CALX Options History — March 2020

In March 2020, CALX traded between $5.72 and $8.98. ATM implied volatility averaged 83.8%, placing in the 62.6% IV rank vs the trailing year. The 30-day expected move averaged 23.2%. IV traded above realized volatility by 12.9% (HV 20d: 70.9%). Max pain ranged from $7.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.22.

Notable Days

  • 2020-03-26: Highest Volume — 400 contracts
  • 2020-03-13: Largest IV spike — 143.4% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-19: Largest Expected Move — 36.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.19$5.72$8.98$8.91$6.93
Max Pain$8.14$7.00$10.00$10.00$7.00
ATM IV83.8%28.7%127.3%51.6%102.2%
Expected Move23.2%8.2%36.5%14.8%29.3%
HV 20d70.9%42.8%104.8%43.5%104.8%
HV 60d49.0%31.5%67.3%31.5%67.3%
IV Rank62.6%7.9%100.0%40.3%76.5%
IV Percentile89.6%7.1%100.0%79.8%97.6%
Term Structure11.0%-23.4%93.3%-4.7%-23.4%
VWIV92.5%51.6%128.5%51.6%97.4%
Skew 25d10.9%-29.1%90.8%13.6%-29.1%
Skew 10d1.5%-54.7%43.3%30.5%-19.9%
Call IV 25d84.7%36.7%162.1%38.0%103.4%
Put IV 25d95.6%51.5%166.3%51.6%74.3%
Bid-Ask Spread %108.1387.81148.2594.08104.62
Gamma HHI0.500.400.580.410.52
Net GEX12.0K4.7K22.0K20.3K10.8K
Net DEX-311.8K-710.8K-52.0K-674.2K-211.0K
Net VEX-1.3K-2.0K-551-2.0K-969
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.001.090.550.00
Total Volume25.1820400213
Total OI1,6951,5441,7881,7711,609

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$8.91$10.0051.6%14.8%43.5%40.3%51.6%13.6%-4.7%20.3K-674.2K-2.0K0.0094.080211,578193
2020-03-03$8.98$10.0048.2%13.8%43.6%35.8%0.0%16.4%0.0%21.4K-710.8K-1.9K0.00100.53001,578178
2020-03-04$8.90$10.0048.3%13.8%43.5%35.9%55.1%16.2%-1.4%22.0K-704.1K-1.8K0.5596.1722121,578178
2020-03-05$8.78$8.0052.7%15.0%43.1%41.6%0.0%-4.7%-1.4%21.7K-642.0K-1.9K0.0095.23101,598189
2020-03-06$8.77$8.0071.7%17.3%42.8%66.2%0.0%18.5%-3.3%18.9K-621.6K-1.9K0.0091.42011,599189
2020-03-09$7.96$8.00124.7%22.1%54.3%100.0%0.0%33.8%26.3%14.6K-481.8K-1.8K0.00112.54001,597188
2020-03-10$7.73$8.0076.8%20.9%54.7%54.0%0.0%12.8%-12.4%15.1K-316.9K-1.6K0.0098.46011,597188
2020-03-11$7.57$8.0092.0%26.4%49.5%68.6%0.0%30.5%32.4%11.5K-375.7K-1.7K0.00122.67001,597188
2020-03-12$6.70$8.0028.7%8.2%61.1%7.9%128.5%4.2%1.7%6.8K-163.1K-9350.18148.251121,597174
2020-03-13$6.82$8.0069.9%20.1%62.1%47.5%69.1%17.3%2.5%10.6K-182.0K-1.1K0.00105.11301,587127
2020-03-16$6.21$8.0069.1%19.8%65.1%46.6%0.0%-18.7%93.3%7.7K-199.4K-1.1K0.00117.961201,589127
2020-03-17$6.25$8.00106.3%30.5%65.8%82.3%111.9%-2.3%-7.7%7.6K-139.0K-9390.2597.65411,601123
2020-03-18$5.77$8.0086.0%24.6%67.1%62.9%0.0%10.1%56.1%4.7K-105.3K-6880.00146.31001,601104
2020-03-19$6.55$8.00127.3%36.5%85.6%100.0%0.0%16.5%20.4%7.9K-213.0K-1.1K0.00114.061001,601104
2020-03-20$6.14$8.00107.7%30.9%86.6%81.7%102.3%90.8%-10.5%7.4K-141.9K-9060.00106.080181,611104
2020-03-23$5.72$8.00120.8%34.6%88.0%93.9%125.3%41.8%2.2%5.8K-114.6K-7521.09103.7911121,45490
2020-03-24$6.08$8.0082.9%23.8%92.3%58.5%81.9%5.0%73.5%5.8K-52.0K-5510.0087.81501,45899
2020-03-25$6.51$8.00101.9%29.2%97.3%76.3%110.7%-13.1%-16.5%8.8K-154.9K-8310.50110.09211,45599
2020-03-26$7.05$8.0078.1%22.4%102.3%54.0%83.4%18.5%13.6%12.5K-208.1K-9700.23104.05324761,45499
2020-03-27$6.80$7.00104.2%29.9%102.6%78.4%0.0%-17.8%7.2%9.7K-210.0K-1.0K0.00110.31001,431174
2020-03-30$7.15$7.0093.2%26.7%104.8%68.1%0.0%-21.4%-5.1%12.1K-237.4K-1.0K0.00111.59101,431174
2020-03-31$6.93$7.00102.2%29.3%104.8%76.5%97.4%-29.1%-23.4%10.8K-211.0K-9690.00104.62301,432177