CALX Options History — July 2020

In July 2020, CALX traded between $14.05 and $21.05. ATM implied volatility averaged 65.0%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded above realized volatility by 4.8% (HV 20d: 60.3%). Max pain ranged from $12.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.08.

Notable Days

  • 2020-07-22: Highest Volume — 8,177 contracts
  • 2020-07-22: Largest IV drop — 18.1% change
  • 2020-07-21: Highest IV Rank — 53.9%
  • 2020-07-21: Largest Expected Move — 22.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.95$14.05$21.05$14.64$20.51
Max Pain$13.50$12.00$15.00$12.00$15.00
ATM IV65.0%51.8%78.1%56.2%67.3%
Expected Move19.3%14.9%22.4%16.1%19.3%
HV 20d60.3%46.3%77.9%50.6%77.9%
HV 60d72.2%60.9%80.1%77.7%62.5%
IV Rank41.7%29.3%53.9%33.5%43.8%
IV Percentile79.4%55.2%91.7%65.1%81.3%
Term Structure-4.2%-14.3%14.4%11.7%-3.0%
VWIV68.3%51.3%79.4%56.9%67.5%
Skew 25d2.3%-0.6%6.3%-0.1%1.9%
Skew 10d7.4%-7.6%23.0%-4.1%14.8%
Call IV 25d67.8%51.2%79.5%58.0%68.1%
Put IV 25d70.1%52.7%80.2%57.9%70.1%
Bid-Ask Spread %59.6424.7984.2232.5924.79
Gamma HHI0.260.160.350.200.25
Net GEX202.5K48.7K484.9K48.7K484.9K
Net DEX-10.4M-25.3M-2.6M-2.9M-23.1M
Net VEX-26.9K-56.4K-6.5K-6.8K-55.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.300.010.18
Total Volume1,581.227748,177108663
Total OI9,770.1823,48019,1583,48019,158

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$14.64$12.0056.2%16.1%50.6%33.5%56.9%-0.1%11.7%48.7K-2.9M-6.8K0.0132.5910713,085395
2020-07-02$14.52$12.0051.8%14.9%49.7%29.3%51.3%1.5%14.4%51.2K-2.9M-6.9K0.1384.22144183,117395
2020-07-06$15.36$13.0054.0%19.5%53.3%31.4%70.3%-0.0%-10.9%54.0K-3.5M-6.5K0.1050.971,0431003,197412
2020-07-07$14.11$13.0061.7%18.4%62.0%38.6%67.3%1.9%2.7%55.6K-2.6M-7.3K0.0078.433,51563,487413
2020-07-08$14.05$13.0062.5%20.9%62.1%39.3%72.1%4.0%-8.7%99.6K-4.3M-18.3K0.0453.7621886,634413
2020-07-09$14.34$13.0063.5%20.6%62.3%40.3%72.1%4.6%-9.2%107.8K-4.7M-18.6K0.0171.7336226,714418
2020-07-10$14.56$13.0063.2%20.5%48.4%40.0%71.2%2.3%-9.0%114.0K-5.1M-19.9K0.0062.727406,946420
2020-07-13$14.60$13.0069.9%20.3%48.4%46.2%71.3%3.9%-8.7%117.2K-5.2M-19.5K0.0066.6957926,943420
2020-07-14$14.93$13.0068.6%21.1%46.8%45.1%75.3%6.3%-14.3%121.2K-5.4M-19.7K0.0165.739916,886421
2020-07-15$15.03$13.0069.6%20.0%46.3%46.0%74.4%4.1%-8.5%125.1K-5.5M-19.4K0.2062.445951196,820422
2020-07-16$14.95$13.0070.1%20.1%46.4%46.4%70.4%-0.6%-5.8%129.1K-5.3M-19.1K0.1365.1878106,723458
2020-07-17$15.73$13.0067.5%19.3%49.0%44.0%68.3%2.1%-5.0%99.1K-6.3M-20.0K0.0363.051,345426,762460
2020-07-20$16.55$13.0071.4%20.5%51.5%47.7%71.3%0.7%-8.1%113.0K-6.6M-21.3K0.0857.09773656,443187
2020-07-21$17.15$13.0078.1%22.4%51.9%53.9%79.4%0.8%-13.5%112.2K-7.5M-22.2K0.0746.601,8481356,702286
2020-07-22$20.03$13.0063.9%18.3%73.0%40.7%65.1%5.8%-7.2%140.0K-12.3M-22.5K0.0370.037,9522257,857393
2020-07-23$20.59$14.0063.4%18.2%72.1%40.2%64.8%4.8%-4.9%262.6K-17.5M-30.2K0.0561.206,28032011,541484
2020-07-24$20.24$15.0066.2%19.0%72.4%42.8%67.1%2.5%-1.9%373.9K-18.9M-38.5K0.0461.743,91114114,342655
2020-07-27$20.48$15.0066.2%19.0%72.4%42.8%67.9%1.3%-1.0%443.4K-22.4M-51.8K0.0261.112,0004717,261707
2020-07-28$19.26$15.0065.6%18.8%76.1%42.2%67.4%0.8%-1.2%441.9K-18.6M-53.8K0.1460.055427717,942724
2020-07-29$20.12$15.0064.0%18.4%76.8%40.7%65.1%0.7%0.3%483.6K-21.7M-56.4K0.1155.004384918,185704
2020-07-30$21.05$15.0066.2%19.0%76.9%42.8%66.9%1.8%-1.0%477.1K-25.3M-56.2K0.3057.0265619718,287725
2020-07-31$20.51$15.0067.3%19.3%77.9%43.8%67.5%1.9%-3.0%484.9K-23.1M-55.9K0.1824.7956310018,314844