CALX Options History — August 2023

In August 2023, CALX traded between $40.06 and $46.84. ATM implied volatility averaged 38.7%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 6.1% (HV 20d: 32.6%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.03.

Notable Days

  • 2023-08-10: Highest Volume — 770 contracts
  • 2023-08-07: Largest IV spike — 8.9% change
  • 2023-08-09: Highest IV Rank — 17.4%
  • 2023-08-08: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.11$40.06$46.84$44.09$46.84
Max Pain$43.48$40.00$50.00$50.00$40.00
ATM IV38.7%34.5%41.1%36.4%36.1%
Expected Move11.2%9.9%12.2%10.4%10.4%
HV 20d32.6%27.3%42.7%31.9%42.7%
HV 60d34.9%33.2%37.6%33.6%34.1%
IV Rank13.0%5.0%17.4%8.7%8.2%
IV Percentile7.2%0.4%15.5%2.0%2.4%
Term Structure3.7%-1.8%6.3%-0.3%5.1%
VWIV39.1%35.1%42.7%36.7%35.7%
Skew 25d2.8%0.6%6.4%1.4%3.0%
Skew 10d5.4%-6.8%19.7%4.0%13.6%
Call IV 25d38.1%33.3%41.4%37.6%33.3%
Put IV 25d40.8%36.2%44.1%39.0%36.4%
Bid-Ask Spread %51.8818.1881.3158.1553.71
Gamma HHI0.240.170.450.210.21
Net GEX22.9K-49.6K113.3K-2.2K113.3K
Net DEX1.2M-2.7M3.3M2.3M-2.7M
Net VEX-15.6K-19.6K-11.7K-16.6K-19.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.024.750.150.80
Total Volume224.7398770134282
Total OI4,466.8263,0805,3494,5524,066

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-08-01$44.09$50.0036.4%10.4%31.9%8.7%36.7%1.4%-0.3%-2.2K2.3M-16.6K0.1558.15117172,8281,724
2023-08-02$43.13$50.0039.5%11.3%32.0%14.5%40.3%1.1%-1.8%-18.8K3.0M-15.5K0.0242.1444972,7811,737
2023-08-03$42.69$45.0038.9%11.4%29.1%13.4%39.6%4.3%3.6%-3.1K3.0M-16.0K0.0267.6143673,0061,739
2023-08-04$43.45$45.0037.7%11.4%27.3%11.1%39.7%5.0%4.4%50.0K2.0M-18.7K0.0655.98480293,4011,741
2023-08-07$41.36$45.0041.0%11.8%31.1%17.4%41.5%3.6%2.4%25.1K3.3M-15.3K0.4170.40174713,6441,705
2023-08-08$41.67$45.0037.8%12.2%30.8%11.2%42.7%2.7%3.0%37.4K1.4M-16.5K0.2150.20235493,6671,364
2023-08-09$41.75$45.0041.1%11.8%30.7%17.4%42.4%2.3%4.4%40.5K1.3M-16.7K0.8546.8455473,8051,360
2023-08-10$41.05$45.0040.2%11.5%28.7%15.9%40.4%1.9%3.5%25.2K1.9M-14.8K0.0928.37707633,8291,365
2023-08-11$41.04$45.0039.7%11.4%28.4%14.9%39.7%3.3%3.2%2.2K2.2M-13.4K4.7544.784193,5161,386
2023-08-14$41.35$45.0039.6%11.4%29.0%14.8%39.6%2.4%3.2%8.4K1.9M-13.4K0.9052.1020183,5191,373
2023-08-15$40.95$45.0040.3%11.5%28.9%15.9%40.0%3.1%3.5%-6.1K2.1M-12.6K1.1230.7633373,5341,379
2023-08-16$41.38$45.0039.7%11.4%29.8%14.8%38.8%3.1%3.6%9151.3M-12.9K0.5369.6692493,5631,222
2023-08-17$40.06$45.0039.9%11.4%29.6%15.2%40.5%3.0%3.4%-49.6K1.7M-11.7K0.4618.1867313,6511,183
2023-08-18$40.73$45.0040.1%11.5%30.7%15.6%39.9%2.2%3.9%30.5K962.8K-13.5K1.3380.781181573,6441,182
2023-08-21$40.25$40.0039.1%11.2%30.8%13.7%38.7%4.4%4.6%9.8K943.3K-12.6K2.2773.2711252,0521,028
2023-08-22$40.71$40.0038.9%11.2%29.3%13.4%41.1%4.3%4.9%12.6K801.7K-13.2K0.5429.722781502,0521,048
2023-08-23$42.50$40.0040.6%11.6%34.3%16.6%39.1%6.4%4.5%60.6K-245.0K-16.2K4.4481.31994402,3181,198
2023-08-24$40.48$40.0039.3%11.3%36.4%14.2%39.3%1.8%3.7%-9.7K1.4M-16.4K3.0055.58262,3621,624
2023-08-25$42.13$40.0038.1%10.9%39.1%11.8%35.1%1.0%5.6%23.4K537.5K-18.1K0.5439.3569372,3631,628
2023-08-28$42.55$40.0035.8%10.3%39.1%7.5%37.1%1.4%6.3%33.6K303.8K-17.8K0.5677.6443242,3721,659
2023-08-29$43.37$40.0035.4%10.2%39.6%6.8%35.5%1.0%5.3%54.8K-226.7K-18.4K0.0528.984422,3931,661
2023-08-30$44.98$40.0034.5%9.9%40.8%5.0%35.7%0.6%5.2%88.9K-1.4M-19.2K0.6037.6643262,4021,663
2023-08-31$46.84$40.0036.1%10.4%42.7%8.2%35.7%3.0%5.1%113.3K-2.7M-19.6K0.8053.711571252,3951,671