CALX Options History — January 2022

In January 2022, CALX traded between $40.79 and $76.90. ATM implied volatility averaged 68.6%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded below realized volatility by 11.0% (HV 20d: 79.6%). Max pain ranged from $40.00 to $75.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 3.21.

Notable Days

  • 2022-01-06: Highest Volume — 5,040 contracts
  • 2022-01-12: Largest IV spike — 18.0% change
  • 2022-01-26: Highest IV Rank — 73.4%
  • 2022-01-26: Largest Expected Move — 25.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.22$40.79$76.90$76.90$49.58
Max Pain$59.75$40.00$75.00$40.00$55.00
ATM IV68.6%54.6%88.5%57.3%66.9%
Expected Move20.2%15.7%25.4%16.4%19.2%
HV 20d79.6%51.6%87.3%75.1%80.8%
HV 60d65.1%58.3%70.4%58.3%70.4%
IV Rank40.2%13.0%73.4%17.9%47.5%
IV Percentile74.1%34.1%99.6%43.3%79.4%
Term Structure-5.8%-13.7%12.2%8.3%-2.3%
VWIV71.3%55.7%89.9%60.0%67.8%
Skew 25d4.1%0.1%12.2%3.9%6.3%
Skew 10d9.7%2.6%20.6%13.0%18.1%
Call IV 25d69.7%54.7%87.3%58.2%66.5%
Put IV 25d73.9%57.4%91.7%62.1%72.8%
Bid-Ask Spread %44.3619.8276.0159.8869.91
Gamma HHI0.300.140.580.150.37
Net GEX996-226.7K353.1K353.1K-49.4K
Net DEX-5.4M-38.4M12.4M-38.4M1.5M
Net VEX-52.9K-65.7K-39.9K-65.7K-52.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.210.655.872.610.74
Total Volume3,176.159245,0404,2821,221
Total OI11,932.66,20215,20313,4157,371

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-01-03$76.90$40.0057.3%16.4%75.1%17.9%60.0%3.9%8.3%353.1K-38.4M-65.7K2.6159.881,1853,0978,6034,812
2022-01-04$73.99$45.0054.6%15.7%76.9%13.0%55.7%2.7%12.2%311.7K-30.2M-62.2K3.8649.568813,3988,0844,932
2022-01-05$70.33$45.0055.8%16.0%76.0%15.1%55.9%2.1%10.1%270.5K-25.0M-63.0K4.6060.986282,8908,1885,079
2022-01-06$66.47$75.0055.0%18.6%78.5%13.8%75.5%4.8%-5.7%215.6K-19.5M-58.6K5.8727.017344,3068,1465,026
2022-01-07$59.94$75.0054.9%19.0%86.0%13.7%66.1%3.8%-7.0%76.1K-11.2M-56.4K3.7726.227702,9008,1125,834
2022-01-10$57.13$70.0061.4%19.9%87.2%25.0%69.9%4.3%-6.8%40.4K-8.5M-53.9K3.9025.128653,3758,1935,900
2022-01-11$57.23$70.0057.4%19.3%87.3%18.0%66.8%3.7%-7.8%25.3K-8.2M-56.9K2.7038.411,1092,9988,3196,331
2022-01-12$56.52$70.0067.7%19.4%86.4%36.4%68.0%2.7%-7.5%16.4K-7.5M-57.0K2.4535.871,2603,0918,0516,338
2022-01-13$54.86$60.0067.3%19.3%85.0%35.6%68.4%2.5%-7.6%-5.5K-6.0M-57.7K2.6424.491,1242,9658,6016,492
2022-01-14$54.94$60.0069.0%19.8%79.2%38.6%70.1%4.5%-9.6%-543-6.6M-56.9K4.3419.826892,9878,6246,391
2022-01-18$50.93$60.0072.2%20.7%82.4%44.4%74.1%3.4%-9.7%-108.3K-1.9M-53.4K5.5023.855913,2498,7496,454
2022-01-19$48.84$60.0071.3%20.4%83.1%42.7%72.5%3.3%-8.0%-217.1K3.9M-50.5K5.4135.995863,1688,0096,505
2022-01-20$46.58$60.0074.6%21.4%80.9%48.6%75.1%2.6%-8.7%-226.7K5.0M-47.8K5.3939.046153,3178,0836,322
2022-01-21$43.73$60.0077.0%22.1%81.8%52.9%79.1%2.7%-7.6%-121.8K12.4M-45.3K5.6254.395873,2998,1476,406
2022-01-24$44.83$60.0086.5%24.8%82.6%69.7%84.9%8.3%-12.8%-116.5K6.2M-45.9K1.0657.574484762,5333,669
2022-01-25$43.16$60.0087.3%25.0%78.4%71.2%89.9%8.0%-13.1%-112.5K6.5M-44.2K1.2753.334395562,6223,673
2022-01-26$41.68$60.0088.5%25.4%78.3%73.4%87.3%0.1%-13.7%-111.7K6.9M-42.9K0.6551.837584892,6663,788
2022-01-27$40.79$55.0073.8%21.1%51.6%64.2%73.9%1.0%-10.1%-113.3K7.6M-39.9K1.0276.015775872,9533,817
2022-01-28$45.98$55.0072.8%20.9%74.1%61.9%65.8%12.2%-8.1%-105.9K4.7M-48.0K0.7257.827605483,0553,774
2022-01-31$49.58$55.0066.9%19.2%80.8%47.5%67.8%6.3%-2.3%-49.4K1.5M-52.8K0.7469.917005213,5943,777