CALX Options History — November 2019

In November 2019, CALX traded between $7.45 and $7.90. ATM implied volatility averaged 37.7%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 11.8% (HV 20d: 25.9%). Max pain ranged from $6.00 to $8.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 4.35.

Notable Days

2019-11-26: Highest Volume — 2,729 contracts
2019-11-11: Largest IV spike — 130.9% change
2019-11-11: Highest IV Rank — 58.2%
2019-11-26: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.65	$7.45	$7.90	$7.62	$7.72
Max Pain	$7.25	$6.00	$8.00	$7.00	$8.00
ATM IV	37.7%	21.0%	77.2%	21.0%	44.2%
Expected Move	9.8%	6.0%	13.2%	6.0%	12.7%
HV 20d	25.9%	17.8%	30.5%	29.8%	18.5%
HV 60d	30.4%	28.9%	33.7%	33.7%	28.9%
IV Rank	17.7%	0.5%	58.2%	0.5%	24.3%
IV Percentile	25.6%	0.4%	94.4%	0.4%	55.6%
Term Structure	0.9%	-8.9%	15.3%	15.3%	-4.5%
VWIV	37.0%	21.3%	59.6%	21.3%	44.2%
Skew 25d	-2.3%	-20.4%	11.6%	1.1%	-8.4%
Skew 10d	2.9%	-12.9%	11.8%	-4.7%	9.7%
Call IV 25d	33.2%	20.6%	55.9%	20.6%	37.6%
Put IV 25d	30.9%	21.7%	47.1%	21.7%	29.2%
Bid-Ask Spread %	98.15	86.84	116.50	101.19	88.03
Gamma HHI	0.51	0.41	0.65	0.53	0.58
Net GEX	2.2K	-6.7K	28.1K	4.9K	24.2K
Net DEX	-164.0K	-725.4K	103.5K	-262.8K	-607.7K
Net VEX	-2.0K	-5.3K	-730	-730	-5.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.35	0.00	50.00	0.30	0.00
Total Volume	220.9	0	2,729	13	21
Total OI	2,027.8	886	5,005	905	4,985

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
2019-11-01	$7.62	$7.00	21.0%	6.0%	29.8%	0.5%	21.3%	1.1%	15.3%	4.9K	-262.8K	-730	0.30	101.19	10	3	676	229
2019-11-04	$7.52	$6.00	40.4%	10.4%	30.5%	20.3%	0.0%	11.6%	4.0%	4.3K	-239.3K	-764	3.70	107.82	108	400	660	226
2019-11-05	$7.51	$6.00	28.0%	9.9%	28.7%	7.6%	0.0%	3.1%	3.9%	1.8K	-124.2K	-1.6K	3.00	89.51	2	6	908	626
2019-11-06	$7.48	$6.00	35.0%	10.3%	29.1%	14.9%	35.2%	2.9%	3.3%	1.7K	-119.5K	-1.5K	0.00	89.42	0	20	907	624
2019-11-07	$7.45	$7.00	38.0%	10.3%	29.0%	18.0%	0.0%	4.3%	2.8%	1.3K	-118.0K	-1.5K	0.00	98.19	50	0	907	644
2019-11-08	$7.53	$7.00	33.4%	9.9%	28.5%	13.3%	0.0%	3.8%	0.2%	2.0K	-123.5K	-1.6K	0.00	97.76	0	0	935	644
2019-11-11	$7.65	$7.00	77.2%	10.7%	28.6%	58.2%	0.0%	7.0%	-8.9%	1.7K	-133.7K	-1.5K	0.00	111.34	0	0	935	644
2019-11-12	$7.73	$7.00	72.0%	10.0%	28.0%	52.8%	0.0%	-4.2%	-5.6%	1.6K	-173.1K	-1.5K	0.00	111.56	0	5	935	644
2019-11-13	$7.66	$7.00	31.8%	9.1%	28.6%	11.6%	0.0%	-3.8%	-0.2%	2.0K	-159.9K	-1.5K	50.00	116.50	1	50	935	649
2019-11-14	$7.76	$7.00	35.5%	10.2%	28.4%	15.4%	35.4%	-7.4%	-4.3%	322	-178.0K	-1.5K	0.00	112.98	5	0	936	699
2019-11-15	$7.76	$7.00	28.7%	8.2%	28.5%	8.4%	0.0%	-2.3%	2.6%	-619	-159.0K	-1.5K	0.00	94.82	10	0	911	699
2019-11-18	$7.64	$7.00	25.1%	7.2%	28.3%	4.7%	45.8%	-5.5%	4.4%	-301	-116.1K	-1.4K	2.00	94.92	1	2	835	636
2019-11-19	$7.70	$8.00	31.6%	9.1%	28.3%	11.3%	31.7%	-6.4%	3.2%	-269	-144.2K	-1.5K	1.86	95.01	303	565	835	637
2019-11-20	$7.65	$8.00	31.3%	9.0%	22.9%	11.0%	0.0%	-7.8%	4.2%	-5.6K	36.7K	-2.4K	0.00	92.06	5	0	1,137	1,189
2019-11-21	$7.58	$8.00	31.3%	9.0%	22.1%	11.0%	0.0%	3.1%	2.0%	-5.4K	84.4K	-2.4K	0.00	95.69	0	0	1,139	1,189
2019-11-22	$7.57	$8.00	31.9%	9.2%	21.7%	11.7%	0.0%	-7.1%	0.5%	-5.5K	103.5K	-2.3K	0.00	91.30	0	0	1,139	1,189
2019-11-25	$7.76	$8.00	27.4%	7.8%	21.1%	7.0%	27.4%	-5.6%	4.8%	-6.7K	9.2K	-2.3K	0.00	99.31	34	0	1,139	1,189
2019-11-26	$7.90	$8.00	45.9%	13.2%	20.1%	26.0%	59.6%	-20.4%	-4.9%	-4.8K	-128.9K	-2.5K	0.01	86.84	2,714	15	1,151	1,189
2019-11-27	$7.84	$8.00	45.1%	12.9%	17.8%	25.2%	32.9%	-4.8%	-3.8%	28.1K	-725.4K	-5.3K	0.04	88.76	85	3	3,811	1,194
2019-11-29	$7.72	$8.00	44.2%	12.7%	18.5%	24.3%	44.2%	-8.4%	-4.5%	24.2K	-607.7K	-5.1K	0.00	88.03	21	0	3,788	1,197