CALX Options History — August 2021

In August 2021, CALX traded between $42.85 and $48.39. ATM implied volatility averaged 51.3%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 3.5% (HV 20d: 47.8%). Max pain ranged from $43.00 to $46.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2021-08-25: Highest Volume — 900 contracts
  • 2021-08-19: Largest IV spike — 10.2% change
  • 2021-08-19: Highest IV Rank — 10.7%
  • 2021-08-19: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.41$42.85$48.39$45.73$46.74
Max Pain$44.95$43.00$46.00$43.00$45.00
ATM IV51.3%49.2%54.4%53.4%49.5%
Expected Move14.7%14.1%15.6%15.3%14.2%
HV 20d47.8%31.9%61.6%61.6%33.3%
HV 60d47.3%44.9%56.3%56.3%45.5%
IV Rank5.8%2.6%10.7%9.2%3.0%
IV Percentile9.3%3.6%21.0%13.1%4.8%
Term Structure0.7%-0.8%2.5%-0.7%1.1%
VWIV52.0%49.3%55.3%54.0%49.3%
Skew 25d3.0%1.0%5.6%3.6%4.7%
Skew 10d6.6%0.8%11.8%7.3%8.8%
Call IV 25d51.2%48.8%54.3%53.0%48.8%
Put IV 25d54.2%51.2%57.4%56.5%53.4%
Bid-Ask Spread %29.9421.6237.9229.3836.79
Gamma HHI0.140.090.620.090.10
Net GEX56.5K-1.2M281.6K221.6K124.3K
Net DEX-12.7M-17.4M-5.3M-15.5M-13.3M
Net VEX-61.8K-76.2K-50.7K-76.2K-50.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.042.610.300.38
Total Volume311.9552990013929
Total OI15,697.31812,23417,49117,06212,820

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$45.73$43.0053.4%15.3%61.6%9.2%54.0%3.6%-0.7%221.6K-15.5M-76.2K0.3029.38107328,7068,356
2021-08-03$45.78$43.0053.4%15.3%61.4%9.1%54.0%4.3%-0.3%229.1K-15.6M-74.0K0.3235.9482268,6918,376
2021-08-04$44.88$43.0054.2%15.5%57.6%10.5%55.3%2.8%-0.8%177.3K-13.5M-75.3K0.3028.30125388,7078,386
2021-08-05$44.67$46.0053.3%15.4%54.1%9.0%54.2%1.0%-0.6%170.4K-13.0M-74.5K0.6923.281531058,6658,393
2021-08-06$45.84$46.0049.4%14.5%54.2%2.8%53.0%2.6%0.7%229.4K-15.7M-71.1K0.1025.95190198,6698,414
2021-08-09$46.38$46.0052.9%14.8%54.2%8.4%54.5%1.4%0.7%281.6K-17.4M-66.5K1.3725.071391918,6908,431
2021-08-10$45.02$46.0051.7%14.6%55.5%6.5%51.3%2.4%0.4%186.4K-13.9M-67.9K0.1723.89109198,6158,435
2021-08-11$45.03$46.0051.2%14.7%55.5%5.8%51.7%2.9%-0.0%186.6K-13.4M-65.6K0.1533.83293448,5758,493
2021-08-12$45.28$45.0049.9%14.3%55.0%3.7%49.7%2.5%1.6%210.7K-14.0M-63.2K0.9430.3193878,6098,504
2021-08-13$45.14$45.0050.0%14.3%55.0%3.9%50.8%1.8%1.6%230.9K-13.9M-63.2K0.6631.17109728,5818,541
2021-08-16$44.18$45.0050.4%14.4%55.7%4.4%50.2%1.9%1.4%107.6K-11.0M-60.0K1.3425.922202948,6158,591
2021-08-17$43.17$45.0051.9%14.9%52.7%6.8%52.3%2.3%-0.2%-49.0K-7.8M-59.9K1.9123.452174148,5788,598
2021-08-18$43.55$45.0049.3%14.1%45.7%2.8%50.1%3.0%1.2%-70.6K-8.7M-58.2K0.0432.70381168,6308,733
2021-08-19$42.89$45.0054.4%15.6%45.5%10.7%53.9%4.1%-0.7%-277.9K-6.4M-57.5K1.4529.151071558,6528,736
2021-08-20$42.85$45.0051.1%14.6%42.3%5.6%52.6%1.2%1.4%-1.2M-5.3M-56.7K2.6121.621764608,6568,835
2021-08-23$44.91$45.0050.6%14.5%46.3%4.8%50.5%4.9%1.3%-5.9K-10.7M-54.4K0.7029.893472425,0787,156
2021-08-24$46.59$45.0050.2%14.4%36.5%4.2%52.2%5.6%1.9%25.2K-12.7M-53.1K0.7037.921561095,1217,180
2021-08-25$47.30$45.0050.7%14.5%32.2%5.0%50.5%2.9%0.5%66.1K-14.2M-53.3K0.0837.54834665,3257,307
2021-08-26$47.57$45.0051.7%14.8%32.0%6.5%52.7%3.3%0.5%95.9K-14.5M-55.1K0.3633.59196715,4587,168
2021-08-27$48.39$45.0049.2%14.1%31.9%2.6%49.5%2.3%2.4%138.3K-15.1M-52.6K0.5230.18143745,3687,182
2021-08-30$47.07$45.0049.5%14.2%33.2%3.1%50.8%4.0%2.5%118.0K-13.7M-51.3K0.8632.8066575,4837,234
2021-08-31$46.74$45.0049.5%14.2%33.3%3.0%49.3%4.7%1.1%124.3K-13.3M-50.7K0.3836.792185,5547,266