CALX Options History — November 2018

In November 2018, CALX traded between $7.42 and $10.73. ATM implied volatility averaged 46.9%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 25.5% (HV 20d: 72.4%). Max pain ranged from $7.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2018-11-09: Highest Volume — 3,791 contracts
  • 2018-11-09: Largest IV spike — 69.9% change
  • 2018-11-02: Highest IV Rank — 73.8%
  • 2018-11-02: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.71$7.42$10.73$7.42$9.66
Max Pain$9.68$7.00$10.00$7.00$10.00
ATM IV46.9%30.3%73.4%72.5%39.7%
Expected Move12.7%8.6%21.0%20.8%11.4%
HV 20d72.4%24.5%82.8%25.3%82.8%
HV 60d49.6%28.9%54.2%29.5%54.2%
IV Rank38.5%16.2%73.8%72.6%28.9%
IV Percentile49.9%13.9%94.0%93.7%38.5%
Term Structure-3.1%-23.7%2.0%-20.0%0.7%
VWIV42.9%30.0%72.7%59.2%40.6%
Skew 25d4.8%-3.5%18.0%18.0%9.7%
Skew 10d9.5%-22.4%45.7%45.7%11.6%
Call IV 25d41.9%21.1%74.4%60.8%33.9%
Put IV 25d46.7%30.8%78.8%78.8%43.5%
Bid-Ask Spread %37.8413.9589.2324.7087.67
Gamma HHI0.440.340.850.850.35
Net GEX29.2K15.5K46.2K28.2K23.2K
Net DEX-3.1M-4.6M-1.1M-1.1M-2.6M
Net VEX-7.2K-9.6K-2.2K-4.1K-8.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.051.580.060.39
Total Volume1,218.4293403,7911,015918
Total OI5,812.1433,1837,6543,1926,329

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$7.42$7.0072.5%20.8%25.3%72.6%59.2%18.0%-20.0%28.2K-1.1M-4.1K0.0624.70957582,821371
2018-11-02$7.48$7.0073.4%21.0%24.5%73.8%72.7%-3.5%-23.7%28.1K-1.2M-4.0K0.0619.46920592,812371
2018-11-05$7.56$0.0070.5%13.6%24.7%69.9%0.0%-0.5%-4.7%28.2K-1.2M-4.0K0.3023.011,2883902,834378
2018-11-06$9.39$0.0040.7%10.2%80.3%30.2%34.3%1.5%-3.9%18.7K-2.7M-2.2K1.5813.954657353,190713
2018-11-07$9.71$10.0032.6%8.9%79.9%19.4%30.8%11.8%0.3%15.5K-2.8M-2.5K0.5915.915593293,394989
2018-11-08$9.87$10.0030.3%8.6%79.3%16.2%30.0%9.7%2.0%22.8K-3.1M-2.6K0.9131.703142853,6581,158
2018-11-09$10.28$10.0051.4%12.2%79.3%44.4%42.4%4.5%-1.7%17.2K-3.1M-3.0K0.1854.253,2145773,5311,157
2018-11-12$10.22$10.0055.3%12.3%79.8%49.6%42.6%4.7%-2.3%43.2K-4.3M-9.5K0.0732.843,2022315,8331,586
2018-11-13$10.40$10.0050.5%12.4%79.7%43.2%43.0%4.0%-3.2%35.9K-4.3M-9.5K0.0550.332,8181405,7471,701
2018-11-14$10.50$10.0046.2%13.2%79.3%37.4%43.3%5.8%-1.1%43.7K-4.5M-9.6K0.4344.204832105,8841,770
2018-11-15$10.73$10.0042.5%12.2%78.9%32.5%42.1%-0.1%-1.6%46.2K-4.6M-9.5K0.4835.904422105,8251,784
2018-11-16$10.62$10.0042.8%12.3%78.8%32.9%43.5%4.5%-1.3%32.0K-4.5M-9.5K0.8028.222822265,8081,790
2018-11-19$10.59$10.0043.4%12.4%78.9%33.8%44.2%-0.2%-0.1%33.3K-4.0M-9.2K0.9017.331791615,1961,184
2018-11-20$10.20$10.0046.0%13.2%81.3%37.3%46.3%2.2%-2.5%31.4K-3.6M-9.5K0.7941.631941535,2171,219
2018-11-21$10.00$10.0040.4%11.6%81.3%29.8%41.2%4.8%-1.3%31.8K-3.4M-9.4K0.3622.466762465,2381,219
2018-11-23$9.95$10.0041.9%12.0%81.5%31.7%40.2%4.9%-0.8%29.5K-3.0M-9.0K0.3769.366902524,9111,269
2018-11-26$9.87$10.0040.7%11.7%81.0%30.2%40.0%6.4%-0.7%29.3K-2.9M-8.9K0.5921.816563884,9311,281
2018-11-27$9.77$10.0041.2%11.8%81.3%30.8%39.8%1.8%0.2%24.6K-2.8M-8.8K0.3531.806562274,9301,389
2018-11-28$10.05$10.0042.3%12.1%80.9%32.3%42.4%2.4%-0.1%25.9K-3.0M-8.9K0.3638.986632384,9301,389
2018-11-29$9.73$10.0041.4%11.9%82.4%31.1%39.7%8.7%-0.2%23.8K-2.7M-8.7K0.3689.236592374,9271,391
2018-11-30$9.66$10.0039.7%11.4%82.8%28.9%40.6%9.7%0.7%23.2K-2.6M-8.6K0.3987.676592594,9281,401