CALX Options History — January 2021

In January 2021, CALX traded between $29.19 and $36.03. ATM implied volatility averaged 80.1%, placing in the 53.5% IV rank vs the trailing year. The 30-day expected move averaged 24.9%. IV traded above realized volatility by 27.5% (HV 20d: 52.6%). Max pain ranged from $23.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.29.

Notable Days

2021-01-20: Highest Volume — 3,811 contracts
2021-01-28: Largest IV drop — 27.5% change
2021-01-27: Highest IV Rank — 75.9%
2021-01-27: Largest Expected Move — 29.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.81	$29.19	$36.03	$29.19	$30.14
Max Pain	$25.79	$23.00	$30.00	$23.00	$30.00
ATM IV	80.1%	58.2%	103.5%	71.8%	79.5%
Expected Move	24.9%	21.5%	29.7%	24.6%	22.8%
HV 20d	52.6%	38.3%	69.7%	69.6%	56.0%
HV 60d	66.6%	60.5%	72.0%	72.0%	64.2%
IV Rank	53.5%	34.5%	75.9%	47.4%	51.5%
IV Percentile	74.9%	29.8%	96.0%	74.6%	81.3%
Term Structure	-12.0%	-19.3%	-3.0%	-12.4%	-6.6%
VWIV	87.8%	77.0%	106.7%	85.1%	80.4%
Skew 25d	-1.2%	-7.5%	1.6%	1.6%	-3.8%
Skew 10d	0.5%	-9.4%	13.6%	3.5%	-9.4%
Call IV 25d	89.0%	77.6%	112.7%	85.8%	81.0%
Put IV 25d	87.8%	77.2%	105.1%	87.4%	77.2%
Bid-Ask Spread %	44.90	30.73	64.27	30.73	55.61
Gamma HHI	0.30	0.17	0.44	0.17	0.33
Net GEX	520.2K	393.4K	675.7K	619.3K	465.4K
Net DEX	-45.6M	-71.1M	-14.8M	-50.9M	-14.8M
Net VEX	-58.4K	-67.0K	-52.2K	-59.7K	-61.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.04	1.17	0.35	1.12
Total Volume	1,113.579	254	3,811	1,311	1,412
Total OI	23,727.105	12,721	31,250	29,145	18,291

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-01-04	$29.19	$23.00	71.8%	24.6%	69.6%	47.4%	85.1%	1.6%	-12.4%	619.3K	-50.9M	-59.7K	0.35	30.73	968	343	26,658	2,487
2021-01-05	$29.87	$23.00	65.0%	23.7%	69.7%	41.0%	82.0%	-0.7%	-12.1%	578.9K	-54.7M	-58.8K	0.13	43.99	432	57	27,133	2,689
2021-01-06	$30.35	$23.00	59.6%	23.0%	67.3%	35.8%	81.0%	0.2%	-10.9%	577.2K	-57.3M	-57.7K	0.04	41.92	1,449	64	27,253	2,765
2021-01-07	$31.25	$23.00	58.2%	22.9%	66.7%	34.5%	80.3%	-0.1%	-11.1%	612.0K	-61.9M	-57.9K	0.10	42.60	390	38	27,941	2,785
2021-01-08	$31.93	$23.00	58.6%	23.4%	64.6%	34.9%	82.7%	0.4%	-13.2%	624.6K	-64.9M	-57.1K	0.06	47.29	913	51	28,024	2,777
2021-01-11	$32.03	$23.00	68.1%	24.1%	64.0%	44.0%	84.7%	-0.4%	-12.4%	638.1K	-66.1M	-57.7K	0.34	43.75	190	64	28,379	2,804
2021-01-12	$33.15	$23.00	69.6%	24.0%	64.2%	41.5%	85.3%	-1.9%	-13.5%	675.7K	-71.1M	-56.8K	0.18	48.13	543	96	28,409	2,811
2021-01-13	$32.06	$23.00	84.4%	24.2%	38.3%	56.5%	85.5%	-0.3%	-13.3%	616.8K	-65.8M	-55.9K	0.08	46.30	1,299	108	28,479	2,771
2021-01-14	$32.80	$24.00	85.7%	24.6%	38.4%	57.8%	86.4%	-1.4%	-10.6%	671.1K	-69.6M	-56.1K	0.05	44.28	1,195	57	28,171	2,833
2021-01-15	$32.62	$24.00	86.5%	24.8%	38.6%	58.6%	86.9%	-1.4%	-11.0%	414.6K	-67.7M	-55.1K	0.09	41.79	1,001	89	27,236	2,864
2021-01-19	$35.22	$24.00	87.7%	25.2%	46.0%	59.9%	90.7%	-1.7%	-11.7%	420.6K	-28.7M	-52.2K	0.33	46.94	785	261	11,588	1,133
2021-01-20	$34.85	$24.00	89.0%	25.5%	45.9%	61.2%	89.8%	0.4%	-12.2%	427.6K	-28.1M	-52.5K	1.17	41.91	1,756	2,055	11,725	1,325
2021-01-21	$34.62	$30.00	88.2%	25.3%	46.0%	60.4%	91.0%	0.1%	-11.7%	410.9K	-27.3M	-61.2K	0.69	42.60	282	196	12,961	3,258
2021-01-22	$34.72	$30.00	91.0%	26.1%	43.8%	63.2%	92.1%	-3.4%	-14.3%	408.7K	-27.6M	-61.3K	0.21	42.19	388	82	13,014	3,434
2021-01-25	$35.53	$30.00	99.8%	28.6%	43.2%	72.1%	99.2%	-2.8%	-19.3%	393.4K	-29.2M	-59.1K	0.11	41.71	725	79	12,959	3,491
2021-01-26	$36.03	$30.00	101.4%	29.1%	42.9%	73.7%	101.4%	-1.7%	-16.9%	397.9K	-30.5M	-58.8K	0.13	45.02	1,154	153	13,089	3,528
2021-01-27	$34.54	$30.00	103.5%	29.7%	45.9%	75.9%	106.7%	-7.5%	-12.6%	409.5K	-27.7M	-67.0K	0.19	42.04	1,156	218	13,939	3,629
2021-01-28	$32.51	$30.00	75.0%	21.5%	48.3%	47.0%	77.0%	1.1%	-3.0%	521.3K	-22.1M	-64.2K	0.13	64.27	979	130	14,449	3,733
2021-01-29	$30.14	$30.00	79.5%	22.8%	56.0%	51.5%	80.4%	-3.8%	-6.6%	465.4K	-14.8M	-61.0K	1.12	55.61	665	747	14,515	3,776