CALX Options History — September 2019

In September 2019, CALX traded between $5.82 and $6.53. ATM implied volatility averaged 38.9%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 5.8% (HV 20d: 33.1%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.12.

Notable Days

2019-09-16: Highest Volume — 96 contracts
2019-09-10: Largest IV spike — 29.8% change
2019-09-10: Highest IV Rank — 25.9%
2019-09-10: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.24	$5.82	$6.53	$5.83	$6.42
Max Pain	$6.00	$6.00	$6.00	$6.00	$6.00
ATM IV	38.9%	24.9%	45.7%	42.3%	24.9%
Expected Move	11.2%	7.1%	13.2%	12.1%	7.1%
HV 20d	33.1%	29.7%	37.0%	36.8%	31.9%
HV 60d	43.3%	42.4%	43.7%	42.4%	43.7%
IV Rank	18.1%	3.2%	25.9%	22.4%	3.2%
IV Percentile	33.2%	1.6%	58.7%	47.2%	1.6%
Term Structure	5.3%	-16.7%	31.6%	-16.7%	26.8%
VWIV	39.3%	26.3%	51.3%	38.0%	26.3%
Skew 25d	3.7%	-11.5%	16.7%	-11.5%	-0.5%
Skew 10d	2.6%	-19.3%	16.2%	-19.3%	-1.0%
Call IV 25d	36.4%	25.8%	55.0%	47.8%	25.8%
Put IV 25d	40.2%	25.3%	52.3%	36.2%	25.3%
Bid-Ask Spread %	77.78	30.96	106.60	92.07	83.02
Gamma HHI	0.43	0.32	0.58	0.47	0.56
Net GEX	6.4K	3.7K	9.3K	3.7K	4.9K
Net DEX	-159.1K	-255.5K	-56.0K	-56.0K	-178.7K
Net VEX	-810	-982	-598	-755	-598
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.12	0.00	9.00	0.00	0.00
Total Volume	17.25	0	96	0	2
Total OI	1,895.55	1,826	1,973	1,826	1,895

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2019-09-03	$5.83	$6.00	42.3%	12.1%	36.8%	22.4%	0.0%	-11.5%	-16.7%	3.7K	-56.0K	-755	0.00	92.07	0	0	1,560	266
2019-09-04	$5.82	$6.00	34.3%	9.8%	36.8%	14.2%	0.0%	-3.1%	15.2%	4.4K	-62.6K	-789	0.00	101.15	26	0	1,560	266
2019-09-05	$5.98	$6.00	41.2%	10.9%	37.0%	21.3%	38.0%	5.5%	6.6%	4.8K	-89.3K	-817	0.00	90.20	70	0	1,566	266
2019-09-06	$6.03	$6.00	42.4%	12.8%	35.3%	22.5%	0.0%	-7.7%	-1.0%	7.1K	-118.1K	-896	0.00	75.35	3	0	1,636	266
2019-09-09	$6.09	$6.00	35.2%	11.2%	34.1%	15.2%	0.0%	9.6%	4.3%	7.3K	-136.5K	-853	0.00	42.43	0	0	1,639	266
2019-09-10	$6.35	$6.00	45.7%	13.2%	33.9%	25.9%	48.8%	-0.2%	-11.5%	8.1K	-196.2K	-982	4.00	94.65	10	40	1,639	266
2019-09-11	$6.51	$6.00	34.3%	9.8%	33.2%	14.2%	30.5%	8.7%	10.7%	8.6K	-235.9K	-846	0.00	60.52	10	0	1,629	265
2019-09-12	$6.41	$6.00	35.3%	10.1%	30.4%	14.0%	0.0%	2.9%	3.6%	7.9K	-212.6K	-883	0.00	74.85	0	2	1,619	265
2019-09-13	$6.52	$6.00	37.5%	10.7%	30.3%	16.2%	0.0%	6.0%	-4.9%	8.4K	-233.7K	-920	0.00	105.45	0	0	1,619	265
2019-09-16	$6.53	$6.00	45.6%	13.1%	29.7%	24.7%	51.3%	4.7%	-10.8%	9.3K	-255.5K	-892	0.48	106.60	65	31	1,619	265
2019-09-17	$6.40	$6.00	41.3%	11.8%	30.3%	20.2%	41.6%	5.0%	5.2%	7.9K	-207.5K	-884	0.00	61.22	0	10	1,668	287
2019-09-18	$6.16	$6.00	41.1%	11.8%	33.8%	20.0%	0.0%	6.7%	-1.2%	6.2K	-143.8K	-833	0.00	85.56	9	0	1,668	297
2019-09-19	$6.12	$6.00	43.6%	12.5%	33.0%	22.6%	0.0%	11.2%	0.2%	7.0K	-141.3K	-804	0.00	67.46	0	0	1,676	297
2019-09-20	$6.17	$6.00	38.9%	11.2%	33.1%	17.7%	38.9%	14.4%	4.0%	4.3K	-176.4K	-759	0.00	75.55	55	0	1,676	297
2019-09-23	$6.23	$6.00	45.0%	12.9%	32.3%	24.1%	0.0%	-6.8%	6.6%	4.8K	-120.9K	-755	0.00	58.66	0	0	1,576	280
2019-09-24	$6.17	$6.00	44.7%	12.8%	32.4%	23.8%	0.0%	16.7%	7.6%	5.0K	-123.6K	-753	0.00	30.96	1	0	1,606	280
2019-09-25	$6.32	$6.00	44.1%	12.6%	33.1%	23.1%	0.0%	1.9%	6.5%	5.8K	-148.0K	-771	0.00	101.14	0	0	1,606	280
2019-09-26	$6.37	$6.00	33.4%	9.6%	31.8%	12.0%	0.0%	8.2%	23.8%	5.6K	-158.4K	-730	9.00	45.39	1	9	1,606	280
2019-09-27	$6.46	$6.00	27.1%	7.8%	31.8%	5.4%	26.3%	3.3%	31.6%	6.0K	-186.1K	-685	0.00	103.33	1	0	1,605	289
2019-09-30	$6.42	$6.00	24.9%	7.1%	31.9%	3.2%	0.0%	-0.5%	26.8%	4.9K	-178.7K	-598	0.00	83.02	2	0	1,606	289