CALX Options History — May 2021

In May 2021, CALX traded between $38.93 and $48.09. ATM implied volatility averaged 55.7%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 7.4% (HV 20d: 63.0%). Max pain ranged from $39.00 to $43.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2021-05-21: Highest Volume — 8,848 contracts
  • 2021-05-11: Largest IV spike — 13.2% change
  • 2021-05-11: Highest IV Rank — 23.8%
  • 2021-05-12: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.23$38.93$48.09$43.17$44.39
Max Pain$41.45$39.00$43.00$39.00$41.00
ATM IV55.7%48.8%65.3%54.0%48.9%
Expected Move15.9%14.0%18.5%15.5%14.0%
HV 20d63.0%46.9%73.7%47.9%67.5%
HV 60d73.0%69.5%75.8%70.1%71.8%
IV Rank8.4%0.0%23.8%5.1%0.1%
IV Percentile13.7%0.0%50.0%5.6%0.4%
Term Structure-0.2%-4.3%2.7%-0.9%2.3%
VWIV56.3%48.5%72.0%54.5%48.5%
Skew 25d3.7%0.6%6.7%0.6%2.7%
Skew 10d5.8%-8.5%15.5%-2.9%-1.9%
Call IV 25d54.0%47.2%63.3%54.3%47.2%
Put IV 25d57.7%49.9%68.2%54.9%49.9%
Bid-Ask Spread %34.5022.0760.9351.9936.26
Gamma HHI0.440.180.770.510.32
Net GEX806.6K166.8K2.2M873.6K793.6K
Net DEX-23.8M-43.6M-8.6M-24.7M-30.0M
Net VEX-98.4K-112.2K-84.4K-112.2K-96.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.0212.020.760.11
Total Volume848.21538,848322262
Total OI23,029.619,13325,41823,21620,108

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$43.17$39.0054.0%15.5%47.9%5.1%54.5%0.6%-0.9%873.6K-24.7M-112.2K0.7651.9918313914,5278,689
2021-05-04$43.10$39.0056.9%16.3%47.9%10.0%57.3%2.0%-0.1%837.7K-24.8M-111.7K0.8052.1917313914,4718,722
2021-05-05$45.61$39.0053.4%15.3%47.6%4.2%55.0%3.0%-0.6%1.1M-34.0M-108.8K0.8860.9322619914,4538,648
2021-05-06$46.13$43.0054.0%15.6%46.9%5.1%55.5%2.6%-0.2%1.1M-35.6M-108.7K0.4927.701226014,4438,659
2021-05-07$48.09$43.0051.9%15.0%48.4%1.7%53.4%2.1%1.0%1.1M-43.6M-100.4K0.2830.2758416414,3878,654
2021-05-10$43.49$43.0057.6%15.8%60.8%11.2%56.5%2.0%-1.3%997.9K-25.1M-100.9K1.2824.5614819014,3408,655
2021-05-11$43.24$43.0065.3%17.0%60.0%23.8%59.1%5.6%-4.3%971.8K-23.6M-101.8K0.2122.872425014,3548,728
2021-05-12$38.93$43.0064.5%18.5%70.5%22.5%72.0%4.9%-1.7%369.1K-10.4M-96.3K12.0224.291802,16414,3898,733
2021-05-13$39.14$43.0060.8%17.4%70.3%16.4%62.3%3.9%-0.9%265.0K-8.6M-98.3K0.4426.8029913214,44710,650
2021-05-14$41.50$41.0056.3%16.1%73.7%8.9%57.9%5.8%0.3%714.5K-15.9M-98.0K0.5323.741136014,63210,658
2021-05-17$41.05$41.0059.1%16.9%70.3%13.6%58.2%6.1%-1.5%591.7K-14.0M-92.4K0.7822.07866714,66310,653
2021-05-18$41.24$41.0058.3%16.7%69.5%12.2%57.1%5.2%-0.3%580.2K-14.3M-89.8K0.4123.502008314,63010,702
2021-05-19$41.68$42.0060.5%17.4%67.7%16.0%65.8%6.7%-0.8%640.2K-14.8M-91.6K1.1123.2611412614,62710,722
2021-05-20$44.05$42.0057.1%16.4%70.1%10.3%58.1%6.1%0.1%2.2M-24.0M-89.8K0.3226.492668514,63010,723
2021-05-21$43.59$42.0055.4%15.9%69.4%7.5%55.7%4.8%0.1%166.8K-17.9M-84.4K0.0234.938,66917914,68210,736
2021-05-24$43.81$41.0050.7%14.5%68.9%0.0%49.4%3.6%1.3%686.2K-27.8M-98.2K0.6344.3021413411,0178,116
2021-05-25$43.49$41.0050.4%14.4%68.5%0.0%50.0%2.3%0.8%719.4K-26.8M-96.8K0.4944.4725812611,1438,357
2021-05-26$43.98$41.0050.0%14.3%67.3%0.0%50.1%2.8%-0.0%762.1K-28.3M-98.1K1.0044.1412912911,3448,508
2021-05-27$44.98$41.0048.8%14.0%67.4%0.0%48.8%1.3%2.7%784.3K-32.5M-92.8K0.1845.222294111,3618,631
2021-05-28$44.39$41.0048.9%14.0%67.5%0.1%48.5%2.7%2.3%793.6K-30.0M-96.5K0.1136.262362611,4598,649