CALX Options History — January 2019

In January 2019, CALX traded between $8.89 and $11.14. ATM implied volatility averaged 66.6%, placing in the 64.5% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded above realized volatility by 17.7% (HV 20d: 48.9%). Max pain ranged from $7.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2019-01-31: Highest Volume — 2,035 contracts
  • 2019-01-31: Largest IV spike — 19.7% change
  • 2019-01-31: Highest IV Rank — 100.0%
  • 2019-01-30: Largest Expected Move — 23.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.01$8.89$11.14$9.55$10.80
Max Pain$9.62$7.00$12.00$7.00$12.00
ATM IV66.6%48.5%96.3%54.4%96.3%
Expected Move19.1%15.6%23.1%15.6%18.2%
HV 20d48.9%43.3%55.7%43.3%44.8%
HV 60d58.1%55.8%59.5%55.8%59.5%
IV Rank64.5%40.5%100.0%48.5%100.0%
IV Percentile84.8%57.9%100.0%70.6%100.0%
Term Structure-10.0%-20.9%2.5%2.5%-5.1%
VWIV66.9%53.2%81.4%53.2%65.8%
Skew 25d3.2%-1.9%11.3%11.3%-0.8%
Skew 10d15.8%-6.1%35.7%31.2%1.9%
Call IV 25d65.8%47.8%82.9%47.8%65.7%
Put IV 25d69.0%59.1%82.3%59.1%64.9%
Bid-Ask Spread %74.8367.1284.7384.7367.12
Gamma HHI0.590.480.690.660.49
Net GEX70.0K35.4K109.4K37.0K102.7K
Net DEX-5.5M-7.7M-3.2M-3.9M-6.9M
Net VEX-25.7K-28.6K-21.4K-21.8K-27.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.015.670.570.06
Total Volume558.952402,0352632,035
Total OI12,925.52411,59915,19911,66012,978

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-01-02$9.55$7.0054.4%15.6%43.3%48.5%53.2%11.3%2.5%37.0K-3.9M-21.8K0.5784.73168958,7652,895
2019-01-03$9.32$10.0051.0%18.0%43.9%43.9%61.6%4.5%-6.2%35.4K-3.5M-21.4K1.0780.361131218,7502,920
2019-01-04$9.73$10.0048.5%17.1%46.7%40.5%60.5%6.0%-4.3%37.7K-4.2M-21.9K0.5971.032071228,7552,884
2019-01-07$9.76$10.0057.9%17.4%46.4%53.1%60.6%4.1%-4.9%36.9K-4.2M-21.6K0.0173.091,533118,7232,876
2019-01-08$9.68$10.0051.5%17.4%46.0%44.6%60.4%1.2%-4.6%49.1K-4.9M-25.3K0.4675.81723310,1672,871
2019-01-09$9.59$10.0060.0%17.2%45.1%55.9%61.0%9.8%-6.7%48.9K-4.7M-24.8K0.4881.92693310,1342,851
2019-01-10$9.26$10.0063.8%18.3%46.9%60.9%61.6%4.3%-8.9%47.3K-4.0M-24.2K0.5574.951558610,1072,871
2019-01-11$9.03$10.0062.9%18.0%47.5%59.7%62.1%5.7%-8.3%50.4K-3.5M-23.4K0.5978.3917210210,2122,906
2019-01-14$8.89$10.0065.1%18.7%47.7%62.6%64.8%8.0%-10.5%50.9K-3.2M-22.1K2.6477.69143710,2232,925
2019-01-15$9.62$10.0065.7%18.8%55.7%63.5%66.5%3.1%-10.0%46.1K-4.7M-24.4K0.1278.031,48018310,2342,944
2019-01-16$9.78$10.0064.9%18.6%53.4%62.4%65.1%1.8%-10.4%56.8K-6.0M-28.4K0.1470.411,53922011,7183,123
2019-01-17$10.07$10.0065.5%18.8%53.9%63.2%67.4%1.2%-8.4%49.6K-6.8M-28.6K0.4573.1955624811,7713,124
2019-01-18$10.15$9.0066.0%18.9%53.1%63.8%65.4%2.3%-11.2%94.3K-7.3M-28.5K0.6375.4942426812,0733,126
2019-01-22$10.18$9.0071.1%20.4%53.0%70.6%71.6%0.8%-12.4%95.3K-5.6M-28.3K0.2475.751222910,3601,982
2019-01-23$10.56$10.0068.7%19.7%52.8%67.4%70.2%3.9%-10.8%98.8K-6.3M-28.2K0.2474.841192910,3881,993
2019-01-24$10.78$9.0073.6%21.1%50.7%74.0%74.3%0.0%-17.3%98.9K-6.8M-28.2K0.0868.615214410,3881,993
2019-01-25$11.14$9.0072.9%20.9%50.9%73.1%71.9%2.7%-15.6%108.1K-7.7M-28.0K0.2569.081904710,7791,999
2019-01-28$10.86$9.0078.7%22.6%52.5%80.8%78.5%-1.9%-17.4%107.5K-7.2M-27.7K5.6771.5063410,8632,010
2019-01-29$10.78$9.0079.5%22.8%46.4%81.8%80.1%0.0%-18.0%109.4K-6.9M-28.2K0.3774.591043810,8652,020
2019-01-30$10.68$9.0080.5%23.1%45.4%83.2%81.4%-0.6%-20.9%108.6K-6.7M-27.7K1.0974.8817218710,8382,032
2019-01-31$10.80$12.0096.3%18.2%44.8%100.0%65.8%-0.8%-5.1%102.7K-6.9M-27.9K0.0667.121,92011510,8372,141