CALX Options History — December 2020

In December 2020, CALX traded between $22.76 and $32.81. ATM implied volatility averaged 63.8%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 0.1% (HV 20d: 63.7%). Max pain ranged from $16.00 to $23.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.24.

Notable Days

  • 2020-12-14: Highest Volume — 11,256 contracts
  • 2020-12-09: Largest IV spike — 11.6% change
  • 2020-12-22: Highest IV Rank — 46.6%
  • 2020-12-22: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.97$22.76$32.81$22.94$29.98
Max Pain$17.18$16.00$23.00$23.00$17.00
ATM IV63.8%56.6%70.9%57.5%62.9%
Expected Move18.2%16.2%20.3%16.5%18.0%
HV 20d63.7%43.1%70.0%67.9%68.3%
HV 60d69.3%64.4%73.1%65.4%71.8%
IV Rank39.9%33.0%46.6%33.9%39.0%
IV Percentile51.7%34.9%73.0%37.7%44.8%
Term Structure9.2%-2.6%19.6%-0.6%19.6%
VWIV63.9%56.4%70.9%59.8%62.3%
Skew 25d0.4%-3.2%5.0%-2.9%5.0%
Skew 10d4.0%-3.7%15.5%-3.7%12.2%
Call IV 25d63.5%56.1%72.4%58.6%61.4%
Put IV 25d63.9%55.7%69.9%55.7%66.4%
Bid-Ask Spread %60.0133.5370.8150.5064.17
Gamma HHI0.170.120.200.190.17
Net GEX615.2K444.4K916.2K456.8K591.6K
Net DEX-44.2M-63.1M-18.3M-18.8M-54.6M
Net VEX-55.8K-69.3K-43.2K-45.9K-62.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.011.510.210.08
Total Volume1,602.40917311,256358427
Total OI24,144.63618,47329,18018,47329,180

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$22.94$23.0057.5%16.5%67.9%33.9%59.8%-2.9%-0.6%456.8K-18.8M-45.9K0.2150.502956317,0471,426
2020-12-02$22.76$23.0059.3%17.0%67.3%35.6%58.8%-2.1%-2.6%444.4K-18.3M-45.3K0.0733.536003917,1961,437
2020-12-03$23.40$16.0056.6%16.2%68.1%33.0%56.4%1.6%7.5%492.0K-20.9M-47.1K0.2045.053787417,5031,444
2020-12-04$23.70$16.0058.7%17.0%58.7%35.0%58.8%0.3%6.1%500.6K-22.1M-46.7K0.0370.817422217,6091,393
2020-12-07$25.19$16.0061.6%17.0%63.3%37.8%59.1%0.0%6.7%590.6K-27.9M-47.0K0.0364.151,3994318,1471,412
2020-12-08$24.69$16.0060.5%16.4%58.1%36.7%57.7%-1.3%6.9%598.5K-26.4M-47.0K0.2863.8160416818,6171,401
2020-12-09$23.88$16.0067.5%19.4%44.9%43.4%70.9%1.3%2.5%529.5K-23.4M-48.8K0.0669.912,96519218,8221,545
2020-12-10$24.82$16.0066.5%19.1%44.7%42.4%65.3%0.5%1.3%680.6K-30.7M-54.3K0.3764.2830411321,2101,660
2020-12-11$24.76$16.0064.6%18.5%43.1%40.6%64.3%0.4%6.0%679.0K-30.1M-53.1K0.1959.191893521,0921,755
2020-12-14$28.99$16.0066.5%19.1%69.5%42.5%65.6%1.8%7.7%751.0K-49.6M-43.2K0.0969.7110,35090621,1181,755
2020-12-15$29.61$17.0064.8%18.6%69.5%40.8%64.8%-0.4%7.3%916.2K-57.8M-60.4K0.0460.763,48515525,0602,385
2020-12-16$29.65$17.0065.1%18.7%69.3%41.1%64.1%-2.2%8.1%910.1K-57.8M-60.7K0.0758.881,0777025,0792,482
2020-12-17$30.27$17.0063.0%18.1%67.7%39.1%64.5%-3.2%9.6%852.3K-60.0M-61.8K0.2758.2079121524,9172,544
2020-12-18$31.11$17.0061.6%17.7%67.5%37.8%63.2%-3.1%11.7%585.9K-63.1M-57.5K0.0362.371,7686124,5702,469
2020-12-21$31.45$17.0064.2%18.4%67.1%40.3%65.0%-0.1%8.2%508.6K-56.0M-55.5K0.1959.8867613021,8591,515
2020-12-22$32.81$17.0070.9%20.3%66.2%46.6%70.7%-2.4%13.9%450.8K-60.4M-54.9K0.0862.292,72222321,9831,595
2020-12-23$32.03$17.0069.5%19.9%67.7%45.2%67.7%2.1%13.9%564.5K-62.1M-69.0K0.0160.522,2343224,6711,799
2020-12-24$31.73$17.0065.0%18.6%67.1%41.0%68.6%2.2%17.6%599.1K-62.0M-69.3K1.1058.0211813026,5132,057
2020-12-28$31.40$17.0067.2%19.3%67.3%43.0%67.4%4.1%16.6%598.6K-60.4M-65.3K1.5160.6035353226,5592,178
2020-12-29$29.99$17.0065.9%18.9%70.0%41.8%65.6%4.3%16.6%622.8K-54.1M-66.3K0.2362.693257526,6512,380
2020-12-30$30.10$17.0065.2%18.7%68.5%41.2%65.8%3.8%18.2%610.8K-54.8M-65.4K0.1560.831502326,6942,453
2020-12-31$29.98$17.0062.9%18.0%68.3%39.0%62.3%5.0%19.6%591.6K-54.6M-62.9K0.0864.173943326,7202,460