CALX Options History — June 2021

In June 2021, CALX traded between $42.35 and $48.93. ATM implied volatility averaged 50.7%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 3.8% (HV 20d: 46.9%). Max pain ranged from $36.00 to $41.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.59.

Notable Days

  • 2021-06-29: Highest Volume — 1,758 contracts
  • 2021-06-07: Largest IV spike — 9.9% change
  • 2021-06-18: Highest IV Rank — 10.1%
  • 2021-06-18: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.30$42.35$48.93$46.61$47.41
Max Pain$38.73$36.00$41.00$41.00$40.00
ATM IV50.7%47.7%54.6%50.7%51.1%
Expected Move14.6%13.7%15.7%14.5%14.6%
HV 20d46.9%34.0%69.3%69.2%40.6%
HV 60d63.7%53.0%72.1%72.1%53.2%
IV Rank3.8%0.0%10.1%3.0%5.4%
IV Percentile3.6%0.0%12.3%2.0%7.5%
Term Structure7.6%1.2%13.2%1.9%12.1%
VWIV51.1%48.5%54.2%51.0%50.9%
Skew 25d0.7%-2.5%3.3%2.9%1.4%
Skew 10d3.7%-4.5%14.7%8.0%6.0%
Call IV 25d51.4%48.5%55.1%49.7%51.4%
Put IV 25d52.1%48.9%55.3%52.6%52.8%
Bid-Ask Spread %64.7418.7088.5434.2818.70
Gamma HHI0.290.190.880.280.22
Net GEX868.6K233.1K6.3M731.5K333.9K
Net DEX-32.7M-44.6M-15.7M-37.2M-22.7M
Net VEX-74.2K-89.4K-62.2K-86.9K-68.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.052.470.050.26
Total Volume479.318781,758314116
Total OI18,838.59113,94822,72920,24415,254

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$46.61$41.0050.7%14.5%69.2%3.0%51.0%2.9%1.9%731.5K-37.2M-86.9K0.0534.282981611,5738,671
2021-06-02$46.22$41.0050.8%14.6%69.3%3.3%50.7%1.6%1.2%774.3K-36.6M-89.4K0.5141.011628211,7068,685
2021-06-03$45.59$36.0052.1%15.4%66.6%5.3%54.0%0.9%1.2%796.5K-34.6M-88.8K0.2171.55921911,7218,742
2021-06-04$46.03$36.0049.0%15.0%66.6%0.3%51.7%1.1%3.8%800.8K-36.3M-85.8K1.5775.706910811,7158,732
2021-06-07$47.26$36.0053.8%15.3%65.5%8.1%52.9%3.3%3.1%719.3K-39.9M-81.0K0.8543.7317014511,7478,687
2021-06-08$46.73$37.0053.6%15.2%54.2%7.6%53.2%0.9%4.5%745.4K-39.3M-78.8K0.0869.571,0878411,8538,812
2021-06-09$46.07$37.0051.7%14.8%54.4%4.7%51.6%-2.0%7.7%920.4K-41.5M-81.5K0.4942.16683312,8298,892
2021-06-10$45.99$37.0050.3%14.4%36.7%2.5%50.9%-1.6%10.3%924.8K-41.7M-79.1K2.4783.765914612,8088,923
2021-06-11$46.65$40.0048.2%13.8%36.7%0.0%50.0%-0.7%6.2%751.9K-44.4M-74.5K1.0588.54384012,8339,013
2021-06-14$45.18$40.0051.8%14.9%34.4%5.8%51.8%-2.5%3.4%1.0M-40.0M-74.3K0.5082.7431515712,8189,019
2021-06-15$45.47$40.0050.2%14.4%34.0%3.2%50.1%-1.1%4.2%1.0M-42.2M-72.0K1.2979.8018724212,9959,099
2021-06-16$46.06$37.0050.6%14.5%34.1%3.8%49.4%1.6%5.7%558.0K-44.6M-68.9K0.0674.277894812,9298,966
2021-06-17$45.08$37.0051.3%14.7%35.3%5.0%51.2%1.2%10.0%647.0K-41.3M-71.9K0.2342.222856613,5228,997
2021-06-18$42.35$37.0054.6%15.7%37.3%10.1%54.2%0.2%7.5%6.3M-31.0M-71.5K0.5277.411819413,6829,047
2021-06-21$44.14$40.0051.0%14.6%40.1%4.4%52.0%2.2%11.0%233.1K-15.7M-69.3K0.1150.88275307,3316,617
2021-06-22$46.23$40.0050.6%14.5%43.3%3.8%50.3%1.5%9.4%287.4K-19.2M-66.4K1.2179.951191447,4766,644
2021-06-23$47.03$40.0048.8%14.0%43.4%1.0%48.9%0.7%11.9%292.8K-20.7M-66.2K0.4176.209593907,5246,684
2021-06-24$47.25$40.0048.3%13.8%43.3%0.1%48.7%0.5%13.2%315.6K-21.0M-65.3K0.4670.99213987,5136,676
2021-06-25$48.32$40.0047.7%13.7%43.3%0.0%48.5%0.4%13.1%300.0K-22.4M-62.2K0.3380.074041327,4426,744
2021-06-28$48.93$40.0050.1%14.4%43.0%3.8%51.1%1.3%11.7%309.5K-23.6M-63.9K0.0972.66761667,7216,868
2021-06-29$48.10$40.0049.1%14.1%40.3%2.2%51.3%1.6%12.8%316.9K-22.9M-66.7K0.2768.051,3873718,0106,929
2021-06-30$47.41$40.0051.1%14.6%40.6%5.4%50.9%1.4%12.1%333.9K-22.7M-68.0K0.2618.7092248,2956,959