CALX Options History — September 2022

In September 2022, CALX traded between $55.64 and $62.69. ATM implied volatility averaged 57.2%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 9.9% (HV 20d: 47.4%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2022-09-30: Highest Volume — 1,413 contracts
  • 2022-09-14: Largest IV drop — 22.4% change
  • 2022-09-13: Highest IV Rank — 45.6%
  • 2022-09-26: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.37$55.64$62.69$57.11$62.09
Max Pain$52.86$50.00$55.00$55.00$55.00
ATM IV57.2%48.8%68.0%57.4%61.7%
Expected Move16.2%15.1%17.8%16.5%17.7%
HV 20d47.4%34.3%55.7%55.1%42.2%
HV 60d59.4%56.8%63.8%63.8%56.8%
IV Rank21.9%3.3%45.6%22.3%31.6%
IV Percentile27.2%1.2%70.2%29.0%47.6%
Term Structure4.2%0.2%6.8%1.0%4.3%
VWIV56.5%49.6%62.8%55.9%60.2%
Skew 25d8.1%6.1%9.6%7.6%9.4%
Skew 10d17.5%12.9%20.8%17.5%15.9%
Call IV 25d52.7%50.2%56.7%52.6%55.2%
Put IV 25d60.9%56.9%65.8%60.2%64.7%
Bid-Ask Spread %52.3733.6566.1133.6542.67
Gamma HHI0.430.290.680.390.34
Net GEX273.3K39.1K545.8K317.6K182.2K
Net DEX-7.6M-11.4M-4.0M-8.3M-8.4M
Net VEX-29.3K-33.5K-23.8K-33.5K-30.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.028.391.120.21
Total Volume421.286171,4131631,413
Total OI5,080.7623,9825,6525,3085,144

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$57.11$55.0057.4%16.5%55.1%22.3%55.9%7.6%1.0%317.6K-8.3M-33.5K1.1233.6577863,5341,774
2022-09-02$56.65$55.0058.0%16.6%55.1%23.6%56.1%8.2%0.2%312.7K-7.7M-33.0K0.7533.7128213,5091,823
2022-09-06$55.64$50.0060.5%16.7%54.9%29.1%60.9%8.4%3.9%339.5K-6.4M-31.0K1.0756.142482663,5071,823
2022-09-07$56.76$50.0058.9%16.6%55.4%25.5%62.8%7.8%4.6%386.4K-8.1M-30.9K1.9052.941933663,5721,826
2022-09-08$57.17$50.0055.9%16.0%54.5%19.0%55.1%7.5%3.1%417.4K-8.6M-29.6K1.1359.55893,5801,856
2022-09-09$58.21$50.0048.8%15.2%52.7%3.3%56.2%6.1%3.8%437.1K-10.1M-28.7K0.5455.4563343,5801,861
2022-09-12$59.10$50.0056.8%15.1%52.9%20.9%53.9%6.7%4.7%424.7K-11.4M-26.4K0.0266.1124153,5971,862
2022-09-13$56.66$50.0068.0%16.0%55.1%45.6%54.7%8.0%4.5%491.6K-8.2M-26.6K0.9349.504674343,6021,854
2022-09-14$57.92$50.0052.8%15.1%55.7%12.2%49.6%9.4%3.3%467.5K-9.9M-25.5K2.4856.4321523,5982,003
2022-09-15$56.56$50.0056.9%16.3%51.1%21.3%56.9%6.9%2.4%545.8K-8.5M-24.4K0.9266.001361253,5972,055
2022-09-16$57.88$50.0054.8%15.7%43.4%16.5%57.6%9.3%4.6%39.1K-10.9M-23.8K1.0259.472932983,6312,015
2022-09-19$57.76$55.0054.0%15.5%43.4%14.9%53.4%8.7%4.9%119.7K-4.6M-28.2K0.1958.22213412,3951,587
2022-09-20$59.26$55.0054.4%15.6%43.2%15.6%54.2%7.8%4.9%154.6K-5.9M-29.3K0.1456.63113162,5681,617
2022-09-21$59.92$55.0053.6%15.4%43.3%13.9%52.5%7.0%5.4%173.9K-6.7M-29.5K0.2555.46259662,6431,624
2022-09-22$59.55$55.0054.7%15.7%42.8%16.3%54.0%7.9%6.1%181.0K-6.3M-30.2K1.1655.9177892,8081,663
2022-09-23$57.49$55.0059.5%17.0%38.1%26.8%59.0%9.6%4.6%160.7K-4.9M-29.7K8.3952.43514282,8181,731
2022-09-26$57.41$55.0062.2%17.8%34.3%32.9%61.9%9.1%3.4%110.3K-4.0M-31.6K0.8644.793022612,8432,119
2022-09-27$60.04$55.0059.5%17.1%37.7%26.8%56.4%9.6%4.5%141.6K-6.2M-31.0K0.6553.733762452,8452,116
2022-09-28$62.69$55.0055.2%15.8%40.2%17.3%56.3%8.2%6.4%174.7K-8.7M-29.9K0.6143.554472712,8832,117
2022-09-29$60.00$55.0058.3%16.7%43.3%24.3%59.0%7.6%6.8%162.2K-6.6M-31.1K0.6847.344212872,9992,117
2022-09-30$62.09$55.0061.7%17.7%42.2%31.6%60.2%9.4%4.3%182.2K-8.4M-30.7K0.2142.671,1662472,9982,146