CALX Options History — February 2021

In February 2021, CALX traded between $31.72 and $39.98. ATM implied volatility averaged 68.7%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded above realized volatility by 6.8% (HV 20d: 61.9%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.63.

Notable Days

2021-02-11: Highest Volume — 4,653 contracts
2021-02-11: Largest IV spike — 10.2% change
2021-02-01: Highest IV Rank — 52.1%
2021-02-01: Largest Expected Move — 22.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.29	$31.72	$39.98	$31.83	$39.98
Max Pain	$31.47	$30.00	$34.00	$30.00	$34.00
ATM IV	68.7%	60.8%	80.0%	80.0%	65.1%
Expected Move	19.5%	17.4%	22.9%	22.9%	18.7%
HV 20d	61.9%	58.8%	64.9%	59.2%	60.9%
HV 60d	59.6%	57.5%	65.1%	64.9%	59.6%
IV Rank	40.6%	32.6%	52.1%	52.1%	36.9%
IV Percentile	54.4%	25.8%	81.3%	81.3%	42.1%
Term Structure	-0.2%	-8.5%	3.7%	-6.7%	1.1%
VWIV	68.5%	62.2%	82.5%	82.5%	66.1%
Skew 25d	-3.5%	-5.5%	0.2%	-4.2%	-0.9%
Skew 10d	-5.7%	-12.9%	7.1%	-2.2%	-1.9%
Call IV 25d	71.2%	65.0%	86.0%	86.0%	67.4%
Put IV 25d	67.7%	61.3%	81.8%	81.8%	66.5%
Bid-Ask Spread %	36.02	17.77	65.90	65.62	44.09
Gamma HHI	0.28	0.16	0.47	0.34	0.18
Net GEX	543.5K	291.7K	758.3K	524.8K	301.6K
Net DEX	-28.5M	-45.0M	-13.6M	-20.2M	-19.6M
Net VEX	-58.4K	-66.8K	-49.9K	-62.8K	-55.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.05	5.82	0.56	1.33
Total Volume	1,218.368	272	4,653	805	2,741
Total OI	19,583.368	10,626	24,582	19,075	11,932

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
2021-02-01	$31.83	$30.00	80.0%	22.9%	59.2%	52.1%	82.5%	-4.2%	-6.7%	524.8K	-20.2M	-62.8K	0.56	65.62	516	289	14,721	4,354
2021-02-02	$32.78	$30.00	79.4%	22.8%	58.8%	51.4%	78.9%	0.2%	-8.5%	571.9K	-23.0M	-62.3K	0.32	65.90	368	116	14,993	4,410
2021-02-03	$32.08	$30.00	71.9%	20.6%	59.2%	43.8%	73.8%	-2.7%	-2.2%	601.3K	-20.5M	-60.6K	5.82	61.83	346	2,012	15,137	4,465
2021-02-04	$31.72	$30.00	69.2%	18.8%	59.2%	41.1%	66.4%	-3.5%	-0.3%	629.4K	-18.7M	-66.8K	0.14	21.15	238	34	15,245	6,467
2021-02-05	$32.58	$30.00	68.5%	19.1%	59.1%	40.4%	66.9%	-4.4%	2.1%	666.7K	-22.2M	-66.4K	0.05	17.77	1,166	62	15,271	6,474
2021-02-08	$34.76	$30.00	70.7%	19.3%	62.9%	42.6%	67.3%	-4.8%	-0.0%	758.3K	-34.1M	-66.7K	0.25	22.44	1,817	457	16,413	6,536
2021-02-09	$35.90	$30.00	71.0%	19.2%	63.6%	42.9%	67.7%	-3.9%	2.9%	683.9K	-37.7M	-62.5K	0.13	25.16	458	59	16,231	6,712
2021-02-10	$35.01	$30.00	67.4%	19.3%	63.6%	39.2%	66.7%	-3.8%	1.5%	732.4K	-34.7M	-63.8K	0.22	22.60	464	104	16,362	6,741
2021-02-11	$36.78	$32.00	74.2%	21.3%	64.1%	46.2%	74.4%	-4.5%	-0.1%	649.3K	-41.4M	-62.1K	0.05	21.69	4,447	206	16,334	6,824
2021-02-12	$36.72	$30.00	70.4%	20.2%	63.9%	42.3%	70.6%	-4.5%	-1.3%	685.6K	-45.0M	-63.1K	0.11	32.11	939	99	17,680	6,902
2021-02-16	$36.68	$30.00	67.7%	19.4%	63.8%	39.6%	67.4%	-4.9%	-0.9%	618.9K	-44.8M	-55.3K	0.37	31.16	553	207	17,284	6,982
2021-02-17	$35.04	$32.00	66.6%	19.1%	60.5%	38.4%	66.6%	-5.5%	2.5%	663.6K	-39.0M	-55.4K	0.45	25.08	417	188	17,289	7,172
2021-02-18	$34.52	$32.00	64.8%	18.6%	60.6%	36.7%	65.7%	-4.8%	1.7%	451.0K	-37.9M	-52.3K	0.20	28.09	330	65	17,180	7,281
2021-02-19	$36.19	$33.00	60.8%	17.4%	62.9%	32.6%	62.2%	-4.5%	3.7%	607.4K	-43.5M	-50.9K	0.17	36.22	1,202	205	17,130	7,260
2021-02-22	$36.27	$33.00	62.9%	18.0%	62.9%	34.7%	63.1%	-3.0%	2.6%	291.7K	-13.9M	-49.9K	0.74	39.86	407	303	6,937	3,689
2021-02-23	$36.05	$34.00	64.2%	18.4%	62.5%	36.0%	64.8%	-3.3%	-0.6%	294.8K	-13.6M	-51.7K	0.81	36.65	200	162	7,127	3,956
2021-02-24	$37.98	$34.00	62.5%	17.9%	64.9%	34.3%	63.3%	-2.2%	0.6%	297.9K	-16.4M	-51.3K	0.07	41.84	616	45	7,121	4,099
2021-02-25	$37.67	$34.00	67.7%	19.4%	62.9%	39.6%	68.0%	-0.9%	-0.9%	295.7K	-15.9M	-50.7K	0.23	45.11	1,069	242	7,266	4,107
2021-02-26	$39.98	$34.00	65.1%	18.7%	60.9%	36.9%	66.1%	-0.9%	1.1%	301.6K	-19.6M	-55.0K	1.33	44.09	1,178	1,563	7,599	4,333