CALX Options History — July 2019

In July 2019, CALX traded between $6.20 and $7.19. ATM implied volatility averaged 46.2%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 14.0% (HV 20d: 32.2%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 2.05.

Notable Days

  • 2019-07-23: Highest Volume — 1,175 contracts
  • 2019-07-10: Largest IV spike — 132.5% change
  • 2019-07-23: Highest IV Rank — 47.6%
  • 2019-07-23: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.72$6.20$7.19$6.63$6.35
Max Pain$6.59$6.00$7.00$7.00$6.00
ATM IV46.2%21.9%65.7%32.6%35.2%
Expected Move14.2%6.3%18.8%9.4%10.1%
HV 20d32.2%20.0%58.8%22.2%58.8%
HV 60d39.4%34.7%44.9%43.8%40.3%
IV Rank28.1%3.8%47.6%14.6%17.1%
IV Percentile49.0%1.6%88.1%15.1%21.4%
Term Structure-2.6%-17.5%39.2%33.3%5.6%
VWIV51.4%24.1%65.5%55.5%31.7%
Skew 25d7.3%-6.7%29.3%-5.2%9.0%
Skew 10d12.6%-17.5%62.5%-17.5%9.9%
Call IV 25d43.8%22.7%63.3%36.5%29.8%
Put IV 25d51.1%21.2%70.9%31.3%38.8%
Bid-Ask Spread %82.6936.06104.6396.0493.52
Gamma HHI0.470.260.750.470.27
Net GEX16.8K4.7K47.5K14.0K5.5K
Net DEX-305.7K-644.4K-128.8K-262.7K-165.8K
Net VEX-2.0K-2.3K-1.3K-2.1K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.050.0013.0013.000.53
Total Volume205.81831,17511249
Total OI6,440.51,8749,0078,6712,220

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-07-01$6.63$7.0032.6%9.4%22.2%14.6%0.0%-5.2%33.3%14.0K-262.7K-2.1K13.0096.0481048,309362
2019-07-02$6.54$7.0022.8%6.5%23.0%4.7%0.0%-2.6%39.2%12.0K-202.5K-2.1K13.0095.7581048,316465
2019-07-03$6.62$7.0037.1%10.6%23.1%19.0%0.0%2.2%25.3%13.4K-212.1K-2.1K13.00104.6381048,316465
2019-07-05$6.64$7.0038.0%15.0%23.1%19.9%55.5%6.9%-3.6%13.4K-244.0K-2.2K2.1378.938178,316466
2019-07-08$6.61$7.0030.1%17.1%23.1%12.0%0.0%3.6%-12.3%13.2K-203.1K-2.0K0.0080.26808,316481
2019-07-09$6.62$7.0025.0%15.2%23.1%6.9%52.6%14.9%-4.9%13.4K-202.9K-2.0K0.0080.115808,324481
2019-07-10$6.86$7.0058.1%16.7%24.8%40.0%59.0%7.5%-12.3%17.6K-343.2K-2.3K0.0093.1420408,374481
2019-07-11$6.82$7.0061.7%17.7%25.1%43.6%61.2%4.7%-12.5%27.4K-318.8K-2.3K0.0178.0120428,524481
2019-07-12$6.95$7.0055.1%15.8%25.4%37.0%54.6%5.8%-10.0%28.8K-404.7K-2.3K0.0181.5420528,524483
2019-07-15$6.88$7.0057.8%16.6%25.7%39.7%58.5%1.7%-8.3%30.8K-386.9K-2.3K0.0080.633308,525453
2019-07-16$7.01$7.0061.5%17.6%25.4%43.5%63.3%3.4%-12.1%28.6K-481.5K-2.3K0.0060.293508,541453
2019-07-17$7.02$6.0065.5%18.8%21.1%47.5%64.9%7.0%-16.5%31.1K-489.9K-2.3K0.0078.918208,553453
2019-07-18$7.06$6.0061.6%17.6%21.0%43.5%60.0%6.0%-12.7%47.5K-543.1K-2.2K0.0078.596908,552453
2019-07-19$7.06$6.0061.2%17.5%20.6%43.1%58.9%9.4%-16.1%19.2K-644.4K-2.1K0.0082.968308,551453
2019-07-22$7.12$6.0063.7%18.3%20.4%45.6%63.4%16.5%-17.5%10.9K-344.0K-2.1K0.7876.19971,603271
2019-07-23$7.19$7.0065.7%18.8%20.0%47.6%65.5%-6.7%-16.4%11.2K-381.0K-2.2K0.0681.021,111641,610276
2019-07-24$6.26$7.0043.1%12.3%54.7%25.0%37.0%29.3%-6.0%6.0K-146.5K-1.6K0.2092.265241061,901368
2019-07-25$6.35$6.0038.3%11.0%54.8%20.3%31.2%16.4%-2.6%7.5K-193.2K-1.5K0.2587.334851221,973346
2019-07-26$6.61$6.0021.9%6.3%56.4%3.8%24.1%0.8%12.1%7.2K-240.2K-1.4K0.0536.06661321,837373
2019-07-29$6.40$6.0040.6%11.6%57.5%22.5%0.0%12.7%-4.5%6.1K-185.4K-1.4K0.0091.96301,839382
2019-07-30$6.20$6.0039.7%11.4%58.2%21.6%32.7%16.8%-3.6%4.7K-128.8K-1.3K2.0090.95361,839382
2019-07-31$6.35$6.0035.2%10.1%58.8%17.1%31.7%9.0%5.6%5.5K-165.8K-1.3K0.5393.5232171,839381