CALX Options History — September 2020

In September 2020, CALX traded between $17.45 and $21.68. ATM implied volatility averaged 79.1%, placing in the 54.9% IV rank vs the trailing year. The 30-day expected move averaged 22.2%. IV traded below realized volatility by 1.0% (HV 20d: 80.1%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.15.

Notable Days

  • 2020-09-01: Highest Volume — 2,241 contracts
  • 2020-09-09: Largest IV drop — 24.3% change
  • 2020-09-08: Highest IV Rank — 85.1%
  • 2020-09-01: Largest Expected Move — 29.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.82$17.45$21.68$21.62$17.80
Max Pain$15.76$15.00$20.00$20.00$16.00
ATM IV79.1%63.3%111.4%101.6%63.3%
Expected Move22.2%18.2%29.1%29.1%18.2%
HV 20d80.1%57.6%84.1%72.3%57.6%
HV 60d70.8%68.7%73.7%68.7%68.7%
IV Rank54.9%40.1%85.1%76.0%40.1%
IV Percentile81.5%60.3%98.8%96.0%60.3%
Term Structure4.7%-13.5%14.3%-13.5%14.3%
VWIV79.1%64.6%104.8%104.8%64.6%
Skew 25d-0.2%-4.5%3.0%-4.5%-0.0%
Skew 10d2.2%-5.2%36.6%-3.7%1.5%
Call IV 25d79.8%66.1%108.7%108.7%66.1%
Put IV 25d79.6%66.0%104.2%104.2%66.0%
Bid-Ask Spread %47.2715.7466.5755.9917.50
Gamma HHI0.140.120.170.130.16
Net GEX213.7K121.5K384.5K384.5K170.7K
Net DEX-10.4M-20.7M-7.2M-20.7M-7.7M
Net VEX-39.1K-56.0K-31.1K-56.0K-31.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.020.480.080.17
Total Volume620942,2412,24194
Total OI15,937.1912,42518,87418,87412,685

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$21.62$20.00101.6%29.1%72.3%76.0%104.8%-4.5%-13.5%384.5K-20.7M-56.0K0.0855.992,07816317,7211,153
2020-09-02$21.68$20.0098.4%28.2%72.1%73.0%100.7%-3.0%-10.7%367.4K-19.6M-53.7K0.1155.061,06411316,7291,258
2020-09-03$19.15$15.00103.7%27.1%83.3%77.9%95.4%-0.1%-1.4%271.7K-13.0M-47.8K0.0256.911,4463616,5181,338
2020-09-04$19.19$15.0097.9%25.3%83.4%72.5%94.0%-3.2%1.1%272.9K-12.8M-47.4K0.3156.261,10634316,4291,326
2020-09-08$18.26$15.00111.4%26.8%82.1%85.1%99.6%-0.1%0.8%225.0K-10.3M-42.7K0.1154.614074416,2151,522
2020-09-09$18.93$15.0084.3%24.2%83.4%59.7%85.8%-2.8%2.2%254.0K-10.8M-42.3K0.4052.8363325416,2731,558
2020-09-10$18.73$15.0078.8%22.6%83.3%54.6%79.3%-0.5%5.0%226.4K-9.7M-40.4K0.1451.523845516,1241,741
2020-09-11$18.41$15.0075.3%21.6%82.5%51.3%82.5%-0.8%6.2%191.0K-8.8M-38.9K0.0446.434271816,1361,756
2020-09-14$18.68$15.0072.9%20.9%82.6%49.1%75.0%-0.7%8.0%189.5K-8.9M-37.4K0.3238.83953016,0091,754
2020-09-15$18.98$15.0070.9%20.3%82.6%47.2%72.9%-1.4%6.4%201.4K-9.3M-37.5K0.2053.913005916,0391,747
2020-09-16$19.05$15.0074.2%21.3%82.7%50.3%74.4%-2.3%3.0%191.9K-9.5M-37.2K0.1461.256368616,1311,733
2020-09-17$18.69$15.0073.0%20.9%82.6%49.1%74.3%0.9%7.2%167.6K-8.9M-37.5K0.0666.575433416,5641,747
2020-09-18$19.10$15.0068.9%19.7%83.2%45.3%69.9%-0.2%7.6%121.5K-9.6M-37.4K0.1663.824867716,8211,733
2020-09-21$18.70$15.0071.5%20.5%82.5%47.8%72.3%2.6%4.9%192.4K-9.6M-35.6K0.1161.573283611,567858
2020-09-22$18.96$15.0070.2%20.1%82.5%46.6%70.0%2.1%7.8%199.3K-10.0M-36.4K0.4823.5525312211,579882
2020-09-23$17.91$16.0069.5%19.9%84.1%45.9%70.0%2.6%8.0%174.2K-8.2M-33.5K0.0354.044591311,619983
2020-09-24$17.61$16.0069.7%20.0%84.1%46.1%70.1%-0.3%9.0%169.0K-7.7M-32.9K0.0924.602432311,623990
2020-09-25$17.45$16.0068.9%19.8%84.0%45.4%68.3%3.0%9.6%163.3K-7.2M-31.9K0.1015.741801811,586998
2020-09-28$18.06$16.0068.8%19.7%81.0%45.3%69.4%2.3%8.8%177.1K-8.2M-32.1K0.0865.011521211,6031,005
2020-09-29$18.21$16.0067.1%19.2%70.3%43.6%68.1%1.6%13.6%178.1K-8.5M-32.1K0.0716.691591111,6191,009
2020-09-30$17.80$16.0063.3%18.2%57.6%40.1%64.6%-0.0%14.3%170.7K-7.7M-31.1K0.1717.50801411,6771,008