CALX Options History — November 2021

In November 2021, CALX traded between $65.95 and $76.18. ATM implied volatility averaged 58.6%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded above realized volatility by 7.5% (HV 20d: 51.2%). Max pain ranged from $50.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2021-11-08: Highest Volume — 4,169 contracts
  • 2021-11-26: Largest IV spike — 16.4% change
  • 2021-11-26: Highest IV Rank — 35.6%
  • 2021-11-26: Largest Expected Move — 19.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.40$65.95$76.18$65.95$67.14
Max Pain$63.33$50.00$70.00$50.00$65.00
ATM IV58.6%51.4%67.3%51.4%67.2%
Expected Move16.7%14.8%19.3%14.8%19.3%
HV 20d51.2%44.7%57.9%46.6%44.7%
HV 60d46.8%44.8%48.2%44.8%47.7%
IV Rank20.2%7.4%35.6%7.4%35.5%
IV Percentile48.2%20.2%79.8%20.2%79.4%
Term Structure-1.0%-4.4%1.3%-0.0%-4.4%
VWIV61.1%52.4%70.8%52.4%69.6%
Skew 25d0.3%-2.3%3.5%3.5%3.5%
Skew 10d1.9%-3.2%8.3%7.0%2.8%
Call IV 25d60.7%50.8%71.3%50.8%67.1%
Put IV 25d61.0%54.2%70.5%54.2%70.5%
Bid-Ask Spread %35.3416.7864.2257.6441.05
Gamma HHI0.210.160.310.250.16
Net GEX406.4K236.2K651.7K359.4K258.4K
Net DEX-42.1M-55.1M-27.8M-35.0M-27.8M
Net VEX-67.8K-82.1K-47.4K-47.6K-70.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.255.460.595.46
Total Volume1,908.7621,0724,1691,6822,996
Total OI14,211.76211,65817,39611,95412,264

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$65.95$50.0051.4%14.8%46.6%7.4%52.4%3.5%-0.0%359.4K-35.0M-47.6K0.5957.641,0586246,8735,081
2021-11-02$69.41$50.0055.4%15.9%48.2%14.4%57.0%0.3%-2.7%340.0K-39.9M-47.4K0.5464.221,4577847,1425,178
2021-11-03$72.44$50.0056.6%16.2%49.2%16.7%58.0%-0.6%-4.0%349.4K-43.9M-48.4K0.6162.601,1657117,5115,428
2021-11-04$70.94$60.0054.6%15.0%50.6%13.0%52.9%1.6%-0.2%300.4K-41.6M-50.3K1.3027.326358267,3765,553
2021-11-05$71.07$65.0055.8%15.3%50.5%15.2%54.2%0.2%-0.7%301.9K-41.0M-59.1K1.4929.004857227,4885,935
2021-11-08$73.22$65.0057.5%15.9%50.6%18.2%56.9%1.6%0.7%276.6K-44.4M-54.8K0.2535.383,3398307,5305,979
2021-11-09$76.18$65.0061.2%16.5%51.5%24.7%59.9%0.2%0.2%441.3K-53.1M-59.1K0.4626.381,8708608,5156,190
2021-11-10$73.10$70.0057.6%16.5%55.2%18.4%60.8%-0.9%1.0%598.4K-49.0M-82.1K0.6728.761,2018049,4706,335
2021-11-11$73.55$65.0058.9%16.9%55.1%20.7%62.5%-2.3%-1.1%635.2K-51.7M-82.0K1.0236.267387519,8136,451
2021-11-12$74.98$65.0057.3%16.4%53.5%17.8%63.2%-0.3%1.3%651.7K-55.1M-81.8K1.2528.707629519,9286,496
2021-11-15$71.35$65.0059.6%17.1%57.9%21.9%62.2%-0.6%-0.7%619.7K-46.7M-80.2K0.8921.931,1321,0029,9396,742
2021-11-16$72.83$65.0058.8%16.9%57.8%20.5%62.2%0.8%-0.9%629.3K-49.9M-78.5K1.7923.257301,30710,0427,026
2021-11-17$73.63$65.0058.6%16.8%55.6%20.1%62.7%-0.0%-0.2%640.7K-52.8M-76.8K1.6634.957891,30910,0277,369
2021-11-18$72.60$65.0058.2%16.7%56.5%19.5%63.2%-1.8%-0.7%636.1K-50.4M-75.5K1.6430.817731,2719,9607,394
2021-11-19$71.51$65.0057.6%16.5%52.1%18.4%63.0%-1.1%0.1%236.6K-49.7M-73.2K1.6529.257631,2589,8947,401
2021-11-22$71.98$65.0057.6%16.5%51.7%18.4%61.1%-0.1%0.1%244.9K-31.3M-70.2K1.2516.787829756,3375,321
2021-11-23$70.68$70.0058.6%16.8%46.3%20.1%61.7%0.9%-0.7%258.1K-31.1M-71.9K1.0922.885656166,6155,399
2021-11-24$69.91$70.0057.8%16.6%46.5%18.8%61.0%0.9%-0.8%257.6K-30.7M-72.2K1.5531.364246586,6975,435
2021-11-26$67.96$65.0067.3%19.3%48.2%35.6%70.8%-0.9%-3.5%236.2K-28.8M-72.4K1.3549.844646256,7095,408
2021-11-29$68.96$65.0063.9%18.3%46.5%29.6%68.1%1.2%-3.6%261.5K-30.3M-69.2K1.6043.714126606,7665,430
2021-11-30$67.14$65.0067.2%19.3%44.7%35.5%69.6%3.5%-4.4%258.4K-27.8M-70.4K5.4641.054642,5326,8205,444