CALX Options History — June 2023

In June 2023, CALX traded between $46.84 and $53.24. ATM implied volatility averaged 42.1%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 1.7% (HV 20d: 40.3%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2023-06-02: Highest Volume — 4,285 contracts
  • 2023-06-23: Largest IV spike — 22.9% change
  • 2023-06-06: Highest IV Rank — 31.0%
  • 2023-06-02: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.22$46.84$53.24$46.84$50.19
Max Pain$47.86$45.00$50.00$45.00$50.00
ATM IV42.1%36.2%48.3%43.3%43.2%
Expected Move11.6%10.4%13.8%12.4%12.4%
HV 20d40.3%23.8%42.2%23.8%41.8%
HV 60d38.5%36.6%41.1%36.6%37.2%
IV Rank19.3%8.3%31.0%21.6%21.4%
IV Percentile9.5%0.4%23.4%9.5%13.5%
Term Structure5.6%-6.0%11.2%-2.1%5.1%
VWIV40.3%34.7%48.2%42.0%43.2%
Skew 25d3.6%-4.2%14.2%2.5%0.1%
Skew 10d7.8%-4.2%30.5%4.9%-2.7%
Call IV 25d39.0%27.1%46.9%41.1%42.9%
Put IV 25d42.5%35.2%49.0%43.6%43.0%
Bid-Ask Spread %78.8336.6391.8991.8982.90
Gamma HHI0.570.290.860.810.69
Net GEX784.1K43.5K1.9M358.9K590.8K
Net DEX-11.2M-27.6M-389.6K-2.6M-8.3M
Net VEX-14.7K-26.7K-7.4K-13.2K-21.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.001.050.850.28
Total Volume678.714334,285126209
Total OI5,100.3331,5888,3053,6534,706

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-06-01$46.84$45.0043.3%12.4%23.8%21.6%42.0%2.5%-2.1%358.9K-2.6M-13.2K0.8591.8968582,978675
2023-06-02$51.08$45.0048.2%13.8%37.6%30.9%48.2%2.1%-6.0%459.3K-8.2M-15.3K0.0479.474,1391463,018675
2023-06-05$49.14$45.0047.1%11.7%41.0%28.9%41.2%3.5%4.7%1.4M-13.5M-26.7K0.0876.68366317,254652
2023-06-06$50.10$45.0048.3%11.5%41.1%31.0%40.8%3.0%4.6%1.4M-16.0M-26.1K0.0375.973217,024670
2023-06-07$50.49$45.0046.1%11.4%41.1%27.0%39.1%1.4%5.5%1.6M-17.5M-24.9K0.0378.011,331377,034670
2023-06-08$51.42$45.0043.6%11.3%41.2%22.2%39.5%2.7%5.3%1.5M-18.7M-22.3K0.1174.65424466,775677
2023-06-09$51.55$45.0043.0%11.2%40.5%21.1%39.2%3.4%5.7%1.7M-19.7M-21.6K0.2774.9845127,177688
2023-06-12$53.24$45.0041.1%11.1%41.3%17.4%39.3%8.3%4.7%1.4M-27.6M-14.2K0.0146.5346357,193694
2023-06-13$52.56$45.0042.1%10.7%41.3%19.3%44.1%2.5%6.2%1.8M-23.4M-16.1K0.0836.6310087,533695
2023-06-14$51.92$50.0038.8%11.1%41.9%13.2%39.4%5.6%5.4%1.9M-21.5M-14.2K0.1281.967797,518702
2023-06-15$51.91$50.0041.2%11.8%41.6%17.6%41.3%3.8%6.7%1.3M-24.3M-9.8K0.0283.521,316227,607698
2023-06-16$50.85$50.0037.5%10.8%42.2%10.7%34.7%12.0%7.8%79.0K-20.3M-8.6K0.0980.651,2781136,713695
2023-06-20$50.39$50.0038.6%11.1%41.1%12.7%38.3%4.7%10.4%82.0K-1.4M-8.0K0.5584.0475411,177411
2023-06-21$49.52$50.0036.5%10.5%41.8%8.9%36.0%-2.4%11.1%70.3K-1.0M-7.8K1.0087.6418181,195452
2023-06-22$48.94$50.0036.2%10.4%41.2%8.3%36.5%3.0%11.1%63.2K-811.8K-7.6K0.4584.3162281,199453
2023-06-23$48.27$50.0044.5%12.8%41.3%24.0%40.1%14.2%1.2%57.4K-787.1K-7.9K1.0590.6486901,207487
2023-06-26$48.06$50.0039.8%11.4%41.3%15.0%39.8%-0.7%8.9%43.5K-389.6K-7.4K0.0985.953231,213538
2023-06-27$48.91$50.0036.4%10.5%41.2%8.7%35.9%9.5%11.2%51.6K-584.1K-7.5K0.0287.156411,241538
2023-06-28$48.87$50.0043.5%12.5%41.2%22.0%43.1%-4.2%6.5%57.4K-766.2K-7.7K0.0089.142,97851,244538
2023-06-29$50.27$50.0044.3%12.7%41.8%23.5%44.3%0.3%4.4%551.2K-8.5M-21.1K0.2282.63341753,950543
2023-06-30$50.19$50.0043.2%12.4%41.8%21.4%43.2%0.1%5.1%590.8K-8.3M-21.6K0.2882.90163464,108598