CALX Options History — March 2019

In March 2019, CALX traded between $7.62 and $8.18. ATM implied volatility averaged 40.2%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 5.4% (HV 20d: 45.6%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.44.

Notable Days

  • 2019-03-08: Highest Volume — 433 contracts
  • 2019-03-06: Largest IV spike — 37.0% change
  • 2019-03-04: Highest IV Rank — 27.1%
  • 2019-03-18: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.89$7.62$8.18$8.18$7.76
Max Pain$7.89$7.00$9.00$8.00$8.00
ATM IV40.2%32.6%45.2%42.2%36.4%
Expected Move14.7%9.3%18.4%12.1%16.7%
HV 20d45.6%22.9%120.2%120.2%26.8%
HV 60d77.6%75.5%78.1%78.0%75.5%
IV Rank22.1%14.5%27.1%24.2%18.3%
IV Percentile43.4%20.6%56.0%49.6%32.5%
Term Structure12.7%-1.7%25.7%-1.7%25.7%
VWIV53.6%42.2%62.2%42.2%57.7%
Skew 25d1.2%-10.2%17.0%10.4%5.4%
Skew 10d12.8%-5.8%40.1%7.1%22.4%
Call IV 25d33.8%23.7%42.9%28.0%28.3%
Put IV 25d35.0%29.0%49.5%38.3%33.8%
Bid-Ask Spread %81.5062.9498.3887.5887.85
Gamma HHI0.340.320.390.330.35
Net GEX121.1K106.7K159.8K130.6K116.7K
Net DEX-1.6M-2.5M-888.3K-2.5M-1.0M
Net VEX-16.9K-20.8K-13.9K-20.8K-14.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.0013.550.310.04
Total Volume147.8570433141232
Total OI15,671.66715,23616,07815,81415,473

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$8.18$8.0042.2%12.1%120.2%24.2%42.2%10.4%-1.7%130.6K-2.5M-20.8K0.3187.581083313,2652,549
2019-03-04$8.12$8.0045.2%13.0%119.6%27.1%0.0%-10.2%5.2%130.4K-2.4M-19.7K0.0293.09223513,2642,559
2019-03-05$8.15$8.0032.6%9.3%119.7%14.5%0.0%-6.5%8.2%134.0K-2.4M-19.7K0.2498.382275513,4572,518
2019-03-06$7.92$8.0044.7%12.8%119.7%26.6%0.0%1.7%7.6%122.0K-1.8M-18.2K0.2490.412285513,4612,568
2019-03-07$7.81$8.0035.6%10.2%35.0%17.5%0.0%0.9%4.6%115.9K-1.6M-18.0K0.2688.992286013,4622,568
2019-03-08$7.74$8.0033.8%9.7%30.4%15.7%52.2%0.6%7.4%110.1K-1.4M-16.7K0.6592.2226317013,4622,573
2019-03-11$7.94$9.0042.5%14.4%30.9%24.4%49.3%-7.6%7.6%121.9K-1.9M-18.6K0.3164.3416513,4092,608
2019-03-12$7.91$9.0040.7%14.1%30.8%22.7%48.2%-9.0%8.9%122.7K-1.7M-17.4K0.6064.735313,3982,610
2019-03-13$7.87$9.0040.0%14.2%28.3%21.9%48.4%2.5%9.5%122.6K-1.6M-17.1K13.5562.941114913,3952,610
2019-03-14$7.81$9.0040.2%14.1%28.4%22.1%47.6%0.3%9.0%118.0K-1.3M-16.3K10.6464.731111713,3952,674
2019-03-15$8.01$9.0039.8%14.2%29.2%21.7%48.1%5.5%9.7%159.8K-1.8M-17.3K1.6263.657712513,4012,677
2019-03-18$8.15$0.0040.5%18.4%28.2%22.5%0.0%10.1%24.2%128.8K-2.2M-18.1K0.0098.1294012,8182,418
2019-03-19$7.96$0.0041.0%17.4%29.0%23.0%60.8%-0.1%18.6%119.3K-1.8M-17.5K0.0774.58106712,8452,418
2019-03-20$7.91$7.0040.3%17.0%28.2%22.3%62.2%17.0%18.2%118.3K-1.5M-16.5K0.0982.4577712,8552,421
2019-03-21$7.95$7.0041.0%17.7%22.9%23.0%61.1%2.8%20.5%119.6K-1.8M-17.2K0.0971.7977712,8562,426
2019-03-22$7.69$7.0040.2%17.4%25.3%22.2%61.1%-2.5%21.4%109.1K-1.1M-15.1K0.0578.65100512,8562,426
2019-03-25$7.79$7.0043.5%16.7%25.9%25.4%0.0%-3.9%16.1%112.4K-1.1M-14.6K0.0083.560012,9202,429
2019-03-26$7.62$7.0042.0%17.2%25.9%24.0%0.0%-2.1%17.2%106.7K-939.4K-14.2K0.0089.0810012,9202,429
2019-03-27$7.72$7.0040.8%17.6%26.4%22.8%0.0%14.8%19.8%113.4K-982.5K-14.4K0.0081.4945012,9652,391
2019-03-28$7.68$7.0041.1%14.9%26.4%23.0%58.1%-5.3%9.7%111.2K-888.3K-13.9K0.0192.83163112,9652,391
2019-03-29$7.76$8.0036.4%16.7%26.8%18.3%57.7%5.4%25.7%116.7K-1.0M-14.1K0.0487.85223913,0812,392