CALX Options History — March 2021

In March 2021, CALX traded between $32.59 and $48.19. ATM implied volatility averaged 62.4%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded below realized volatility by 8.0% (HV 20d: 70.4%). Max pain ranged from $29.00 to $40.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.88.

Notable Days

  • 2021-03-02: Highest Volume — 5,126 contracts
  • 2021-03-29: Largest IV spike — 12.8% change
  • 2021-03-08: Highest IV Rank — 41.8%
  • 2021-03-04: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.00$32.59$48.19$43.24$35.10
Max Pain$31.65$29.00$40.00$34.00$33.00
ATM IV62.4%51.6%69.9%64.6%61.9%
Expected Move17.8%14.8%19.6%18.5%17.7%
HV 20d70.4%56.4%94.5%56.4%94.5%
HV 60d62.4%56.9%72.4%60.8%72.4%
IV Rank30.0%12.7%41.8%36.4%29.1%
IV Percentile31.2%1.2%62.7%37.7%29.0%
Term Structure4.1%-2.3%12.8%1.4%8.0%
VWIV63.0%53.9%74.6%55.8%66.7%
Skew 25d2.8%-3.7%9.0%-3.7%3.5%
Skew 10d5.7%-5.3%21.8%-5.3%6.3%
Call IV 25d62.3%51.9%70.1%67.1%64.3%
Put IV 25d65.1%55.3%79.1%63.4%67.8%
Bid-Ask Spread %60.4233.9081.1559.7633.90
Gamma HHI0.320.120.580.170.14
Net GEX393.7K-36.1K1.3M246.1K-7.4K
Net DEX-20.4M-41.0M-872.4K-22.6M-3.8M
Net VEX-70.4K-90.9K-51.7K-59.3K-71.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.063.900.062.92
Total Volume1,476.4352225,1262,711752
Total OI18,035.91311,96521,25513,12718,188

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$43.24$34.0064.6%18.5%56.4%36.4%55.8%-3.7%1.4%246.1K-22.6M-59.3K0.0659.762,5661457,2825,845
2021-03-02$42.12$35.0062.5%17.9%56.8%34.3%62.9%5.3%-0.4%291.4K-21.1M-72.6K0.9153.852,6862,4408,0855,930
2021-03-03$42.47$40.0063.5%18.2%56.5%35.3%62.9%8.5%0.7%300.6K-21.1M-84.9K0.9245.491,7661,6279,9218,127
2021-03-04$40.15$29.0069.8%19.6%60.5%41.7%68.2%5.9%-2.3%136.2K-12.8M-90.9K0.1152.586086710,7359,440
2021-03-05$38.89$29.0066.2%18.7%61.9%38.0%68.3%6.4%-0.4%26.6K-8.2M-86.1K0.2952.481,02329810,5669,437
2021-03-08$39.33$30.0069.9%18.5%61.6%41.8%66.6%3.5%0.5%33.2K-9.6M-82.2K0.4354.3339517110,5889,643
2021-03-09$44.09$30.0065.4%18.5%69.5%37.2%65.8%1.5%-0.7%437.9K-25.9M-81.1K0.0962.901,78115210,6369,838
2021-03-10$44.39$30.0062.5%17.9%69.1%34.2%63.6%1.3%1.8%540.9K-26.9M-79.8K0.7266.2332123110,9789,890
2021-03-11$45.63$30.0061.5%17.6%68.0%33.3%62.4%0.9%2.4%700.2K-31.4M-80.1K0.2241.8744910110,9649,976
2021-03-12$46.42$30.0063.5%18.2%66.7%35.3%61.7%1.4%2.2%759.6K-34.1M-72.8K0.1765.574467510,95710,031
2021-03-15$47.14$30.0063.8%18.3%66.5%25.9%64.5%0.6%1.5%870.3K-37.4M-67.6K0.2956.4837811011,04810,045
2021-03-16$47.88$30.0059.7%17.1%66.4%21.2%61.1%2.6%4.1%903.1K-40.6M-64.3K0.1560.905578311,15810,080
2021-03-17$48.19$30.0060.1%17.2%62.7%21.7%61.2%0.9%4.5%876.3K-41.0M-62.0K0.4581.1526211811,08810,112
2021-03-18$46.60$30.0061.8%17.7%64.2%23.6%61.9%1.1%10.2%1.3M-37.7M-62.3K0.2867.323078511,08010,175
2021-03-19$46.10$30.0057.9%16.6%63.7%19.1%59.5%3.5%9.4%949.8K-37.5M-59.3K3.2057.298082,58210,96710,236
2021-03-22$46.27$30.0051.6%14.8%63.6%12.7%53.9%3.4%12.8%229.9K-18.4M-56.0K0.6275.89137856,2655,700
2021-03-23$40.97$30.0056.8%16.3%79.3%19.3%58.0%2.2%11.6%161.6K-12.5M-51.7K3.9070.692701,0536,3195,747
2021-03-24$37.95$34.0059.0%16.9%82.6%25.0%59.1%2.4%7.0%32.3K-7.2M-59.9K0.4265.571,7147266,3126,668
2021-03-25$39.11$34.0059.2%17.0%83.2%25.2%59.1%2.5%8.2%83.1K-9.2M-65.7K0.1376.962,2992957,1796,979
2021-03-26$37.99$34.0060.0%17.2%81.0%26.3%63.0%1.8%8.7%161.7K-8.9M-72.7K0.7078.206014198,9527,179
2021-03-29$32.59$33.0067.6%19.4%91.3%37.3%74.6%9.0%-0.8%44.3K-1.3M-66.8K2.1955.196861,5029,0347,533
2021-03-30$33.42$33.0066.3%19.0%92.3%35.4%67.9%-0.7%4.8%-36.1K-872.4K-70.0K1.0655.103804019,2918,622
2021-03-31$35.10$33.0061.9%17.7%94.5%29.1%66.7%3.5%8.0%-7.4K-3.8M-71.4K2.9233.901925609,4308,758