CALX Options History — April 2021

In April 2021, CALX traded between $36.48 and $46.10. ATM implied volatility averaged 65.8%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded below realized volatility by 13.7% (HV 20d: 79.5%). Max pain ranged from $33.00 to $39.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2021-04-13: Highest Volume — 5,609 contracts
  • 2021-04-28: Largest IV drop — 22.2% change
  • 2021-04-20: Highest IV Rank — 46.7%
  • 2021-04-20: Largest Expected Move — 22.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.14$36.48$46.10$36.69$42.24
Max Pain$38.52$33.00$39.00$33.00$39.00
ATM IV65.8%52.0%77.8%64.0%52.0%
Expected Move19.8%14.9%22.3%18.4%14.9%
HV 20d79.5%46.3%94.7%94.7%47.9%
HV 60d72.5%70.1%73.9%72.8%70.1%
IV Rank29.2%1.8%46.7%32.2%1.8%
IV Percentile48.7%1.6%84.5%39.7%1.6%
Term Structure-5.9%-10.9%8.8%8.8%1.3%
VWIV69.9%52.2%78.4%67.3%52.2%
Skew 25d-1.5%-11.7%1.6%-0.7%-0.8%
Skew 10d-0.4%-6.9%10.9%10.9%-3.2%
Call IV 25d71.4%52.2%82.0%67.3%52.2%
Put IV 25d69.8%51.4%78.9%66.6%51.4%
Bid-Ask Spread %36.3724.9967.5567.5532.08
Gamma HHI0.330.200.810.210.48
Net GEX615.2K82.0K2.8M82.0K777.7K
Net DEX-24.0M-39.4M-7.5M-7.5M-21.9M
Net VEX-99.8K-118.4K-72.0K-72.0K-113.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.041.240.041.24
Total Volume1,745.7621795,6094,894472
Total OI20,384.85716,67124,10917,90322,940

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-04-01$36.69$33.0064.0%18.4%94.7%32.2%67.3%-0.7%8.8%82.0K-7.5M-72.0K0.0467.554,7221729,4488,455
2021-04-05$36.48$38.0068.3%20.5%94.1%38.3%71.8%-0.9%-6.6%179.7K-8.6M-74.1K0.1425.673384910,8718,553
2021-04-06$37.06$38.0065.4%20.1%94.2%34.1%70.9%0.2%-6.9%222.6K-9.6M-76.3K0.1725.011532610,9638,611
2021-04-07$39.31$38.0059.9%20.0%86.9%26.2%71.2%-2.5%-4.6%384.4K-15.6M-76.0K0.0728.952,23016010,9738,603
2021-04-08$40.48$38.0057.7%20.8%87.7%23.1%71.9%-0.9%-7.8%460.7K-20.5M-82.4K0.1832.062,67848811,2568,677
2021-04-09$41.21$39.0052.6%20.0%87.3%6.7%70.3%-0.6%-6.7%454.8K-24.5M-97.7K0.4631.4163829212,1769,154
2021-04-12$42.60$39.0061.5%20.4%88.0%20.7%72.8%-1.3%-8.6%499.0K-28.0M-95.9K0.1529.701,29418812,2899,398
2021-04-13$43.81$39.0062.6%21.6%88.5%22.6%76.2%-2.6%-9.1%602.4K-31.2M-94.8K0.6829.943,3382,27112,2959,483
2021-04-14$43.73$39.0071.0%20.3%88.2%35.8%71.4%-4.5%-4.8%711.3K-32.9M-101.4K0.0824.991,70014413,2459,530
2021-04-15$44.33$39.0071.0%20.3%88.3%35.8%71.8%-0.1%-6.0%960.7K-36.4M-106.1K0.0432.637172614,3369,580
2021-04-16$44.92$39.0068.1%19.5%87.8%31.2%68.3%-0.8%-5.3%2.8M-39.4M-102.7K0.1740.231,72929114,5389,571
2021-04-19$42.14$39.0071.5%20.5%90.5%36.7%71.4%-2.3%-8.5%370.5K-20.2M-106.4K0.1639.605158310,1246,547
2021-04-20$40.91$39.0077.8%22.3%90.9%46.7%78.4%1.6%-10.2%338.3K-18.0M-105.5K1.0034.5771070910,3016,547
2021-04-21$42.75$39.0076.0%21.8%81.5%43.8%76.7%-0.8%-9.0%369.2K-21.9M-110.7K0.3433.232297910,5737,186
2021-04-22$43.86$39.0076.5%21.9%76.3%44.6%75.9%-2.3%-10.9%402.3K-24.5M-110.6K0.3742.3650719010,6627,229
2021-04-23$45.07$39.0072.9%20.9%76.2%39.0%72.4%0.3%-7.0%424.4K-27.1M-110.2K0.0638.931,2947510,6687,332
2021-04-26$46.10$39.0073.9%21.2%75.2%40.5%73.8%-0.3%-9.5%547.8K-32.1M-111.4K0.2237.022,46154511,6787,371
2021-04-27$45.10$39.0070.6%20.2%46.3%35.2%76.7%-11.7%-10.0%677.8K-32.9M-118.4K0.4539.752,2721,01913,6257,790
2021-04-28$43.44$39.0054.9%15.7%49.9%10.3%54.0%-1.9%-2.3%836.2K-26.9M-114.8K1.1457.0634639414,4048,333
2021-04-29$42.73$39.0053.4%15.3%49.1%8.0%52.7%0.4%0.7%801.4K-23.2M-114.9K0.1841.0294717014,3948,373
2021-04-30$42.24$39.0052.0%14.9%47.9%1.8%52.2%-0.8%1.3%777.7K-21.9M-113.9K1.2432.0821126114,4768,464