CALX Options History — September 2021

In September 2021, CALX traded between $45.31 and $52.93. ATM implied volatility averaged 53.0%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 14.1% (HV 20d: 38.9%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2021-09-08: Highest Volume — 1,668 contracts
  • 2021-09-20: Largest IV spike — 19.5% change
  • 2021-09-28: Highest IV Rank — 21.7%
  • 2021-09-28: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.95$45.31$52.93$45.35$49.37
Max Pain$44.62$44.00$45.00$45.00$45.00
ATM IV53.0%47.6%59.7%49.8%57.0%
Expected Move15.2%14.2%17.1%14.3%16.3%
HV 20d38.9%33.0%52.5%34.3%51.7%
HV 60d45.8%43.2%49.6%45.9%48.1%
IV Rank9.7%0.1%21.7%3.6%16.9%
IV Percentile21.1%0.4%45.2%5.6%36.1%
Term Structure4.5%-0.0%7.9%-0.0%6.3%
VWIV53.6%49.1%60.1%51.6%58.6%
Skew 25d3.8%1.4%6.3%2.2%3.8%
Skew 10d11.2%5.4%27.8%5.8%7.5%
Call IV 25d52.1%47.7%59.8%49.7%57.2%
Put IV 25d55.8%51.9%62.4%51.9%61.0%
Bid-Ask Spread %45.3128.4467.7429.0634.36
Gamma HHI0.160.090.470.090.17
Net GEX200.3K67.3K617.2K67.3K220.8K
Net DEX-14.4M-19.1M-11.2M-11.2M-16.0M
Net VEX-44.8K-54.1K-39.2K-54.1K-43.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.071.031.030.32
Total Volume406.238251,66879162
Total OI12,312.61910,02613,41012,89411,936

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$45.35$45.0049.8%14.3%34.3%3.6%51.6%2.2%-0.0%67.3K-11.2M-54.1K1.0329.0639405,5887,306
2021-09-02$46.43$44.0048.9%14.4%35.2%2.1%51.7%4.2%4.6%122.2K-12.9M-50.1K0.6338.49101645,5877,307
2021-09-03$46.41$44.0047.6%14.2%34.1%0.1%49.1%3.8%4.1%117.8K-12.9M-49.4K0.3935.831875,5957,335
2021-09-07$45.39$44.0053.8%14.6%34.7%9.7%50.9%2.9%4.2%90.2K-11.4M-47.3K0.2628.44127335,5627,376
2021-09-08$45.31$44.0050.7%14.5%33.0%5.0%52.6%4.2%3.6%99.4K-11.2M-45.6K0.0731.971,5561125,5777,379
2021-09-09$46.62$44.0050.7%14.5%34.5%5.6%50.8%3.9%4.2%157.4K-13.4M-45.7K0.1236.75330385,6057,395
2021-09-10$45.51$44.0050.3%14.4%35.7%5.0%51.3%3.3%5.0%99.0K-11.3M-45.0K0.2531.68107275,5597,480
2021-09-13$46.42$44.0052.8%15.1%36.3%9.4%52.0%5.4%1.8%160.6K-12.7M-44.1K0.3230.36222725,7137,480
2021-09-14$46.09$44.0052.1%14.9%35.5%8.1%53.9%4.8%2.8%143.9K-12.1M-43.8K0.6951.3861425,7307,500
2021-09-15$47.83$45.0050.8%14.6%36.2%5.9%54.5%6.3%3.5%299.7K-15.2M-42.3K0.9841.5742415,8287,544
2021-09-16$48.47$45.0051.0%14.6%36.3%6.2%50.6%5.9%4.2%360.8K-16.4M-40.2K0.4838.09100485,8567,552
2021-09-17$48.16$45.0049.9%14.3%35.8%4.2%51.3%1.4%4.5%617.2K-16.4M-39.2K0.3549.721,2064195,8587,552
2021-09-20$47.09$45.0059.6%17.1%37.1%21.5%60.1%2.5%3.5%126.9K-12.8M-40.7K0.3650.26271984,6385,388
2021-09-21$47.63$45.0057.4%16.5%33.7%17.6%56.4%3.9%3.8%169.3K-13.7M-43.5K0.4652.07166775,1635,629
2021-09-22$51.40$45.0053.5%15.3%41.1%10.7%53.6%3.6%6.3%220.9K-17.7M-42.3K0.2060.857941605,2015,711
2021-09-23$52.93$45.0051.1%14.7%41.8%6.4%52.3%2.8%7.7%227.8K-19.1M-42.1K0.1166.799261015,1865,776
2021-09-24$52.31$45.0053.8%15.4%42.3%11.3%52.8%2.7%7.9%260.7K-18.9M-45.8K0.5157.24172885,6145,785
2021-09-27$52.19$45.0054.7%15.7%42.1%12.8%54.4%4.2%6.9%274.0K-18.9M-43.9K0.2867.74108305,8695,793
2021-09-28$47.75$45.0059.7%17.1%52.5%21.7%59.2%3.1%5.0%181.8K-13.7M-45.8K0.4063.48229925,9345,862
2021-09-29$48.22$45.0058.1%16.6%52.5%18.8%57.0%4.3%4.0%189.4K-14.2M-45.4K0.3355.43154515,9325,884
2021-09-30$49.37$45.0057.0%16.3%51.7%16.9%58.6%3.8%6.3%220.8K-16.0M-43.4K0.3234.36123396,0125,924