CALX Options History — June 2020

In June 2020, CALX traded between $12.59 and $14.78. ATM implied volatility averaged 57.4%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 2.5% (HV 20d: 54.9%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.25.

Notable Days

  • 2020-06-29: Highest Volume — 1,177 contracts
  • 2020-06-08: Largest IV spike — 20.5% change
  • 2020-06-09: Highest IV Rank — 41.0%
  • 2020-06-11: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.89$12.59$14.78$14.26$14.78
Max Pain$10.36$10.00$12.00$12.00$12.00
ATM IV57.4%50.9%64.3%60.3%57.9%
Expected Move16.2%14.6%17.9%17.3%16.6%
HV 20d54.9%47.0%62.2%62.2%51.0%
HV 60d88.1%80.6%98.7%98.7%80.8%
IV Rank34.5%28.4%41.0%37.2%35.1%
IV Percentile71.0%58.3%82.9%77.4%71.4%
Term Structure2.5%-7.2%16.3%-5.3%10.8%
VWIV56.7%51.3%62.1%59.7%59.0%
Skew 25d2.1%-0.9%4.4%3.2%4.4%
Skew 10d8.5%-12.7%27.7%2.4%19.9%
Call IV 25d56.7%50.6%62.0%58.0%57.8%
Put IV 25d58.9%53.0%65.5%61.3%62.2%
Bid-Ask Spread %65.8530.0385.4675.9931.12
Gamma HHI0.290.200.770.270.20
Net GEX43.0K25.3K110.6K33.7K43.3K
Net DEX-1.5M-2.9M-897.2K-1.6M-2.9M
Net VEX-3.6K-6.6K-3.1K-3.3K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.001.150.090.00
Total Volume253.364361,177182246
Total OI2,339.7731,6803,3442,0943,344

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$14.26$12.0060.3%17.3%62.2%37.2%59.7%3.2%-5.3%33.7K-1.6M-3.3K0.0975.99167151,732362
2020-06-02$14.16$12.0055.4%15.9%58.4%32.7%53.3%1.5%-1.1%37.4K-1.6M-3.3K0.2365.9190211,792365
2020-06-03$14.47$12.0050.9%14.6%56.2%28.4%53.1%-0.9%3.9%37.3K-1.8M-3.2K0.0058.5226501,797355
2020-06-04$14.10$10.0054.9%14.9%57.0%32.2%51.3%1.5%0.9%46.9K-1.7M-3.7K0.3030.034611382,053355
2020-06-05$14.07$10.0051.8%14.9%54.5%29.3%53.9%3.4%2.2%46.4K-1.8M-3.6K0.7631.141641242,043358
2020-06-08$14.14$10.0062.4%15.6%54.4%39.3%53.9%4.1%0.2%40.5K-1.7M-3.6K0.0037.589502,025452
2020-06-09$14.14$10.0064.3%16.4%51.5%41.0%56.4%-0.6%-2.1%39.3K-1.7M-3.7K0.0134.8011212,014452
2020-06-10$13.97$10.0056.3%16.2%51.5%33.6%53.0%4.1%-3.0%44.0K-1.6M-3.6K0.0979.903332,071452
2020-06-11$12.59$10.0062.4%17.9%60.6%39.2%61.9%3.5%-7.2%34.8K-897.2K-3.2K1.1584.531121292,054452
2020-06-12$12.73$10.0058.7%16.8%60.0%35.8%59.4%0.3%-1.3%41.4K-974.8K-3.5K0.7972.4057452,122453
2020-06-15$13.30$10.0059.0%16.9%61.1%36.1%58.7%2.5%-2.1%48.4K-1.3M-3.5K0.1571.095382,087437
2020-06-16$13.63$10.0059.2%17.0%55.6%36.2%59.4%1.4%-3.5%50.3K-1.5M-3.5K0.0384.6511432,086439
2020-06-17$13.59$10.0056.8%16.3%55.7%34.0%55.6%4.1%-6.4%58.6K-1.4M-3.4K0.7681.0221162,164442
2020-06-18$13.81$10.0055.8%16.0%55.1%33.0%56.4%1.3%16.3%60.0K-1.6M-3.4K0.0569.627842,159455
2020-06-19$13.98$10.0053.4%15.3%55.0%30.8%54.6%-0.0%14.2%110.6K-1.7M-3.2K0.0484.00368142,115456
2020-06-22$13.85$10.0057.5%16.5%55.1%34.6%57.3%1.1%4.6%25.3K-1.1M-3.1K0.3670.7269251,476204
2020-06-23$14.01$10.0052.4%15.0%55.2%29.8%54.1%1.0%6.7%27.1K-1.2M-3.1K0.2785.463731021,501225
2020-06-24$13.81$10.0056.2%16.1%51.9%33.5%56.6%1.9%5.8%27.6K-1.1M-3.1K0.1676.7675121,546231
2020-06-25$13.65$10.0054.4%15.6%47.4%31.7%55.5%2.0%8.1%28.1K-1.1M-3.1K0.0175.4630031,587243
2020-06-26$13.81$10.0061.7%17.7%47.0%38.6%62.1%4.3%3.8%30.0K-1.3M-3.7K0.0283.68471101,772246
2020-06-29$14.68$10.0061.0%17.5%51.0%37.9%61.7%3.3%10.0%35.3K-2.2M-5.1K0.1264.381,0471302,245256
2020-06-30$14.78$12.0057.9%16.6%51.0%35.1%59.0%4.4%10.8%43.3K-2.9M-6.6K0.0031.1224512,948396