CALX Options History — July 2022

In July 2022, CALX traded between $34.92 and $57.23. ATM implied volatility averaged 67.6%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 5.7% (HV 20d: 61.9%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.04.

Notable Days

  • 2022-07-27: Highest Volume — 6,930 contracts
  • 2022-07-26: Largest IV drop — 20.1% change
  • 2022-07-25: Highest IV Rank — 70.3%
  • 2022-07-25: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.14$34.92$57.23$34.92$57.23
Max Pain$40.25$40.00$45.00$45.00$40.00
ATM IV67.6%56.1%79.3%60.8%56.1%
Expected Move19.7%16.1%22.7%17.4%16.1%
HV 20d61.9%49.3%74.7%56.7%72.1%
HV 60d65.7%61.3%71.3%65.5%71.2%
IV Rank44.7%19.5%70.3%29.8%19.5%
IV Percentile68.8%24.6%96.4%46.8%24.6%
Term Structure-3.7%-9.6%9.0%9.0%0.1%
VWIV70.9%52.1%84.1%63.0%52.1%
Skew 25d10.0%6.5%13.7%12.0%7.9%
Skew 10d20.9%12.6%28.6%24.3%17.4%
Call IV 25d64.2%51.1%75.7%57.9%51.1%
Put IV 25d74.2%59.0%87.2%69.9%59.0%
Bid-Ask Spread %40.7821.4185.3685.3628.43
Gamma HHI0.360.210.600.320.46
Net GEX125.7K-41.3K469.2K-36.1K469.2K
Net DEX-7.0M-37.2M3.2M3.2M-37.2M
Net VEX-31.7K-54.5K-17.5K-17.5K-49.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.111.931.010.46
Total Volume1,671.455896,9305891,252
Total OI6,6023,49712,7313,93912,731

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-07-01$34.92$45.0060.8%17.4%56.7%29.8%63.0%12.0%9.0%-36.1K3.2M-17.5K1.0185.362932962,0151,924
2022-07-05$35.02$40.0072.4%20.7%55.2%55.2%71.8%13.7%-3.8%-36.6K3.0M-17.5K1.1838.633283872,0261,933
2022-07-06$35.34$40.0068.8%21.0%55.3%47.4%73.4%7.4%-6.3%-41.3K3.0M-18.6K1.3148.143214212,0712,016
2022-07-07$39.04$40.0057.6%20.1%65.7%22.7%73.4%13.4%-4.8%-29.5K2.2M-20.6K1.5556.802954582,0812,058
2022-07-08$40.35$40.0059.9%19.2%66.7%27.8%67.1%9.3%-3.4%-22.6K1.5M-21.8K0.4340.747493202,1022,033
2022-07-11$40.23$40.0069.1%20.0%64.4%47.9%73.0%10.0%-6.3%16.1K384.5K-24.3K1.0242.113193242,5642,044
2022-07-12$38.90$40.0072.8%19.8%64.4%56.0%69.6%10.9%-5.0%9.4K1.2M-22.6K1.0338.253463582,5952,048
2022-07-13$39.44$40.0070.9%20.3%59.4%51.9%76.3%11.1%-6.3%22.7K908.4K-22.9K1.5738.742914572,6252,075
2022-07-14$38.44$40.0071.9%20.6%60.6%54.0%74.5%10.6%-5.0%16.2K1.5M-22.2K1.4743.793124582,6212,185
2022-07-15$39.67$40.0070.7%20.3%60.6%51.4%74.0%9.3%0.3%95.9K822.9K-23.4K1.5052.113425132,7352,184
2022-07-18$39.18$40.0069.6%20.0%49.3%49.1%72.3%8.3%-3.5%23.3K263.0K-22.9K0.8433.673643051,9311,566
2022-07-19$42.23$40.0072.2%20.7%53.8%54.8%71.6%10.4%-5.2%28.6K-811.7K-25.4K0.1426.921,8792552,0461,618
2022-07-20$44.66$40.0068.3%19.6%55.5%46.2%72.5%12.8%-4.1%125.1K-5.9M-32.7K1.5931.171,5762,5053,4041,620
2022-07-21$46.66$40.0073.5%21.1%56.3%57.7%76.0%7.2%-7.4%143.4K-8.6M-46.0K0.3535.043,3261,1734,7123,705
2022-07-22$45.18$40.0075.8%21.7%58.6%62.8%79.1%6.5%-6.4%301.0K-11.6M-54.5K1.5432.737421,1466,7103,707
2022-07-25$44.29$40.0079.3%22.7%59.6%70.3%84.1%11.5%-9.6%304.7K-10.0M-52.1K1.9321.413837416,7013,708
2022-07-26$50.75$40.0063.3%18.1%74.4%35.2%71.6%8.6%-1.7%377.1K-20.9M-50.7K1.1334.768609706,8384,011
2022-07-27$54.92$40.0060.4%17.3%74.7%28.9%66.9%10.6%-2.8%336.1K-30.8M-42.8K0.1139.726,2496817,4303,801
2022-07-28$56.41$40.0058.5%16.8%73.9%24.7%55.8%8.4%-1.3%412.3K-32.6M-46.2K0.6447.158735617,7684,098
2022-07-29$57.23$40.0056.1%16.1%72.1%19.5%52.1%7.9%0.1%469.2K-37.2M-49.9K0.4628.438583948,6334,098