CALX Options History — December 2022

In December 2022, CALX traded between $66.31 and $74.78. ATM implied volatility averaged 52.6%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 5.4% (HV 20d: 47.2%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2022-12-19: Highest Volume — 606 contracts
  • 2022-12-14: Largest IV drop — 21.5% change
  • 2022-12-13: Highest IV Rank — 32.9%
  • 2022-12-27: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.12$66.31$74.78$70.17$67.70
Max Pain$65.00$65.00$65.00$65.00$65.00
ATM IV52.6%46.7%63.3%48.9%46.7%
Expected Move14.5%13.4%15.5%14.0%13.4%
HV 20d47.2%35.4%55.7%55.2%35.5%
HV 60d57.6%56.3%58.6%57.8%56.6%
IV Rank9.8%0.0%32.9%0.3%0.0%
IV Percentile12.9%0.0%53.2%0.4%0.0%
Term Structure7.4%-1.6%12.8%2.2%11.7%
VWIV50.8%46.8%55.7%50.6%47.5%
Skew 25d6.4%4.3%9.2%4.3%5.1%
Skew 10d11.1%4.8%29.0%29.0%5.0%
Call IV 25d48.0%43.8%50.7%48.1%44.5%
Put IV 25d54.4%49.6%57.8%52.4%49.6%
Bid-Ask Spread %80.1970.9886.9372.5974.82
Gamma HHI0.390.200.830.320.38
Net GEX482.7K86.8K1.1M513.0K207.4K
Net DEX-7.4M-13.3M-2.9M-9.6M-3.7M
Net VEX-24.2K-32.1K-17.7K-29.4K-21.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.034.614.611.12
Total Volume195.5716160623070
Total OI4,931.3332,8086,1255,5564,002

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-12-01$70.17$65.0048.9%14.0%55.2%0.3%50.6%4.3%2.2%513.0K-9.6M-29.4K4.6172.59411894,4281,128
2022-12-02$72.06$65.0053.1%15.2%55.7%9.9%51.6%9.2%-1.6%611.4K-11.0M-32.1K0.1370.98109144,4341,299
2022-12-05$71.61$65.0056.4%15.1%53.2%17.3%51.5%6.9%6.6%595.6K-10.3M-29.2K0.1777.16132234,4461,301
2022-12-06$70.23$65.0059.0%15.3%53.1%23.2%54.2%6.9%4.8%496.0K-8.2M-27.5K0.1775.57211364,4461,323
2022-12-07$69.79$65.0060.1%15.0%53.1%25.8%54.2%7.0%7.2%469.9K-7.7M-27.3K1.6877.5434574,3901,357
2022-12-08$73.14$65.0053.8%14.5%50.7%11.4%51.0%7.0%7.4%725.8K-11.6M-28.2K0.4677.113811744,3901,320
2022-12-09$72.62$65.0054.8%14.6%48.5%13.7%51.8%6.5%7.2%728.7K-11.0M-29.2K0.0377.4911544,6051,472
2022-12-12$74.34$65.0056.2%14.9%49.0%16.9%55.7%6.2%6.8%970.0K-13.1M-26.8K1.3579.5526354,6021,475
2022-12-13$74.30$65.0063.3%14.5%49.0%32.9%51.8%8.3%6.5%968.3K-12.9M-25.6K0.2678.12128334,6041,492
2022-12-14$74.78$65.0049.7%14.2%49.0%2.1%53.8%6.0%6.5%1.1M-13.3M-24.3K0.6479.3542274,6141,494
2022-12-15$71.15$65.0051.0%14.6%52.4%5.2%49.9%5.0%7.0%412.5K-7.0M-20.0K0.8480.5662524,6151,510
2022-12-16$69.93$65.0050.0%14.3%52.4%2.9%49.9%5.8%7.6%975.1K-5.3M-19.5K0.3780.9262234,5561,535
2022-12-19$67.69$65.0050.0%14.3%47.2%2.7%48.4%6.8%8.2%86.8K-3.2M-17.7K0.0783.91566401,834974
2022-12-20$68.16$65.0049.5%14.2%43.7%1.6%51.0%5.8%9.4%167.7K-4.5M-20.9K1.3984.4538532,321963
2022-12-21$68.39$65.0047.6%13.7%43.6%0.0%48.7%6.6%9.8%176.7K-4.4M-20.4K0.7484.492331722,328987
2022-12-22$67.15$65.0051.8%14.8%43.9%9.2%51.6%5.5%9.6%171.2K-3.9M-21.9K0.5985.11102602,5441,138
2022-12-23$67.55$65.0049.7%14.2%43.3%4.6%48.7%5.6%8.8%173.2K-4.0M-22.9K0.7584.652151622,5571,183
2022-12-27$66.97$65.0053.9%15.5%38.9%13.9%47.2%7.1%8.5%171.6K-3.4M-21.6K0.0886.9310482,6521,262
2022-12-28$66.31$65.0052.8%15.2%39.0%11.6%50.0%6.5%9.0%168.2K-2.9M-21.0K0.1686.5289142,7371,267
2022-12-29$68.46$65.0047.0%13.5%35.4%0.0%46.8%6.0%12.8%217.6K-4.3M-21.7K0.2486.20138332,6991,274
2022-12-30$67.70$65.0046.7%13.4%35.5%0.0%47.5%5.1%11.7%207.4K-3.7M-21.1K1.1274.8233372,7331,269