CALX Options History — July 2021

In July 2021, CALX traded between $42.08 and $48.93. ATM implied volatility averaged 61.0%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 12.1% (HV 20d: 48.8%). Max pain ranged from $35.00 to $43.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2021-07-07: Highest Volume — 3,537 contracts
  • 2021-07-27: Largest IV drop — 26.5% change
  • 2021-07-22: Highest IV Rank — 39.1%
  • 2021-07-22: Largest Expected Move — 20.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.10$42.08$48.93$46.95$46.40
Max Pain$39.05$35.00$43.00$40.00$43.00
ATM IV61.0%47.5%72.5%51.1%55.0%
Expected Move18.3%13.6%20.8%14.6%15.8%
HV 20d48.8%39.4%61.4%40.4%61.4%
HV 60d53.5%50.9%57.4%52.1%56.3%
IV Rank21.0%0.0%39.1%5.3%11.6%
IV Percentile38.1%0.0%79.8%7.5%17.1%
Term Structure-5.2%-10.6%14.4%11.2%-2.1%
VWIV65.0%47.1%74.3%50.0%54.5%
Skew 25d1.9%-1.3%5.2%3.9%2.3%
Skew 10d4.8%-0.0%9.9%7.7%6.7%
Call IV 25d64.2%46.3%73.5%49.2%53.8%
Put IV 25d66.1%49.2%76.0%53.1%56.0%
Bid-Ask Spread %25.0713.0661.7255.5233.71
Gamma HHI0.170.090.260.220.09
Net GEX254.6K-11.9K421.0K333.2K209.5K
Net DEX-15.7M-22.8M-7.7M-21.9M-16.9M
Net VEX-67.0K-77.9K-59.5K-70.2K-77.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.064.200.200.22
Total Volume1,146533,53753230
Total OI15,857.71411,65921,01015,31617,132

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$46.95$40.0051.1%14.6%40.4%5.3%50.0%3.9%11.2%333.2K-21.9M-70.2K0.2055.524498,3376,979
2021-07-02$46.66$40.0047.5%13.6%40.4%0.0%47.1%2.9%14.4%367.9K-21.9M-66.1K0.3761.7265248,3466,984
2021-07-06$47.19$35.0054.3%19.2%39.4%10.6%68.3%1.4%-10.3%371.3K-22.8M-64.6K0.0615.902,4491498,3446,992
2021-07-07$44.34$35.0056.2%19.1%45.1%13.6%66.8%0.2%-9.1%335.7K-15.1M-60.8K0.0814.293,2712668,3697,053
2021-07-08$42.08$35.0059.3%19.5%48.3%18.4%71.1%1.4%-8.6%302.5K-11.2M-62.2K0.4318.2452022510,2067,226
2021-07-09$43.11$35.0051.4%19.2%49.4%6.0%66.6%-1.3%-9.7%421.0K-12.9M-63.4K0.1519.435057710,2757,335
2021-07-12$42.83$35.0059.6%19.0%49.0%18.9%67.7%0.1%-9.0%358.0K-11.6M-60.5K0.2616.4742311210,3527,381
2021-07-13$43.05$35.0057.7%19.4%47.9%15.9%68.1%1.1%-9.2%371.5K-11.8M-59.7K0.3816.3932312210,4527,431
2021-07-14$43.00$36.0067.4%19.3%47.8%31.1%68.0%0.3%-8.9%337.7K-11.8M-61.2K0.7716.831,3361,02310,5747,487
2021-07-15$42.27$36.0063.0%18.1%47.7%24.2%66.8%0.7%0.7%-11.9K-7.7M-59.5K0.1318.941,01813511,6498,655
2021-07-16$42.17$39.0065.9%18.9%47.3%28.8%66.5%1.6%-6.4%23.8K-7.8M-65.1K0.2321.971824212,4538,557
2021-07-19$42.21$39.0072.5%20.8%41.8%39.0%73.5%3.4%-7.7%156.7K-11.8M-64.3K0.4021.824271716,5415,118
2021-07-20$44.60$40.0071.5%20.5%43.8%37.5%70.9%3.8%-9.1%188.9K-14.5M-67.0K0.2317.67158376,7365,209
2021-07-21$47.84$39.0071.2%20.4%47.8%37.1%72.1%3.6%-10.0%229.8K-18.7M-64.8K1.0421.561,2361,2866,8235,217
2021-07-22$46.96$43.0072.5%20.8%47.9%39.1%72.8%1.0%-10.5%195.6K-18.0M-73.6K0.2625.844731247,5496,342
2021-07-23$48.93$43.0072.2%20.7%50.1%38.6%72.9%2.5%-9.9%232.1K-21.6M-74.3K0.1713.066461077,8376,433
2021-07-26$48.39$43.0071.7%20.6%49.7%37.9%74.3%1.6%-10.6%233.2K-20.8M-71.8K0.8417.431,1649757,8376,432
2021-07-27$44.34$43.0052.7%15.1%58.3%8.1%55.1%1.2%-1.1%213.1K-14.1M-69.9K2.2928.476671,5267,9676,493
2021-07-28$46.64$43.0054.8%15.7%61.3%11.4%58.0%5.2%-2.1%249.9K-17.6M-73.6K4.2034.914221,7738,3976,992
2021-07-29$47.15$43.0052.6%15.1%61.2%7.9%54.1%2.5%-0.7%227.2K-18.6M-76.3K0.3336.38244808,3768,144
2021-07-30$46.40$43.0055.0%15.8%61.4%11.6%54.5%2.3%-2.1%209.5K-16.9M-77.9K0.2233.71189418,6678,465