CALX Options History — August 2020

In August 2020, CALX traded between $19.46 and $22.43. ATM implied volatility averaged 74.5%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded above realized volatility by 10.4% (HV 20d: 64.1%). Max pain ranged from $16.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.09.

Notable Days

  • 2020-08-28: Highest Volume — 6,864 contracts
  • 2020-08-28: Largest IV spike — 36.1% change
  • 2020-08-31: Highest IV Rank — 80.0%
  • 2020-08-31: Largest Expected Move — 30.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.00$19.46$22.43$21.73$19.46
Max Pain$17.52$16.00$19.00$16.00$19.00
ATM IV74.5%62.2%105.9%83.0%105.9%
Expected Move21.1%17.8%30.4%23.8%30.4%
HV 20d64.1%43.5%78.0%78.0%60.9%
HV 60d61.0%59.4%65.6%62.6%65.6%
IV Rank50.5%39.1%80.0%58.6%80.0%
IV Percentile83.2%69.4%98.0%93.3%98.0%
Term Structure-2.6%-15.6%3.4%-11.5%-14.5%
VWIV74.9%63.8%109.5%83.7%109.5%
Skew 25d-0.6%-5.2%3.9%-5.2%-4.1%
Skew 10d1.8%-6.1%15.2%-6.1%-5.9%
Call IV 25d76.0%63.1%109.8%87.6%108.8%
Put IV 25d75.4%65.3%106.5%82.4%104.7%
Bid-Ask Spread %57.2024.7271.0060.6356.45
Gamma HHI0.250.130.460.240.13
Net GEX540.2K218.9K951.0K439.0K306.0K
Net DEX-22.8M-31.8M-12.0M-27.4M-14.6M
Net VEX-48.8K-60.1K-40.0K-55.2K-50.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.010.270.020.07
Total Volume1,537.9521866,8642,7676,804
Total OI19,161.95211,55822,14219,30017,599

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$21.73$16.0083.0%23.8%78.0%58.6%83.7%-5.2%-11.5%439.0K-27.4M-55.2K0.0260.632,7155218,404896
2020-08-04$21.40$16.0089.4%25.6%69.4%64.5%90.8%-4.0%-15.6%472.3K-27.1M-58.2K0.1658.011,38822219,686930
2020-08-05$21.74$16.0083.3%23.9%68.8%58.8%84.6%-1.0%-8.3%516.6K-29.1M-60.1K0.0562.685722920,5111,121
2020-08-06$22.43$16.0074.5%20.5%68.8%50.6%71.9%-1.4%0.2%552.4K-31.8M-58.7K0.0653.331,2297020,5481,135
2020-08-07$22.32$17.0075.5%20.4%69.5%51.5%72.1%-0.4%-1.9%554.0K-31.4M-56.9K0.0951.391,0059520,4071,153
2020-08-10$20.89$16.0080.9%20.8%75.9%56.6%73.2%0.0%-0.4%568.7K-25.3M-52.4K0.1152.737197920,1391,149
2020-08-11$20.68$17.0068.3%19.6%76.6%44.7%68.9%1.7%0.1%630.6K-24.2M-51.3K0.1053.737046720,2581,188
2020-08-12$20.88$18.0066.8%19.1%76.5%43.3%67.8%-1.2%0.9%639.9K-25.2M-50.0K0.1055.162312420,3561,243
2020-08-13$21.46$18.0065.0%18.6%76.2%41.7%65.3%-0.7%1.5%685.2K-28.0M-49.5K0.1355.922903920,3251,230
2020-08-14$20.98$18.0064.7%18.5%76.4%41.4%65.0%1.0%0.7%741.3K-25.4M-48.5K0.1824.721572920,3351,229
2020-08-17$21.33$18.0066.3%19.0%75.2%42.9%67.0%0.9%-0.2%764.2K-27.2M-45.7K0.1944.044508720,2231,246
2020-08-18$21.14$18.0064.8%18.6%75.1%41.5%64.8%-0.9%1.1%857.3K-26.3M-44.8K0.0459.916542420,4201,207
2020-08-19$20.71$18.0062.2%17.8%52.7%39.1%63.8%3.0%2.8%922.6K-23.8M-44.1K0.0668.252831720,6481,212
2020-08-20$20.53$18.0065.0%18.6%51.9%41.7%66.3%0.7%3.4%951.0K-22.5M-42.3K0.0871.006185120,5851,216
2020-08-21$19.79$18.0064.1%18.4%53.2%40.9%66.8%3.9%2.3%500.5K-17.9M-40.0K0.2769.5475220120,9251,217
2020-08-24$20.05$18.0064.6%18.5%53.3%41.3%64.7%2.0%1.5%218.9K-12.0M-40.1K0.0558.664952311,096462
2020-08-25$20.53$18.0067.2%19.3%48.9%43.7%69.7%-2.2%-0.1%223.2K-13.0M-41.2K0.0363.051,2033811,206473
2020-08-26$20.45$18.0069.2%19.8%46.5%45.6%70.1%-3.0%-0.6%259.4K-13.7M-43.0K0.0262.311,3912212,194503
2020-08-27$20.50$18.0077.5%22.2%43.5%53.4%78.8%1.2%-2.4%265.8K-14.3M-44.5K0.0162.142,5733112,784507
2020-08-28$21.90$19.00105.5%30.3%48.5%79.6%107.2%-3.3%-14.2%275.4K-18.6M-49.1K0.0657.486,48637813,900535
2020-08-31$19.46$19.00105.9%30.4%60.9%80.0%109.5%-4.1%-14.5%306.0K-14.6M-50.1K0.0756.456,38342116,710889