CALX Options History — May 2020

In May 2020, CALX traded between $10.95 and $14.22. ATM implied volatility averaged 62.0%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded below realized volatility by 39.9% (HV 20d: 101.9%). Max pain ranged from $9.00 to $12.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.53.

Notable Days

2020-05-28: Highest Volume — 637 contracts
2020-05-11: Largest IV spike — 26.6% change
2020-05-11: Highest IV Rank — 52.5%
2020-05-01: Largest Expected Move — 21.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.23	$10.95	$14.22	$11.93	$13.89
Max Pain	$11.00	$9.00	$12.00	$9.00	$12.00
ATM IV	62.0%	52.3%	76.6%	76.1%	54.2%
Expected Move	16.9%	15.0%	21.8%	21.8%	15.5%
HV 20d	101.9%	62.5%	116.6%	114.1%	63.2%
HV 60d	97.7%	95.7%	99.4%	95.7%	98.7%
IV Rank	38.9%	29.8%	52.5%	52.1%	31.6%
IV Percentile	77.3%	65.9%	90.5%	90.5%	67.5%
Term Structure	-0.0%	-12.9%	12.9%	-12.9%	0.8%
VWIV	59.3%	51.4%	77.8%	77.8%	53.4%
Skew 25d	0.5%	-7.1%	6.6%	-4.9%	5.9%
Skew 10d	2.5%	-53.5%	27.3%	-53.5%	2.9%
Call IV 25d	59.4%	48.4%	80.7%	80.7%	51.9%
Put IV 25d	59.9%	50.4%	75.8%	75.8%	57.9%
Bid-Ask Spread %	58.45	26.48	92.02	83.78	81.22
Gamma HHI	0.26	0.18	0.49	0.20	0.26
Net GEX	14.4K	-11.9K	32.2K	11.5K	31.1K
Net DEX	-816.1K	-1.5M	-397.5K	-895.1K	-1.4M
Net VEX	-2.2K	-3.1K	-1.7K	-1.9K	-3.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.01	2.88	0.20	0.31
Total Volume	198.4	23	637	410	217
Total OI	1,742.2	1,313	2,052	1,463	1,952

Daily Data (20 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
2020-05-01	$11.93	$9.00	76.1%	21.8%	114.1%	52.1%	77.8%	-4.9%	-12.9%	11.5K	-895.1K	-1.9K	0.20	83.78	343	67	1,141	322
2020-05-04	$11.34	$11.00	73.6%	19.3%	116.6%	49.7%	67.8%	-0.4%	0.9%	11.7K	-701.5K	-1.9K	1.64	68.70	70	115	1,258	390
2020-05-05	$11.99	$11.00	74.2%	18.4%	111.7%	50.3%	63.6%	3.5%	1.1%	11.5K	-852.0K	-2.0K	0.20	70.17	296	58	1,265	453
2020-05-06	$11.82	$11.00	69.8%	17.8%	111.3%	46.2%	62.2%	4.6%	12.9%	12.2K	-848.2K	-2.3K	0.16	67.48	93	15	1,425	515
2020-05-07	$12.48	$11.00	74.0%	18.1%	110.8%	50.1%	63.7%	-1.3%	2.4%	15.4K	-1.1M	-2.3K	2.88	51.92	43	124	1,450	511
2020-05-08	$12.61	$11.00	60.5%	16.8%	110.0%	37.4%	59.6%	4.3%	2.2%	10.5K	-984.8K	-2.3K	0.21	39.62	249	52	1,431	610
2020-05-11	$12.09	$12.00	76.6%	17.6%	111.7%	52.5%	61.1%	-0.3%	1.1%	7.6K	-693.9K	-2.0K	1.13	26.48	39	44	1,325	637
2020-05-12	$11.93	$11.00	68.9%	16.8%	112.5%	45.3%	63.9%	6.6%	-4.8%	7.9K	-645.3K	-1.9K	0.86	38.26	36	31	1,327	624
2020-05-13	$11.23	$11.00	64.4%	18.5%	115.7%	41.1%	64.6%	1.4%	-2.4%	6.0K	-454.7K	-1.8K	0.31	26.51	61	19	1,338	624
2020-05-14	$11.04	$11.00	60.7%	17.4%	114.4%	37.7%	59.2%	-1.5%	-3.2%	2.2K	-397.5K	-1.7K	0.14	82.22	236	33	1,340	631
2020-05-15	$10.95	$11.00	58.1%	16.7%	112.6%	35.2%	57.9%	0.3%	1.4%	-11.9K	-478.7K	-2.0K	2.04	69.95	27	55	1,483	569
2020-05-18	$11.86	$11.00	53.1%	15.2%	114.7%	30.5%	53.1%	-4.1%	-0.9%	12.7K	-513.9K	-2.1K	0.15	30.44	81	12	1,033	280
2020-05-19	$11.98	$11.00	55.6%	15.9%	109.4%	32.9%	57.1%	-2.3%	-0.6%	14.0K	-582.4K	-2.2K	0.02	92.02	92	2	1,081	284
2020-05-20	$12.35	$11.00	52.6%	15.1%	109.2%	30.1%	51.4%	2.2%	0.5%	16.9K	-690.6K	-2.3K	0.21	77.48	29	6	1,127	284
2020-05-21	$12.31	$11.00	52.3%	15.0%	109.3%	29.8%	53.6%	-3.9%	2.1%	16.6K	-698.4K	-2.2K	0.10	68.74	21	2	1,143	282
2020-05-22	$12.53	$11.00	55.2%	15.8%	75.6%	32.5%	55.6%	1.2%	-0.8%	18.0K	-750.4K	-2.3K	0.01	43.40	379	3	1,152	281
2020-05-26	$12.66	$11.00	52.4%	15.0%	75.6%	29.9%	52.1%	4.7%	-1.8%	32.2K	-968.9K	-2.6K	0.01	31.20	137	1	1,484	279
2020-05-27	$13.41	$11.00	53.4%	15.3%	77.2%	30.8%	53.6%	1.2%	0.1%	31.8K	-1.2M	-2.6K	0.03	36.57	236	7	1,454	279
2020-05-28	$14.22	$11.00	54.8%	15.7%	62.5%	32.1%	54.4%	-7.1%	1.2%	29.4K	-1.5M	-2.7K	0.09	82.95	583	54	1,494	286
2020-05-29	$13.89	$12.00	54.2%	15.5%	63.2%	31.6%	53.4%	5.9%	0.8%	31.1K	-1.4M	-3.1K	0.31	81.22	166	51	1,604	348