CALX Options History — January 2020

In January 2020, CALX traded between $7.95 and $9.27. ATM implied volatility averaged 42.9%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 21.4% (HV 20d: 21.6%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.02.

Notable Days

2020-01-28: Highest Volume — 681 contracts
2020-01-13: Largest IV spike — 63.0% change
2020-01-21: Highest IV Rank — 38.7%
2020-01-21: Largest Expected Move — 16.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.52	$7.95	$9.27	$7.95	$9.19
Max Pain	$8.05	$7.00	$9.00	$8.00	$8.00
ATM IV	42.9%	21.7%	58.3%	32.0%	40.8%
Expected Move	14.1%	9.2%	16.7%	9.2%	11.7%
HV 20d	21.6%	17.7%	26.5%	21.4%	25.3%
HV 60d	23.9%	21.8%	25.2%	25.2%	23.3%
IV Rank	23.0%	1.2%	38.7%	11.7%	20.8%
IV Percentile	47.1%	0.8%	84.5%	11.1%	44.8%
Term Structure	-3.4%	-12.0%	26.4%	26.4%	-5.9%
VWIV	50.1%	25.1%	59.2%	53.1%	40.8%
Skew 25d	4.5%	-2.2%	9.5%	7.4%	8.4%
Skew 10d	8.0%	-15.9%	32.2%	3.4%	-4.8%
Call IV 25d	46.5%	24.8%	55.7%	28.9%	26.7%
Put IV 25d	51.0%	29.9%	62.6%	36.3%	35.1%
Bid-Ask Spread %	83.40	63.73	97.51	97.32	97.51
Gamma HHI	0.56	0.37	0.83	0.38	0.40
Net GEX	11.8K	-9.9K	38.7K	2.6K	36.9K
Net DEX	-1.0M	-1.6M	-581.9K	-581.9K	-1.3M
Net VEX	-2.5K	-3.4K	-2.1K	-3.4K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.00	7.00	0.00	1.00
Total Volume	89.81	0	681	0	6
Total OI	2,985.429	1,533	3,915	3,748	2,389

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
2020-01-02	$7.95	$8.00	32.0%	9.2%	21.4%	11.7%	0.0%	7.4%	26.4%	2.6K	-581.9K	-3.4K	0.00	97.32	0	0	2,552	1,196
2020-01-03	$7.97	$8.00	34.0%	9.7%	21.0%	13.8%	0.0%	-2.2%	22.0%	-1.8K	-595.5K	-3.3K	0.00	90.32	0	0	2,552	1,196
2020-01-06	$8.11	$8.00	37.4%	15.1%	21.3%	17.3%	0.0%	2.6%	-4.5%	-3.1K	-743.7K	-3.1K	0.00	78.85	40	0	2,552	1,196
2020-01-07	$8.09	$8.00	29.9%	14.6%	21.1%	9.6%	53.1%	1.1%	-5.5%	-9.9K	-742.6K	-3.0K	0.25	83.80	102	25	2,552	1,196
2020-01-08	$8.18	$7.00	31.7%	15.2%	21.2%	11.5%	0.0%	1.9%	-7.5%	-3.6K	-960.0K	-2.9K	0.00	78.16	0	0	2,553	1,221
2020-01-09	$8.30	$7.00	22.5%	13.8%	21.2%	2.1%	49.3%	3.7%	-4.1%	-4.1K	-1.2M	-2.6K	3.17	78.73	12	38	2,553	1,221
2020-01-10	$8.27	$9.00	21.7%	16.0%	17.7%	1.2%	0.0%	3.5%	-12.0%	-7.7K	-1.2M	-2.6K	0.00	63.73	13	0	2,555	1,259
2020-01-13	$8.32	$9.00	35.4%	14.8%	17.7%	15.3%	51.3%	5.5%	-5.6%	-2.6K	-1.2M	-2.5K	0.00	84.34	0	3	2,563	1,221
2020-01-14	$8.24	$9.00	52.7%	15.5%	17.8%	33.0%	57.9%	3.3%	-9.8%	-4.3K	-1.0M	-2.6K	7.00	83.47	1	7	2,564	1,224
2020-01-15	$8.33	$8.00	53.8%	15.4%	18.0%	34.2%	0.0%	4.0%	-9.7%	871	-1.3M	-2.5K	0.00	85.19	0	0	2,684	1,231
2020-01-16	$8.68	$8.00	50.7%	14.5%	21.2%	31.0%	0.0%	8.0%	-7.9%	31.1K	-1.6M	-2.3K	0.00	88.50	6	0	2,684	1,231
2020-01-17	$8.60	$8.00	50.9%	14.6%	21.7%	31.2%	53.6%	5.3%	-8.2%	18.9K	-1.6M	-2.2K	2.63	83.44	8	21	2,683	1,231
2020-01-21	$8.64	$8.00	58.3%	16.7%	21.6%	38.7%	58.7%	7.3%	-7.7%	18.3K	-784.1K	-2.1K	0.56	83.80	18	10	1,412	121
2020-01-22	$8.76	$8.00	55.9%	16.0%	21.8%	36.3%	55.8%	2.9%	-7.1%	18.3K	-823.0K	-2.1K	0.02	66.52	112	2	1,430	130
2020-01-23	$8.78	$8.00	56.9%	16.3%	21.4%	37.3%	0.0%	4.7%	-8.0%	20.3K	-850.4K	-2.2K	0.00	84.58	1	0	1,540	131
2020-01-24	$8.68	$8.00	56.4%	16.2%	22.2%	36.8%	57.4%	3.4%	-4.5%	20.5K	-825.2K	-2.2K	0.00	79.23	0	5	1,540	131
2020-01-27	$8.86	$8.00	57.4%	16.5%	23.0%	37.8%	59.2%	7.1%	-6.8%	20.1K	-874.8K	-2.1K	0.05	82.10	103	5	1,540	133
2020-01-28	$8.71	$8.00	52.4%	15.0%	24.2%	32.7%	55.0%	9.5%	-3.8%	21.5K	-851.5K	-2.2K	0.18	77.76	579	102	1,609	136
2020-01-29	$9.05	$8.00	34.3%	9.8%	26.5%	14.2%	25.1%	5.1%	-0.8%	37.3K	-1.2M	-2.2K	0.40	90.54	474	188	2,201	190
2020-01-30	$9.27	$8.00	36.1%	10.3%	25.3%	16.0%	34.4%	1.7%	-1.4%	38.7K	-1.3M	-2.2K	0.00	93.55	5	0	2,182	209
2020-01-31	$9.19	$8.00	40.8%	11.7%	25.3%	20.8%	40.8%	8.4%	-5.9%	36.9K	-1.3M	-2.2K	1.00	97.51	3	3	2,180	209