CALX Options History — December 2021

In December 2021, CALX traded between $61.31 and $80.72. ATM implied volatility averaged 62.4%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 7.8% (HV 20d: 54.5%). Max pain ranged from $35.00 to $65.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 4.15.

Notable Days

  • 2021-12-29: Highest Volume — 9,587 contracts
  • 2021-12-15: Largest IV drop — 23.8% change
  • 2021-12-14: Highest IV Rank — 57.2%
  • 2021-12-03: Largest Expected Move — 20.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.14$61.31$80.72$65.81$80.72
Max Pain$39.14$35.00$65.00$65.00$36.00
ATM IV62.4%52.4%79.5%70.6%55.1%
Expected Move17.1%15.0%20.8%20.2%15.8%
HV 20d54.5%41.1%77.1%41.1%75.6%
HV 60d51.9%47.6%57.5%47.6%57.3%
IV Rank26.9%9.1%57.2%41.5%14.0%
IV Percentile59.8%25.0%95.2%86.5%36.9%
Term Structure4.1%-8.3%10.8%-8.3%9.2%
VWIV64.0%56.8%75.8%75.7%57.2%
Skew 25d5.8%2.9%9.3%3.5%5.2%
Skew 10d12.8%0.7%17.7%0.7%14.5%
Call IV 25d59.0%51.3%70.5%70.5%54.2%
Put IV 25d64.8%57.9%79.7%74.0%59.4%
Bid-Ask Spread %53.5140.8168.0352.7262.74
Gamma HHI0.190.140.280.160.15
Net GEX270.8K178.1K413.4K236.1K392.4K
Net DEX-29.0M-44.4M-20.6M-26.4M-44.4M
Net VEX-60.8K-68.3K-52.4K-68.1K-62.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.150.687.456.442.54
Total Volume3,708.9552,8669,5872,8884,371
Total OI10,754.4559,61012,91410,44012,914

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$65.81$65.0070.6%20.2%41.1%41.5%75.7%3.5%-8.3%236.1K-26.4M-68.1K6.4452.723882,5006,7823,658
2021-12-02$68.72$65.0066.2%19.0%41.2%33.7%68.3%5.9%-5.1%259.4K-29.5M-67.7K3.9350.416472,5416,7533,671
2021-12-03$65.18$65.0072.7%20.8%44.5%45.2%75.8%9.3%-5.9%198.9K-24.9M-65.3K3.0852.278242,5386,5133,717
2021-12-06$66.08$35.0074.4%17.9%44.9%48.3%70.7%5.3%2.3%261.8K-26.6M-68.3K5.8240.814202,4466,8823,733
2021-12-07$70.54$35.0063.4%17.1%49.9%28.6%64.0%5.8%2.3%297.3K-31.9M-66.2K5.2342.864742,4816,8173,741
2021-12-08$69.79$35.0065.8%17.1%47.5%33.0%67.9%4.6%2.1%272.1K-31.2M-62.6K6.6865.773812,5466,7773,749
2021-12-09$67.94$35.0065.2%16.9%46.3%31.9%65.7%7.4%3.0%269.7K-27.9M-67.0K6.6852.963792,5336,7803,680
2021-12-10$67.96$35.0058.4%16.1%46.2%19.7%63.3%4.5%5.0%273.5K-28.6M-60.6K6.6955.163902,6086,7563,683
2021-12-13$67.55$35.0067.0%16.5%45.4%35.0%58.7%4.8%4.5%269.2K-27.9M-59.1K2.5657.351,0312,6436,7403,754
2021-12-14$64.73$35.0079.5%16.7%44.5%57.2%61.5%5.6%3.8%252.2K-23.9M-62.3K4.4052.436582,8926,8323,778
2021-12-15$67.30$35.0060.6%17.4%46.3%23.7%67.9%7.3%-2.0%333.2K-28.5M-59.8K7.4557.093412,5407,0534,135
2021-12-16$61.31$35.0060.4%17.3%55.7%23.4%62.7%6.3%5.3%178.1K-20.6M-57.4K4.8152.415362,5797,0844,148
2021-12-17$62.43$35.0061.2%17.5%56.5%24.7%63.4%6.0%6.5%201.5K-21.7M-58.7K4.7642.525502,6197,0964,172
2021-12-20$61.42$35.0064.0%18.4%56.5%29.8%66.4%5.2%5.8%196.4K-21.7M-56.7K6.2344.864242,6436,2323,378
2021-12-21$64.51$35.0058.4%16.7%59.8%19.8%65.6%6.7%8.8%233.1K-24.7M-59.2K1.8950.601,3572,5716,2533,578
2021-12-22$65.28$35.0055.7%16.0%59.9%15.0%60.3%6.8%8.3%251.7K-25.8M-57.1K2.0445.071,2702,5916,9643,579
2021-12-23$65.97$35.0052.4%15.0%60.1%9.1%57.5%6.0%10.8%266.8K-26.5M-56.5K2.0568.031,2572,5786,9593,604
2021-12-27$69.47$35.0052.8%15.1%62.3%9.8%56.8%5.9%10.0%306.7K-30.8M-54.6K1.9667.651,3592,6666,9773,599
2021-12-28$68.88$35.0052.7%15.1%62.2%9.7%58.1%7.8%9.3%305.7K-29.9M-53.4K2.0564.341,3072,6856,9653,616
2021-12-29$78.67$35.0060.1%17.2%77.1%22.8%63.7%2.9%5.9%288.9K-41.3M-52.4K0.6844.025,7143,8736,9763,642
2021-12-30$78.88$35.0055.6%15.9%76.4%14.8%57.6%4.3%7.8%413.4K-42.9M-63.0K3.2055.271,0583,3888,4794,399
2021-12-31$80.72$36.0055.1%15.8%75.6%14.0%57.2%5.2%9.2%392.4K-44.4M-62.7K2.5462.741,2333,1388,3704,544