CALX Options History — December 2019

In December 2019, CALX traded between $7.42 and $8.20. ATM implied volatility averaged 35.4%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 11.0% (HV 20d: 24.4%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.02.

Notable Days

2019-12-03: Highest Volume — 186 contracts
2019-12-11: Largest IV spike — 31.3% change
2019-12-03: Highest IV Rank — 23.2%
2019-12-03: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.84	$7.42	$8.20	$7.80	$8.02
Max Pain	$8.00	$8.00	$8.00	$8.00	$8.00
ATM IV	35.4%	28.1%	43.2%	42.6%	32.1%
Expected Move	10.7%	8.9%	12.4%	12.2%	9.2%
HV 20d	24.4%	18.8%	26.3%	18.8%	25.3%
HV 60d	27.7%	25.1%	30.1%	28.9%	25.3%
IV Rank	15.2%	7.8%	23.2%	22.7%	11.9%
IV Percentile	21.1%	5.6%	50.8%	49.6%	11.5%
Term Structure	9.4%	-3.2%	17.1%	-2.4%	10.2%
VWIV	36.7%	28.6%	41.9%	40.6%	28.6%
Skew 25d	-1.1%	-16.7%	10.3%	-6.3%	-4.5%
Skew 10d	1.0%	-15.3%	22.9%	-5.9%	2.7%
Call IV 25d	33.1%	24.8%	44.7%	38.2%	33.0%
Put IV 25d	32.0%	27.5%	42.1%	31.9%	28.4%
Bid-Ask Spread %	87.25	62.32	97.89	92.65	93.17
Gamma HHI	0.45	0.32	0.61	0.57	0.49
Net GEX	11.6K	4.1K	23.4K	23.4K	5.5K
Net DEX	-564.2K	-835.7K	-217.5K	-600.9K	-677.2K
Net VEX	-4.1K	-4.9K	-3.5K	-4.9K	-3.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.00	17.00	0.00	0.00
Total Volume	29.476	0	186	21	4
Total OI	4,588.429	3,712	5,020	4,999	3,746

Daily Data (21 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
2019-12-02	$7.80	$8.00	42.6%	12.2%	18.8%	22.7%	40.6%	-6.3%	-2.4%	23.4K	-600.9K	-4.9K	0.00	92.65	21	0	3,802	1,197
2019-12-03	$7.52	$8.00	43.2%	12.4%	22.6%	23.2%	38.2%	-12.3%	-3.2%	17.3K	-380.0K	-4.5K	0.02	91.14	183	3	3,823	1,197
2019-12-04	$7.46	$8.00	34.2%	9.8%	22.8%	14.0%	0.0%	-16.7%	-0.9%	15.6K	-339.2K	-4.4K	0.00	88.16	35	0	3,693	1,194
2019-12-05	$7.42	$8.00	28.5%	12.1%	22.8%	8.2%	37.7%	-2.5%	5.9%	9.3K	-217.5K	-4.1K	0.00	83.00	6	0	3,702	1,194
2019-12-06	$7.53	$8.00	33.9%	11.9%	23.4%	13.7%	41.9%	5.4%	6.2%	13.0K	-326.7K	-4.2K	0.00	83.75	5	0	3,702	1,194
2019-12-09	$7.53	$8.00	30.0%	11.1%	23.1%	9.7%	39.1%	10.3%	9.1%	9.6K	-283.1K	-4.0K	17.00	84.31	1	17	3,708	1,194
2019-12-10	$7.64	$8.00	28.1%	10.7%	23.0%	7.8%	40.5%	-1.6%	11.8%	9.4K	-371.6K	-4.2K	0.00	84.96	3	0	3,707	1,211
2019-12-11	$7.92	$8.00	37.0%	10.6%	26.1%	16.9%	0.0%	4.5%	9.9%	17.4K	-658.6K	-4.4K	0.00	97.89	0	3	3,706	1,211
2019-12-12	$7.94	$8.00	38.7%	11.1%	25.8%	18.7%	38.7%	1.1%	9.9%	20.1K	-651.5K	-4.4K	0.00	93.96	2	0	3,711	1,214
2019-12-13	$8.04	$8.00	37.8%	10.8%	25.8%	17.7%	38.6%	-6.6%	10.5%	18.8K	-748.9K	-4.4K	0.00	86.92	101	0	3,711	1,214
2019-12-16	$8.09	$8.00	35.1%	10.1%	25.8%	15.0%	0.0%	-4.9%	9.8%	15.1K	-802.9K	-4.2K	0.00	85.71	24	0	3,703	1,214
2019-12-17	$7.93	$8.00	35.0%	10.0%	26.3%	14.8%	0.0%	1.4%	11.0%	10.6K	-625.2K	-4.1K	0.00	90.54	12	0	3,727	1,214
2019-12-18	$7.95	$8.00	32.8%	9.4%	26.2%	12.6%	33.8%	-3.3%	12.4%	10.6K	-661.6K	-4.0K	0.24	95.55	21	5	3,737	1,214
2019-12-19	$7.94	$8.00	34.8%	10.0%	26.0%	14.6%	34.7%	2.2%	10.8%	11.2K	-646.7K	-4.0K	0.00	91.93	0	10	3,733	1,219
2019-12-20	$7.93	$8.00	31.1%	8.9%	25.7%	10.8%	29.3%	0.9%	15.6%	9.2K	-598.7K	-3.9K	0.00	91.34	91	0	3,733	1,229
2019-12-23	$7.88	$8.00	35.8%	10.3%	25.9%	15.7%	0.0%	-0.7%	14.8%	5.4K	-525.8K	-3.8K	0.00	89.34	10	0	2,520	1,192
2019-12-24	$7.92	$8.00	39.6%	11.4%	24.5%	19.6%	31.8%	1.5%	12.2%	7.2K	-595.5K	-3.8K	0.00	90.99	2	0	2,530	1,192
2019-12-26	$7.96	$8.00	35.1%	10.1%	23.7%	14.9%	0.0%	1.0%	17.1%	4.1K	-579.0K	-3.7K	0.00	91.48	0	0	2,531	1,192
2019-12-27	$8.03	$8.00	37.1%	10.6%	23.7%	17.0%	0.0%	2.6%	15.0%	5.7K	-720.9K	-3.7K	0.00	62.32	0	0	2,531	1,192
2019-12-30	$8.20	$8.00	40.2%	11.5%	23.9%	20.2%	40.2%	6.3%	11.9%	5.6K	-835.7K	-3.5K	0.07	63.21	56	4	2,531	1,192
2019-12-31	$8.02	$8.00	32.1%	9.2%	25.3%	11.9%	28.6%	-4.5%	10.2%	5.5K	-677.2K	-3.6K	0.00	93.17	4	0	2,550	1,196