CALX Options History — October 2020

In October 2020, CALX traded between $18.06 and $25.97. ATM implied volatility averaged 74.4%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 22.8%. IV traded above realized volatility by 16.4% (HV 20d: 58.0%). Max pain ranged from $16.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.17.

Notable Days

  • 2020-10-21: Highest Volume — 8,100 contracts
  • 2020-10-14: Largest IV spike — 36.2% change
  • 2020-10-20: Highest IV Rank — 68.0%
  • 2020-10-20: Largest Expected Move — 26.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.79$18.06$25.97$18.06$23.27
Max Pain$19.23$16.00$22.00$16.00$22.00
ATM IV74.4%61.2%93.2%72.8%78.2%
Expected Move22.8%19.2%26.7%20.9%22.4%
HV 20d58.0%41.1%80.5%58.1%80.5%
HV 60d69.1%62.1%72.6%68.7%71.4%
IV Rank50.5%38.1%68.0%49.0%54.1%
IV Percentile75.8%53.6%93.3%79.4%84.9%
Term Structure-6.9%-20.3%13.7%7.9%-7.4%
VWIV80.0%67.8%91.7%75.8%78.7%
Skew 25d-0.1%-6.3%5.2%-5.1%2.6%
Skew 10d4.5%-10.3%33.3%0.3%4.9%
Call IV 25d80.2%66.8%92.1%79.2%77.5%
Put IV 25d80.1%69.0%91.2%74.1%80.1%
Bid-Ask Spread %35.2517.1275.5342.1343.45
Gamma HHI0.170.140.210.160.18
Net GEX334.6K178.1K413.5K178.1K336.9K
Net DEX-18.9M-30.0M-8.4M-8.4M-20.4M
Net VEX-48.7K-59.6K-31.6K-31.6K-58.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.010.470.030.12
Total Volume1,684.5911778,1001,467675
Total OI17,216.95512,71119,57512,71119,575

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$18.06$16.0072.8%20.9%58.1%49.0%75.8%-5.1%7.9%178.1K-8.4M-31.6K0.0342.131,4313611,6971,014
2020-10-02$19.12$16.0071.2%20.4%44.6%47.5%72.5%1.1%13.7%226.2K-10.9M-34.8K0.0775.532,15414812,2121,036
2020-10-05$19.59$17.0068.1%23.4%45.4%44.6%82.5%-0.7%-8.5%286.6K-12.7M-35.6K0.0426.621,2915213,1341,159
2020-10-06$19.30$17.0067.3%23.8%41.8%43.8%82.0%0.2%-11.8%267.2K-11.9M-35.2K0.0729.901,46210613,0891,180
2020-10-07$19.88$18.0071.8%24.5%41.2%48.1%85.7%0.9%-8.1%302.0K-14.0M-39.2K0.0132.622,4931313,9521,252
2020-10-08$19.73$18.0070.7%24.8%41.1%47.0%88.0%-2.5%-9.3%342.7K-15.5M-47.4K0.1230.041581916,1591,262
2020-10-09$20.30$18.0067.7%24.1%41.3%44.2%84.3%-2.8%-8.5%379.6K-17.0M-46.8K0.0431.515642216,1731,256
2020-10-12$19.92$18.0061.2%23.4%42.0%38.1%82.1%-2.4%-10.2%373.0K-15.6M-44.1K0.3835.5947818015,9881,254
2020-10-13$19.47$18.0065.8%23.5%42.7%42.4%82.5%-1.0%-10.3%336.3K-13.9M-43.4K0.1228.265346515,9841,379
2020-10-14$20.82$18.0089.6%25.7%48.7%64.7%90.5%-1.8%-20.3%413.5K-18.1M-45.3K0.0738.112,52317015,8921,367
2020-10-15$20.77$19.0090.9%26.1%47.9%65.9%88.6%-6.3%-13.6%407.1K-18.8M-48.5K0.3333.0199633217,0631,487
2020-10-16$20.52$19.0087.1%25.0%47.9%62.4%86.3%-3.4%-12.1%292.5K-18.5M-50.2K0.0334.021,0833017,7691,797
2020-10-19$21.80$19.0089.9%25.8%51.0%65.0%90.6%-0.8%-14.5%309.4K-18.2M-51.7K0.1733.671,95332814,248902
2020-10-20$21.26$19.0093.2%26.7%52.2%68.0%91.7%1.1%-15.0%315.1K-17.1M-53.6K0.3917.121,67566015,2361,131
2020-10-21$25.60$19.0068.4%19.6%78.2%44.9%71.4%3.0%-2.9%396.2K-30.0M-53.1K0.4321.825,6672,43316,2081,627
2020-10-22$25.48$22.0067.5%19.3%77.6%44.0%67.8%2.8%-2.2%359.6K-27.6M-57.7K0.2032.571,23624116,0042,833
2020-10-23$25.97$22.0067.1%19.2%76.9%43.6%68.5%2.3%-1.6%375.2K-28.9M-58.5K0.3535.7960721516,1302,883
2020-10-26$25.20$22.0069.5%19.9%78.7%45.9%70.3%5.2%-2.8%376.5K-26.7M-59.6K0.1339.873,02740216,4833,020
2020-10-27$24.86$22.0067.6%19.4%79.4%44.1%69.1%2.5%-2.5%376.8K-25.4M-58.5K0.1829.923456216,3393,088
2020-10-28$24.23$22.0076.4%21.9%79.6%52.4%76.9%1.0%-5.4%354.5K-23.1M-59.0K0.4742.3531814816,1583,093
2020-10-29$24.26$22.0074.9%21.5%79.7%50.9%74.8%1.7%-6.1%355.7K-23.1M-58.1K0.0341.577062316,1123,148
2020-10-30$23.27$22.0078.2%22.4%80.5%54.1%78.7%2.6%-7.4%336.9K-20.4M-58.4K0.1243.456047116,4263,149