CALX Options History — April 2020

In April 2020, CALX traded between $6.71 and $11.55. ATM implied volatility averaged 73.1%, placing in the 49.3% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded below realized volatility by 27.3% (HV 20d: 100.4%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.36.

Notable Days

2020-04-24: Highest Volume — 550 contracts
2020-04-08: Largest IV spike — 70.4% change
2020-04-24: Highest IV Rank — 74.2%
2020-04-24: Largest Expected Move — 28.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.17	$6.71	$11.55	$6.71	$11.41
Max Pain	$8.05	$7.00	$9.00	$7.00	$9.00
ATM IV	73.1%	41.6%	99.8%	83.0%	63.4%
Expected Move	21.6%	13.9%	28.6%	23.8%	18.2%
HV 20d	100.4%	78.7%	115.3%	105.0%	114.1%
HV 60d	77.6%	67.5%	95.4%	67.5%	95.4%
IV Rank	49.3%	19.7%	74.2%	58.5%	40.2%
IV Percentile	86.2%	46.0%	96.8%	93.7%	85.3%
Term Structure	-13.0%	-79.2%	19.6%	6.3%	0.2%
VWIV	73.8%	35.4%	100.1%	62.6%	64.8%
Skew 25d	9.0%	-6.2%	29.0%	14.7%	-4.5%
Skew 10d	9.4%	-31.1%	52.4%	-17.7%	6.2%
Call IV 25d	69.7%	40.0%	99.7%	67.8%	69.3%
Put IV 25d	78.6%	55.3%	105.6%	82.5%	64.8%
Bid-Ask Spread %	98.38	74.45	118.69	112.61	94.88
Gamma HHI	0.53	0.31	0.83	0.59	0.31
Net GEX	11.3K	2.1K	29.1K	9.3K	9.9K
Net DEX	-240.8K	-924.8K	-40.1K	-96.8K	-738.3K
Net VEX	-742	-1.5K	-307	-719	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.36	0.00	3.00	0.00	0.21
Total Volume	102.619	0	550	5	408
Total OI	1,257.238	361	1,655	1,609	1,211

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
2020-04-01	$6.71	$7.00	83.0%	23.8%	105.0%	58.5%	0.0%	14.7%	6.3%	9.3K	-96.8K	-719	0.00	112.61	5	0	1,432	177
2020-04-02	$7.04	$8.00	92.4%	22.8%	107.3%	67.4%	0.0%	21.3%	-11.7%	11.8K	-193.1K	-918	1.00	106.71	4	4	1,437	177
2020-04-03	$6.96	$8.00	75.6%	22.1%	107.3%	51.6%	0.0%	-6.2%	-1.9%	11.6K	-137.0K	-778	0.00	102.61	0	0	1,437	178
2020-04-06	$7.85	$8.00	54.3%	24.3%	111.9%	31.6%	0.0%	29.0%	-24.1%	26.6K	-322.5K	-813	0.02	94.89	49	1	1,436	178
2020-04-07	$7.67	$8.00	41.6%	20.4%	111.8%	19.7%	0.0%	1.8%	-16.9%	29.1K	-254.9K	-781	0.04	93.19	71	3	1,474	178
2020-04-08	$7.53	$8.00	70.8%	20.3%	111.7%	47.1%	0.0%	11.3%	-23.5%	22.3K	-178.7K	-544	0.00	82.63	13	0	1,474	181
2020-04-09	$7.42	$8.00	68.9%	19.8%	102.3%	45.4%	0.0%	0.3%	-27.4%	19.6K	-179.3K	-675	0.00	118.69	1	0	1,469	181
2020-04-13	$7.30	$8.00	72.2%	20.7%	102.4%	48.4%	0.0%	24.9%	-6.6%	16.1K	-114.1K	-487	1.00	98.48	1	1	1,468	181
2020-04-14	$7.48	$8.00	60.7%	17.4%	96.0%	37.6%	62.6%	-0.3%	13.2%	20.6K	-136.9K	-469	3.00	99.84	1	3	1,468	180
2020-04-15	$7.37	$7.00	82.1%	23.5%	96.3%	57.7%	78.7%	5.2%	-17.9%	9.5K	-102.3K	-380	0.14	97.62	14	2	1,467	157
2020-04-16	$7.09	$8.00	75.7%	21.7%	92.4%	51.7%	72.6%	19.3%	-22.5%	2.7K	-40.1K	-307	0.00	95.25	8	0	1,480	159
2020-04-17	$7.70	$8.00	62.0%	17.8%	86.1%	38.8%	35.4%	21.2%	-13.3%	2.1K	-129.2K	-429	0.10	87.95	21	2	1,487	159
2020-04-20	$7.95	$8.00	85.7%	24.6%	82.0%	61.1%	90.9%	22.9%	-79.2%	2.7K	-79.2K	-450	0.03	106.31	40	1	331	30
2020-04-21	$7.39	$8.00	83.6%	24.0%	82.3%	59.1%	72.0%	2.1%	-0.3%	2.7K	-73.4K	-443	0.00	108.07	3	0	391	31
2020-04-22	$7.44	$8.00	58.5%	16.8%	80.3%	35.6%	73.1%	15.4%	19.6%	2.9K	-66.3K	-412	0.00	100.06	0	1	394	31
2020-04-23	$7.81	$8.00	77.9%	22.3%	78.7%	53.8%	79.3%	10.9%	-2.2%	3.2K	-85.2K	-463	0.00	106.75	101	0	394	32
2020-04-24	$9.87	$8.00	99.8%	28.6%	109.9%	74.2%	100.1%	-5.3%	-29.2%	5.3K	-294.8K	-878	0.63	102.28	338	212	494	32
2020-04-27	$9.99	$9.00	87.5%	25.1%	108.2%	62.8%	85.4%	-2.6%	-15.8%	8.6K	-443.4K	-1.3K	0.09	94.28	243	23	798	207
2020-04-28	$9.99	$9.00	91.6%	26.3%	107.7%	66.6%	91.8%	-5.7%	-24.6%	9.8K	-466.5K	-1.5K	0.46	74.45	120	55	902	221
2020-04-29	$11.55	$8.00	48.4%	13.9%	115.3%	26.1%	53.2%	12.4%	5.1%	10.6K	-924.8K	-1.3K	0.09	88.49	372	34	1,028	260
2020-04-30	$11.41	$9.00	63.4%	18.2%	114.1%	40.2%	64.8%	-4.5%	0.2%	9.9K	-738.3K	-1.5K	0.21	94.88	338	70	933	278