CALX Options History — November 2022

In November 2022, CALX traded between $63.72 and $73.60. ATM implied volatility averaged 54.5%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 13.0% (HV 20d: 67.5%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2022-11-21: Highest Volume — 2,294 contracts
  • 2022-11-07: Largest IV spike — 12.0% change
  • 2022-11-07: Highest IV Rank — 25.8%
  • 2022-11-07: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.00$63.72$73.60$73.60$70.44
Max Pain$65.24$60.00$70.00$60.00$65.00
ATM IV54.5%49.2%60.1%55.0%51.6%
Expected Move15.5%14.1%16.2%15.8%14.8%
HV 20d67.5%50.3%77.1%72.1%57.6%
HV 60d57.1%56.0%59.3%56.9%57.8%
IV Rank13.1%0.9%25.8%14.2%6.4%
IV Percentile13.5%0.8%38.5%13.5%3.2%
Term Structure-0.7%-3.3%3.6%-1.9%-0.7%
VWIV53.6%44.7%58.1%55.1%50.6%
Skew 25d6.3%4.3%9.1%5.5%8.0%
Skew 10d11.3%1.2%19.7%9.8%19.7%
Call IV 25d51.2%46.8%54.0%51.8%48.5%
Put IV 25d57.6%54.5%60.7%57.3%56.5%
Bid-Ask Spread %60.1837.8183.6642.4173.67
Gamma HHI0.330.220.830.260.32
Net GEX564.4K144.8K1.3M536.3K514.4K
Net DEX-14.2M-25.2M-5.4M-25.2M-10.1M
Net VEX-30.7K-37.1K-23.7K-34.6K-31.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.000.890.860.08
Total Volume971.333432,2941,221209
Total OI9,390.6193,34911,95511,1065,477

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$73.60$60.0055.0%15.8%72.1%14.2%55.1%5.5%-1.9%536.3K-25.2M-34.6K0.8642.416575645,3795,727
2022-11-02$70.24$60.0056.4%16.2%74.3%17.2%58.1%7.3%-3.3%543.6K-20.6M-36.2K0.7362.326574785,4415,761
2022-11-03$71.49$70.0055.6%15.5%73.8%15.4%54.1%6.4%0.2%541.8K-21.9M-37.1K0.8244.465084185,4745,808
2022-11-04$68.41$70.0053.7%15.4%73.8%11.2%53.6%5.8%-0.9%550.9K-17.6M-36.6K0.7844.985574355,5785,799
2022-11-07$66.93$70.0060.1%16.2%73.2%25.8%55.2%5.8%-1.7%548.1K-15.4M-34.2K0.8937.815324745,5985,829
2022-11-08$67.44$65.0060.0%16.0%72.9%25.6%54.0%6.8%-1.0%567.9K-16.4M-34.0K0.5043.281,0845425,6555,882
2022-11-09$63.72$65.0055.8%16.0%74.9%15.9%56.2%6.7%-1.5%479.2K-9.9M-33.8K0.3655.821,1784285,6045,990
2022-11-10$66.86$65.0055.0%15.8%76.4%14.2%54.9%5.2%-1.9%633.7K-16.2M-32.6K0.5558.346743695,6715,973
2022-11-11$67.05$65.0054.4%15.6%72.0%12.8%53.6%4.8%-1.1%670.7K-16.1M-32.0K0.3856.956962635,7476,037
2022-11-14$67.08$65.0054.9%15.7%71.4%13.8%56.2%4.9%-0.2%679.3K-16.5M-29.0K0.4055.046812695,7276,039
2022-11-15$67.46$65.0055.2%15.8%71.1%14.6%54.5%5.6%-1.5%715.3K-17.4M-27.8K0.4159.516362605,7906,056
2022-11-16$66.58$65.0054.6%15.6%70.7%13.2%55.7%5.5%-0.6%781.1K-16.0M-26.4K0.4742.235412565,8926,063
2022-11-17$65.41$65.0053.5%15.3%71.2%10.7%55.1%5.3%-0.3%889.1K-13.9M-24.2K0.4861.935422605,9076,039
2022-11-18$70.26$65.0052.5%15.1%74.8%8.5%54.1%6.2%-0.1%1.3M-24.4M-23.7K0.4061.779953985,8806,040
2022-11-21$66.84$65.0055.5%15.9%77.1%15.2%50.5%5.2%-0.1%144.8K-5.4M-24.0K0.2283.661,8834112,423926
2022-11-22$67.49$65.0052.6%15.1%52.1%8.7%44.7%7.5%0.2%314.4K-6.6M-30.2K0.1378.841,3901813,9551,035
2022-11-23$68.29$65.0049.2%14.1%50.3%0.9%52.7%9.1%3.6%363.1K-8.3M-32.0K0.3874.824841843,990995
2022-11-25$69.65$65.0049.9%14.3%50.8%2.6%49.1%8.6%2.2%443.5K-9.0M-31.8K0.0080.304304,2111,095
2022-11-28$66.06$65.0053.7%15.4%53.9%11.2%52.5%4.3%-1.3%294.6K-5.8M-26.3K0.2575.75116294,2391,095
2022-11-29$66.69$65.0056.2%16.1%53.6%16.8%54.6%8.3%-2.6%312.1K-6.2M-26.4K0.0769.8710884,2641,112
2022-11-30$70.44$65.0051.6%14.8%57.6%6.4%50.6%8.0%-0.7%514.4K-10.1M-31.2K0.0873.67194154,3601,117