CALX Options History — November 2023

In November 2023, CALX traded between $33.66 and $38.55. ATM implied volatility averaged 37.5%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 37.6% (HV 20d: 75.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2023-11-14: Highest Volume — 608 contracts
  • 2023-11-16: Largest IV spike — 8.5% change
  • 2023-11-16: Highest IV Rank — 15.1%
  • 2023-11-16: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.68$33.66$38.55$34.29$38.49
Max Pain$35.24$35.00$40.00$40.00$35.00
ATM IV37.5%35.5%39.8%36.8%37.0%
Expected Move10.8%10.3%11.4%10.6%10.6%
HV 20d75.1%49.3%91.6%82.4%49.3%
HV 60d57.3%54.3%59.6%54.3%57.0%
IV Rank10.6%7.0%15.1%9.4%9.7%
IV Percentile11.4%3.6%23.4%7.9%11.5%
Term Structure0.1%-3.4%1.7%0.9%-0.6%
VWIV37.7%35.0%43.5%36.7%36.3%
Skew 25d3.5%-3.5%9.2%9.2%7.1%
Skew 10d6.7%-6.1%23.5%15.3%14.1%
Call IV 25d36.5%32.2%39.5%32.2%33.7%
Put IV 25d40.0%35.9%42.1%41.4%40.8%
Bid-Ask Spread %37.7016.7673.7848.2323.89
Gamma HHI0.260.220.290.220.29
Net GEX320.5K217.1K414.5K253.3K410.9K
Net DEX-5.2M-9.8M-326.1K-1.3M-9.0M
Net VEX-51.1K-58.0K-42.2K-46.3K-52.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.0510.080.072.00
Total Volume164.3811560818715
Total OI12,571.23810,86713,81513,35911,223

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$34.29$40.0036.8%10.6%82.4%9.4%36.7%9.2%0.9%253.3K-1.3M-46.3K0.0748.231751210,7282,631
2023-11-02$33.66$35.0035.9%10.6%81.9%7.7%37.0%4.5%1.5%217.1K-326.1K-42.2K0.1131.7862710,6472,629
2023-11-03$36.00$35.0035.5%10.7%86.0%7.0%35.6%5.2%1.7%278.8K-3.5M-51.6K0.3945.801274910,6182,627
2023-11-06$35.59$35.0037.3%10.9%84.8%10.3%36.9%4.6%1.2%273.9K-2.9M-50.1K1.3119.66263410,5882,642
2023-11-07$35.28$35.0037.1%10.9%84.1%10.0%35.0%4.9%1.0%276.8K-2.3M-47.9K0.0950.351191110,6002,672
2023-11-08$36.00$35.0038.6%11.1%84.9%12.9%37.9%4.5%1.0%293.0K-3.4M-50.3K1.0620.2012313110,6632,681
2023-11-09$34.09$35.0038.9%11.2%86.2%13.3%38.9%3.9%0.4%240.2K-434.5K-43.6K0.5773.781387810,7142,786
2023-11-10$35.03$35.0038.6%11.1%87.3%12.7%38.6%4.0%0.4%285.0K-1.8M-47.3K0.2239.83992210,7242,829
2023-11-13$34.76$35.0038.8%11.1%83.8%13.1%38.8%3.0%0.5%289.2K-1.0M-43.4K0.0727.331671110,8142,846
2023-11-14$37.60$35.0035.9%10.3%90.0%7.6%37.2%1.9%0.0%283.5K-6.1M-54.6K0.0961.615585010,8502,851
2023-11-15$38.28$35.0036.7%10.5%90.0%9.2%38.1%3.3%0.1%240.0K-7.1M-56.0K0.3634.972147610,7562,850
2023-11-16$36.92$35.0039.8%11.4%90.5%15.1%39.0%3.5%-0.0%328.8K-4.6M-52.0K10.0831.951212110,8632,875
2023-11-17$37.95$35.0036.6%10.5%91.4%9.0%37.0%2.2%-0.1%355.8K-5.8M-54.9K0.0524.575182510,8602,955
2023-11-20$38.55$35.0036.4%10.4%91.6%8.7%39.4%2.2%0.3%407.3K-9.8M-58.0K1.5054.5428429,1811,686
2023-11-21$37.52$35.0037.0%10.6%56.8%9.7%37.4%3.2%-0.6%361.7K-7.9M-53.5K4.3262.75411779,1911,728
2023-11-22$37.91$35.0038.7%11.1%52.6%12.9%0.0%3.3%-0.8%375.0K-8.4M-55.2K0.3528.412079,2241,866
2023-11-24$37.91$35.0037.8%10.8%52.6%11.2%37.4%3.7%-0.4%372.1K-8.3M-54.4K0.2939.351449,2391,870
2023-11-27$37.94$35.0039.5%11.3%50.4%14.5%35.4%2.7%-2.3%382.7K-8.2M-51.8K0.2516.7655149,2511,874
2023-11-28$38.10$35.0037.7%10.8%50.3%11.1%43.5%-3.5%-3.4%390.1K-8.5M-53.3K0.2319.652259,2991,878
2023-11-29$38.44$35.0036.4%10.4%50.3%8.6%36.3%-0.1%0.5%414.5K-9.0M-53.5K0.5436.3528159,3051,882
2023-11-30$38.49$35.0037.0%10.6%49.3%9.7%0.0%7.1%-0.6%410.9K-9.0M-52.4K2.0023.895109,3301,893