CALX Options History — October 2018

In October 2018, CALX traded between $7.05 and $8.01. ATM implied volatility averaged 48.4%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 21.9% (HV 20d: 26.5%). Max pain ranged from $6.00 to $8.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.39.

Notable Days

  • 2018-10-30: Highest Volume — 1,054 contracts
  • 2018-10-10: Largest IV spike — 88.3% change
  • 2018-10-31: Highest IV Rank — 74.6%
  • 2018-10-31: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.38$7.05$8.01$8.01$7.30
Max Pain$7.00$6.00$8.00$6.00$7.00
ATM IV48.4%24.8%74.1%31.7%74.1%
Expected Move14.9%8.9%21.2%9.1%21.2%
HV 20d26.5%18.4%35.0%32.9%25.8%
HV 60d29.3%28.5%30.4%28.5%30.4%
IV Rank40.5%8.9%74.6%18.2%74.6%
IV Percentile53.0%4.4%94.4%16.7%94.4%
Term Structure-8.2%-21.6%15.8%13.4%-21.6%
VWIV48.8%31.5%63.6%32.3%63.5%
Skew 25d-0.2%-15.6%13.1%2.1%2.3%
Skew 10d4.0%-11.1%32.1%3.1%9.8%
Call IV 25d47.0%26.5%65.4%26.5%64.1%
Put IV 25d46.8%28.6%66.4%28.6%66.4%
Bid-Ask Spread %25.5612.9690.8226.5723.29
Gamma HHI0.770.420.960.460.83
Net GEX48.4K18.3K117.2K45.7K26.5K
Net DEX-1.6M-2.6M-536.5K-2.6M-1.1M
Net VEX-2.8K-4.1K-2.4K-2.7K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.050.850.630.06
Total Volume585.6522121,0542621,022
Total OI3,795.2611,9984,6814,5243,159

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-10-01$8.01$6.0031.7%9.1%32.9%18.2%32.3%2.1%13.4%45.7K-2.6M-2.7K0.6326.571611014,246278
2018-10-02$7.80$6.0031.4%9.0%33.9%17.8%33.1%-0.9%15.8%55.2K-2.4M-2.8K0.6430.551601034,246278
2018-10-03$7.85$6.0031.2%8.9%33.9%17.4%31.5%1.2%15.6%31.8K-2.5M-2.6K0.6527.931581034,238280
2018-10-04$7.65$8.0033.7%13.3%35.0%20.9%46.9%1.7%-6.5%56.4K-2.2M-3.0K0.6518.611591034,241280
2018-10-05$7.50$8.0024.8%13.8%34.0%8.9%48.9%-5.8%-7.9%64.9K-2.0M-3.2K0.5920.571901134,245280
2018-10-08$7.46$8.0029.3%14.5%33.7%14.9%47.7%12.4%-9.5%63.3K-2.1M-2.8K0.6516.521751144,264290
2018-10-09$7.38$7.0026.9%13.8%31.4%11.7%48.7%1.7%-5.7%69.2K-2.0M-2.8K0.6112.961791094,260291
2018-10-10$7.26$7.0050.6%14.5%26.9%43.4%50.3%8.7%-8.4%91.4K-1.8M-2.9K0.6519.121961284,265296
2018-10-11$7.17$7.0050.6%14.5%25.3%43.4%47.3%-3.2%-10.9%105.8K-1.7M-3.0K0.1861.096901264,243321
2018-10-12$7.14$7.0051.1%14.7%18.4%44.0%50.3%6.1%-9.5%117.2K-1.6M-2.9K0.2924.356901974,243324
2018-10-15$7.30$7.0052.3%15.0%21.4%45.7%52.2%1.2%-13.4%79.2K-1.9M-2.7K0.2914.576901974,243425
2018-10-16$7.47$7.0051.7%14.8%23.8%44.9%51.5%13.1%-8.9%40.9K-2.1M-2.5K0.2914.316901974,243425
2018-10-17$7.42$7.0052.0%14.9%23.8%45.3%51.1%5.0%-12.6%53.6K-2.0M-2.6K0.2916.316881984,243425
2018-10-18$7.38$7.0053.5%15.3%23.8%47.2%52.7%3.1%-10.1%57.1K-2.0M-2.6K0.1621.556881084,248433
2018-10-19$7.29$7.0052.1%14.9%23.9%45.3%44.2%-1.0%-11.9%18.3K-2.0M-2.5K0.1514.757331084,248433
2018-10-22$7.31$7.0055.5%15.9%24.1%49.8%44.3%1.4%-11.2%19.9K-665.5K-2.4K0.0619.96655381,795203
2018-10-23$7.33$7.0054.9%15.7%23.4%49.1%48.0%1.6%-11.0%18.6K-670.3K-2.4K0.2331.126551501,796204
2018-10-24$7.19$7.0057.1%16.4%22.9%52.0%49.9%-11.2%-13.3%19.1K-609.0K-2.4K0.3127.276562011,796226
2018-10-25$7.19$7.0054.7%15.7%22.6%48.8%48.9%-12.0%-8.1%19.3K-591.8K-2.6K0.8517.501641401,938342
2018-10-26$7.06$7.0061.3%17.6%21.9%57.6%54.4%-15.6%-15.9%18.6K-536.5K-2.6K0.3420.78158541,945362
2018-10-29$7.05$7.0064.2%18.4%21.7%61.5%61.7%-12.9%-16.8%20.6K-565.2K-2.6K0.2590.82217542,008367
2018-10-30$7.34$7.0069.1%19.8%26.0%68.1%63.6%-3.4%-20.5%19.7K-693.0K-2.6K0.0517.381,000542,008367
2018-10-31$7.30$7.0074.1%21.2%25.8%74.6%63.5%2.3%-21.6%26.5K-1.1M-4.1K0.0623.29964582,792367