CALX Options History — February 2020

In February 2020, CALX traded between $8.84 and $10.53. ATM implied volatility averaged 38.9%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 7.3% (HV 20d: 31.6%). Max pain ranged from $8.00 to $11.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.22.

Notable Days

2020-02-04: Highest Volume — 1,179 contracts
2020-02-13: Largest IV spike — 22.8% change
2020-02-28: Highest IV Rank — 46.9%
2020-02-28: Largest Expected Move — 16.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.68	$8.84	$10.53	$9.14	$8.84
Max Pain	$9.63	$8.00	$11.00	$8.00	$10.00
ATM IV	38.9%	31.6%	56.8%	36.5%	56.8%
Expected Move	11.0%	9.1%	16.3%	10.5%	16.3%
HV 20d	31.6%	25.4%	43.7%	25.6%	43.4%
HV 60d	26.3%	23.3%	32.5%	23.3%	32.5%
IV Rank	23.3%	12.5%	46.9%	16.4%	46.9%
IV Percentile	38.6%	10.7%	85.7%	28.2%	85.7%
Term Structure	-0.1%	-3.0%	3.5%	-1.4%	-0.3%
VWIV	37.3%	30.6%	48.5%	43.0%	33.5%
Skew 25d	1.2%	-8.5%	8.2%	7.0%	5.1%
Skew 10d	3.5%	-4.4%	21.1%	-2.5%	9.8%
Call IV 25d	34.1%	25.2%	50.4%	29.2%	37.3%
Put IV 25d	35.3%	28.7%	53.7%	36.1%	42.3%
Bid-Ask Spread %	93.96	87.86	101.23	99.25	101.23
Gamma HHI	0.45	0.26	0.70	0.39	0.40
Net GEX	34.0K	13.9K	62.9K	36.7K	18.4K
Net DEX	-1.3M	-2.1M	-654.4K	-1.3M	-654.4K
Net VEX	-1.6K	-2.1K	-1.2K	-1.9K	-2.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.00	1.67	1.20	1.67
Total Volume	153.263	16	1,179	55	48
Total OI	2,143.474	1,703	2,557	2,392	1,764

Daily Data (19 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
2020-02-03	$9.14	$8.00	36.5%	10.5%	25.6%	16.4%	43.0%	7.0%	-1.4%	36.7K	-1.3M	-1.9K	1.20	99.25	25	30	2,183	209
2020-02-04	$9.23	$8.00	33.3%	9.5%	25.4%	13.1%	0.0%	5.8%	0.2%	35.4K	-1.3M	-1.9K	0.00	97.07	1,177	2	2,157	239
2020-02-05	$9.38	$8.00	31.6%	9.1%	25.4%	12.5%	30.6%	-4.0%	3.2%	35.5K	-1.1M	-1.6K	0.02	101.04	64	1	1,830	240
2020-02-06	$9.22	$9.00	33.2%	9.5%	26.8%	16.4%	0.0%	-3.1%	1.8%	31.1K	-977.9K	-1.6K	0.00	91.53	100	0	1,828	241
2020-02-07	$9.24	$9.00	35.7%	9.6%	26.6%	19.7%	0.0%	-2.9%	1.4%	33.1K	-1.0M	-1.7K	0.00	92.41	16	0	1,874	241
2020-02-10	$9.25	$9.00	42.6%	10.2%	26.4%	28.5%	35.1%	-3.5%	-1.2%	32.9K	-1.0M	-1.5K	0.07	90.69	103	7	1,876	241
2020-02-11	$9.76	$11.00	41.1%	10.8%	31.5%	26.6%	0.0%	-2.5%	1.0%	40.0K	-1.3M	-1.5K	0.12	92.21	100	12	1,873	246
2020-02-12	$9.99	$11.00	32.6%	9.3%	31.2%	15.6%	31.9%	2.5%	3.5%	51.9K	-1.5M	-1.4K	0.00	87.86	54	0	1,941	258
2020-02-13	$10.01	$10.00	40.0%	11.5%	31.3%	25.2%	32.0%	6.2%	-0.9%	53.1K	-1.6M	-1.4K	0.01	90.97	108	1	1,990	258
2020-02-14	$10.26	$10.00	36.8%	10.5%	29.6%	21.0%	36.3%	-0.6%	-1.8%	45.5K	-1.7M	-1.2K	0.12	92.51	225	26	2,014	258
2020-02-18	$10.19	$10.00	35.6%	10.2%	29.4%	19.5%	35.6%	-2.6%	2.4%	62.9K	-1.8M	-1.7K	0.00	99.17	143	0	2,228	283
2020-02-19	$10.31	$10.00	35.0%	10.0%	29.4%	18.7%	34.0%	-2.2%	0.8%	47.2K	-2.0M	-1.5K	0.17	92.69	24	4	2,237	308
2020-02-20	$10.53	$10.00	32.4%	9.3%	29.6%	15.3%	34.8%	5.8%	0.8%	34.8K	-2.1M	-1.4K	0.05	93.29	241	12	2,249	308
2020-02-21	$10.42	$10.00	38.2%	11.0%	30.4%	22.9%	38.3%	2.4%	-2.9%	13.9K	-1.9M	-1.6K	0.05	92.87	43	2	2,138	318
2020-02-24	$10.12	$10.00	39.0%	11.2%	32.5%	23.9%	39.0%	-8.5%	-3.0%	15.3K	-1.2M	-1.6K	0.00	95.40	52	0	1,535	168
2020-02-25	$9.48	$10.00	47.4%	13.6%	41.1%	34.7%	43.5%	6.5%	-1.7%	18.9K	-949.8K	-1.9K	0.14	90.26	145	20	1,542	168
2020-02-26	$9.55	$10.00	43.7%	12.5%	40.4%	30.0%	43.9%	8.2%	-1.7%	18.5K	-951.7K	-1.9K	0.00	90.14	101	0	1,528	186
2020-02-27	$9.03	$10.00	47.9%	13.7%	43.7%	35.5%	48.5%	3.3%	-1.4%	20.7K	-756.1K	-2.0K	0.63	94.69	16	10	1,583	186
2020-02-28	$8.84	$10.00	56.8%	16.3%	43.4%	46.9%	33.5%	5.1%	-0.3%	18.4K	-654.4K	-2.1K	1.67	101.23	18	30	1,571	193