	262	792	773	262
Total OI	4,621.579	4,489	4,724	4,724	4,530

Daily Data (19 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
2018-09-04	$7.90	$6.00	30.0%	8.6%	30.1%	15.9%	30.0%	-1.5%	2.4%	58.6K	-2.5M	-4.0K	0.16	19.20	667	106	4,447	277
2018-09-05	$7.95	$6.00	33.6%	9.6%	29.8%	20.7%	33.5%	0.4%	-0.9%	57.4K	-2.6M	-4.1K	0.16	12.76	648	106	4,447	277
2018-09-06	$7.98	$6.00	32.8%	9.2%	25.0%	19.7%	24.8%	3.2%	4.6%	56.7K	-2.6M	-3.9K	0.16	12.98	647	106	4,444	277
2018-09-07	$8.18	$6.00	29.8%	8.4%	24.5%	15.7%	25.5%	4.9%	7.2%	54.0K	-2.9M	-3.3K	0.16	18.04	685	107	4,445	277
2018-09-10	$8.25	$6.00	28.8%	9.2%	24.4%	14.3%	28.8%	-3.6%	5.5%	50.1K	-2.9M	-3.4K	0.64	26.23	168	107	4,415	278
2018-09-11	$8.48	$6.00	20.4%	8.7%	25.2%	3.1%	31.2%	-0.2%	6.3%	48.1K	-3.0M	-3.4K	0.56	15.53	172	97	4,398	278
2018-09-12	$8.80	$6.00	37.0%	10.6%	26.6%	25.3%	37.3%	8.3%	1.6%	35.6K	-3.3M	-2.8K	0.19	22.78	483	92	4,322	273
2018-09-13	$8.93	$6.00	31.9%	9.2%	23.3%	18.5%	31.1%	11.3%	5.0%	31.1K	-3.4M	-2.4K	0.31	23.04	314	96	4,303	273
2018-09-14	$8.43	$6.00	29.7%	8.5%	32.9%	15.5%	28.7%	-1.4%	10.9%	39.9K	-3.0M	-2.9K	0.29	28.02	334	96	4,329	277
2018-09-17	$8.35	$6.00	38.5%	11.0%	33.5%	27.3%	38.4%	-1.9%	4.3%	42.0K	-2.9M	-3.1K	0.25	17.92	382	96	4,321	277
2018-09-18	$8.32	$6.00	39.4%	11.3%	33.8%	28.5%	37.1%	-0.1%	0.9%	41.4K	-2.8M	-3.1K	0.25	23.81	380	96	4,322	277
2018-09-19	$8.25	$6.00	34.9%	10.0%	30.7%	22.4%	35.7%	-5.9%	5.8%	46.3K	-2.8M	-3.1K	0.27	20.91	352	96	4,342	277
2018-09-20	$8.20	$6.00	37.4%	10.7%	29.9%	25.7%	35.6%	-6.1%	3.1%	45.6K	-2.7M	-3.3K	0.31	19.48	341	106	4,392	277
2018-09-21	$8.13	$6.00	37.4%	10.7%	30.3%	25.8%	31.8%	-6.7%	2.3%	45.6K	-2.7M	-3.4K	0.38	15.95	279	106	4,416	287
2018-09-24	$8.10	$6.00	34.5%	9.9%	30.4%	21.9%	36.2%	-5.9%	13.3%	46.0K	-2.6M	-3.2K	0.48	23.37	212	101	4,211	278
2018-09-25	$8.20	$6.00	34.8%	10.0%	30.5%	22.3%	26.8%	7.4%	12.1%	42.9K	-2.7M	-3.0K	0.54	23.42	187	101	4,226	278
2018-09-26	$8.00	$6.00	32.2%	9.2%	32.1%	18.8%	28.7%	4.6%	13.5%	43.6K	-2.6M	-3.0K	0.53	28.82	189	101	4,253	278
2018-09-27	$8.05	$6.00	36.3%	10.4%	32.1%	24.3%	28.6%	2.5%	8.7%	46.1K	-2.6M	-3.1K	0.61	16.25	165	101	4,253	278
2018-09-28	$8.15	$6.00	33.2%	9.5%	32.1%	20.2%	27.6%	3.6%	10.9%	44.5K	-2.7M	-2.8K	0.63	20.90	161	101	4,252	278