CALX Options History — November 2020

In November 2020, CALX traded between $22.21 and $26.76. ATM implied volatility averaged 62.3%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded below realized volatility by 18.7% (HV 20d: 81.0%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.28.

Notable Days

  • 2020-11-06: Highest Volume — 2,372 contracts
  • 2020-11-11: Largest IV drop — 9.3% change
  • 2020-11-02: Highest IV Rank — 53.0%
  • 2020-11-02: Largest Expected Move — 22.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.23$22.21$26.76$23.66$23.60
Max Pain$22.60$22.00$23.00$22.00$23.00
ATM IV62.3%56.3%77.3%77.3%58.8%
Expected Move17.7%16.2%22.2%22.2%16.8%
HV 20d81.0%67.4%97.9%80.3%67.4%
HV 60d74.2%65.1%77.9%71.5%65.1%
IV Rank38.4%32.8%53.0%53.0%35.1%
IV Percentile48.9%34.9%82.9%82.9%41.3%
Term Structure-1.6%-6.6%1.5%-6.6%-2.1%
VWIV61.7%55.8%77.9%77.9%60.5%
Skew 25d0.9%-2.6%7.9%4.5%-1.5%
Skew 10d2.6%-6.8%29.3%8.9%-1.2%
Call IV 25d61.2%55.9%75.6%75.6%60.0%
Put IV 25d62.1%55.7%80.1%80.1%58.5%
Bid-Ask Spread %39.7320.3259.0846.5559.08
Gamma HHI0.160.140.180.180.18
Net GEX495.2K365.8K624.8K365.8K482.8K
Net DEX-24.6M-32.2M-17.0M-21.6M-21.2M
Net VEX-52.3K-56.6K-47.3K-56.6K-47.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.090.990.260.15
Total Volume814.12342,372602470
Total OI21,236.6517,59824,69419,70418,357

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$23.66$22.0077.3%22.2%80.3%53.0%77.9%4.5%-6.6%365.8K-21.6M-56.6K0.2646.5547712516,5563,148
2020-11-03$24.21$22.0072.7%20.8%79.9%48.3%74.6%7.9%-2.8%381.2K-23.2M-55.1K0.4150.1834113916,5563,148
2020-11-04$24.41$22.0066.9%19.2%79.6%42.8%64.3%6.4%-6.2%432.6K-24.2M-53.4K0.1935.064809016,6453,104
2020-11-05$26.76$22.0063.6%16.8%84.4%39.7%59.0%1.4%-0.8%440.3K-32.1M-49.9K0.1039.491,55015716,7193,144
2020-11-06$26.55$23.0062.1%18.2%84.6%38.3%61.2%-0.4%-4.0%463.7K-32.2M-49.8K0.0944.032,17419817,1843,190
2020-11-09$24.68$23.0062.8%16.8%89.4%38.9%60.0%-2.6%-0.8%540.2K-26.9M-54.7K0.2140.691,05122318,9443,193
2020-11-10$22.21$23.0068.2%17.9%97.9%44.1%62.7%0.3%-2.8%428.8K-17.0M-53.0K0.9935.0167766919,2103,249
2020-11-11$23.13$23.0061.9%17.7%96.2%38.0%62.0%0.2%-2.4%487.5K-20.7M-54.9K0.2238.1268014819,3603,575
2020-11-12$23.95$23.0061.7%17.7%96.7%37.8%62.1%0.7%-0.9%546.8K-24.4M-55.5K0.3141.5239912519,6303,673
2020-11-13$24.84$23.0062.5%17.9%97.0%38.7%62.1%2.1%-1.0%571.1K-28.0M-54.7K0.0938.349428419,6263,681
2020-11-16$25.35$23.0061.2%17.6%95.2%37.4%61.5%0.6%-2.0%624.8K-30.6M-55.3K0.1042.258348620,0203,721
2020-11-17$25.14$22.0061.7%17.7%94.6%37.9%62.3%0.4%-1.0%620.1K-30.4M-54.7K0.2238.684409620,4183,772
2020-11-18$24.32$22.0060.4%17.3%68.5%36.7%61.1%0.2%-0.8%610.2K-26.7M-52.8K0.1647.926089620,4483,752
2020-11-19$24.12$22.0058.7%16.8%68.5%35.0%58.8%0.5%1.5%617.6K-25.8M-52.4K0.1143.744725320,5583,868
2020-11-20$23.97$22.0058.5%16.8%68.0%34.9%58.8%-0.7%0.9%480.9K-25.4M-52.2K0.4735.6841919520,8103,884
2020-11-23$23.35$23.0056.5%16.2%67.8%33.0%56.4%-0.5%-0.0%439.3K-20.2M-49.0K0.6837.1651235016,3491,249
2020-11-24$23.48$23.0057.0%16.4%67.8%33.5%57.2%-0.4%0.3%451.8K-20.8M-49.1K0.2632.302245916,6121,268
2020-11-25$23.05$23.0056.3%16.2%67.5%32.8%55.8%-0.2%-0.3%441.3K-19.2M-48.1K0.1828.431993516,6701,318
2020-11-27$23.90$23.0056.5%16.2%68.9%33.0%55.9%-0.5%-0.2%476.1K-22.0M-48.4K0.4620.3227712816,7711,353
2020-11-30$23.60$23.0058.8%16.8%67.4%35.1%60.5%-1.5%-2.1%482.8K-21.2M-47.3K0.1559.084076316,9791,378