CALX Options History — September 2023

In September 2023, CALX traded between $44.45 and $48.02. ATM implied volatility averaged 39.6%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 4.9% (HV 20d: 34.7%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.54.

Notable Days

2023-09-25: Highest Volume — 673 contracts
2023-09-11: Largest IV spike — 29.4% change
2023-09-26: Highest IV Rank — 27.1%
2023-09-26: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.08	$44.45	$48.02	$46.87	$46.03
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	39.6%	33.1%	46.2%	33.3%	40.3%
Expected Move	11.5%	9.6%	13.2%	9.6%	11.5%
HV 20d	34.7%	20.1%	42.5%	42.5%	20.1%
HV 60d	33.5%	32.2%	34.0%	34.0%	32.2%
IV Rank	14.7%	2.4%	27.1%	2.8%	15.9%
IV Percentile	17.8%	0.4%	42.5%	0.4%	20.6%
Term Structure	0.5%	-5.7%	12.7%	7.3%	3.2%
VWIV	39.6%	31.8%	45.3%	33.4%	40.8%
Skew 25d	1.5%	-4.0%	5.0%	1.6%	-3.7%
Skew 10d	-1.6%	-44.1%	7.9%	-24.7%	-44.1%
Call IV 25d	39.6%	31.5%	49.2%	31.5%	37.2%
Put IV 25d	41.1%	33.1%	48.7%	33.1%	33.5%
Bid-Ask Spread %	75.64	64.01	88.12	64.01	88.12
Gamma HHI	0.23	0.20	0.31	0.21	0.28
Net GEX	30.2K	-48.8K	122.5K	115.9K	54.3K
Net DEX	-1.0M	-3.3M	710.4K	-2.7M	-1.3M
Net VEX	-19.9K	-23.1K	-18.2K	-20.2K	-23.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.54	0.09	14.00	0.33	0.32
Total Volume	189.15	8	673	8	185
Total OI	4,676.15	4,158	5,799	4,158	5,799

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2023-09-01	$46.87	$45.00	33.3%	9.6%	42.5%	2.8%	33.4%	1.6%	7.3%	115.9K	-2.7M	-20.2K	0.33	64.01	6	2	2,427	1,731
2023-09-05	$47.47	$45.00	36.5%	11.9%	37.6%	8.8%	41.2%	3.6%	-1.8%	122.5K	-3.1M	-19.4K	7.35	73.84	23	169	2,430	1,733
2023-09-06	$48.02	$45.00	33.5%	11.4%	37.6%	3.1%	40.4%	1.2%	-0.8%	112.9K	-3.3M	-20.4K	2.60	73.90	15	39	2,434	1,899
2023-09-07	$46.38	$45.00	36.7%	11.2%	40.5%	9.2%	38.9%	1.7%	0.3%	86.2K	-2.0M	-19.4K	9.54	73.96	39	372	2,435	1,915
2023-09-08	$46.41	$45.00	33.1%	11.1%	39.7%	2.4%	37.9%	1.9%	-0.7%	65.3K	-1.6M	-21.0K	0.18	72.87	51	9	2,469	2,177
2023-09-11	$46.28	$45.00	42.8%	11.0%	39.7%	20.8%	38.3%	1.4%	-0.3%	74.8K	-1.5M	-20.2K	0.86	65.84	58	50	2,514	2,181
2023-09-12	$46.13	$45.00	44.9%	11.0%	39.9%	24.6%	38.6%	1.6%	-0.4%	68.1K	-1.4M	-20.4K	1.03	73.22	33	34	2,549	2,212
2023-09-13	$46.23	$45.00	38.2%	11.0%	39.5%	12.1%	38.1%	2.0%	-0.2%	70.4K	-1.6M	-19.9K	2.23	74.99	13	29	2,565	2,244
2023-09-14	$46.68	$45.00	37.9%	10.9%	39.5%	11.5%	37.8%	1.2%	12.7%	10.2K	-2.1M	-19.8K	0.50	75.75	154	77	2,575	2,267
2023-09-15	$46.49	$45.00	36.4%	10.4%	37.0%	8.7%	36.6%	0.4%	2.9%	-20.7K	-1.1M	-19.6K	0.12	79.11	60	7	2,433	2,306
2023-09-18	$46.25	$45.00	43.7%	12.5%	37.1%	22.4%	40.8%	3.3%	-5.7%	-20.2K	-112.0K	-19.6K	0.44	74.46	126	56	2,228	2,005
2023-09-19	$46.28	$45.00	38.5%	11.0%	36.5%	12.6%	39.9%	1.7%	-1.2%	-18.1K	-418.5K	-18.8K	14.00	82.10	6	84	2,321	2,048
2023-09-20	$45.82	$45.00	40.0%	11.5%	37.0%	15.4%	40.5%	2.3%	-0.7%	-31.0K	31.7K	-18.6K	0.50	74.50	14	7	2,327	2,031
2023-09-21	$44.95	$45.00	42.4%	12.2%	35.3%	20.0%	43.8%	-4.0%	-2.6%	-48.8K	710.4K	-18.2K	6.00	77.68	3	18	2,339	2,031
2023-09-22	$45.28	$45.00	42.1%	12.1%	29.6%	19.4%	42.3%	1.5%	-1.5%	-44.0K	499.3K	-18.3K	1.02	76.03	92	94	2,341	2,043
2023-09-25	$45.38	$45.00	44.2%	12.7%	26.6%	23.3%	43.9%	2.9%	-2.2%	-39.5K	382.1K	-18.7K	0.09	74.94	615	58	2,404	2,092
2023-09-26	$44.77	$45.00	46.2%	13.2%	27.2%	27.1%	45.3%	4.2%	-3.1%	-1.2K	274.5K	-20.4K	0.09	75.02	438	39	2,845	2,137
2023-09-27	$44.45	$45.00	40.8%	11.7%	26.7%	16.9%	40.7%	5.0%	2.6%	19.7K	252.9K	-20.4K	2.65	76.42	160	424	3,172	2,172
2023-09-28	$45.38	$45.00	40.3%	11.6%	24.4%	16.0%	31.8%	0.5%	3.2%	26.0K	-423.0K	-22.4K	0.85	85.97	67	57	3,234	2,458
2023-09-29	$46.03	$45.00	40.3%	11.5%	20.1%	15.9%	40.8%	-3.7%	3.2%	54.3K	-1.3M	-23.1K	0.32	88.12	140	45	3,294	2,505