CALX Options History — January 2024

In January 2024, CALX traded between $33.09 and $44.54. ATM implied volatility averaged 51.4%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 19.8% (HV 20d: 31.5%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2024-01-30: Highest Volume — 6,522 contracts
  • 2024-01-10: Largest IV spike — 105.1% change
  • 2024-01-29: Highest IV Rank — 81.1%
  • 2024-01-29: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.59$33.09$44.54$43.61$33.18
Max Pain$39.76$35.00$40.00$40.00$35.00
ATM IV51.4%26.3%73.7%40.3%40.7%
Expected Move15.8%10.4%21.1%11.5%11.7%
HV 20d31.5%22.7%104.6%23.7%104.6%
HV 60d51.8%34.5%68.7%57.5%68.6%
IV Rank40.8%0.0%81.1%15.9%24.6%
IV Percentile64.1%0.0%98.0%37.3%42.9%
Term Structure-7.5%-21.2%16.1%11.4%-1.8%
VWIV55.8%36.3%72.6%42.8%41.6%
Skew 25d3.3%-0.5%8.3%2.2%-0.5%
Skew 10d5.3%-8.7%11.8%1.7%-8.7%
Call IV 25d54.1%37.0%66.1%40.3%42.9%
Put IV 25d57.4%38.8%73.9%42.5%42.5%
Bid-Ask Spread %44.7516.2089.5477.6423.89
Gamma HHI0.300.270.330.300.32
Net GEX553.1K-11.9K718.5K668.5K120.4K
Net DEX-13.2M-18.0M5.3M-16.5M1.5M
Net VEX-37.8K-48.7K-10.7K-48.7K-19.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.074.630.290.50
Total Volume798.857266,522903,414
Total OI11,257.4768,72013,93911,85213,939

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-01-02$43.61$40.0040.3%11.5%23.7%15.9%42.8%2.2%11.4%668.5K-16.5M-48.7K0.2977.6470209,6972,155
2024-01-03$44.33$40.0036.3%10.4%23.0%8.4%36.3%1.7%16.1%711.4K-18.0M-48.6K1.4589.5411169,7012,156
2024-01-04$44.26$40.0035.5%15.1%22.8%7.0%52.9%3.9%-6.0%701.7K-17.6M-47.8K2.2525.358189,7032,171
2024-01-05$43.16$40.0034.7%15.1%24.4%5.5%54.4%4.3%-6.3%636.0K-15.1M-44.9K0.5932.0463379,7042,179
2024-01-08$44.23$40.0035.6%15.6%25.6%7.2%51.7%3.7%-7.8%718.5K-17.4M-44.1K0.1145.732739,7032,178
2024-01-09$43.48$40.0026.3%15.5%24.5%0.0%54.4%4.1%-8.4%669.8K-15.7M-42.6K0.6750.9792629,7222,180
2024-01-10$43.47$40.0053.9%15.5%24.5%47.3%55.0%4.4%-7.1%674.1K-15.6M-42.6K0.0750.362,0331359,7632,188
2024-01-11$42.55$40.0055.8%16.0%24.9%50.3%55.7%2.9%-8.9%597.9K-13.6M-41.4K1.5357.8545699,6692,296
2024-01-12$42.42$40.0056.7%16.3%24.1%52.0%55.3%3.6%-2.5%561.6K-13.0M-40.0K0.6841.6737259,7102,365
2024-01-16$42.89$40.0057.8%16.6%22.7%53.8%58.8%2.8%-10.1%561.7K-13.8M-37.9K0.7351.5970519,7032,370
2024-01-17$42.64$40.0059.3%17.0%22.7%56.4%59.8%3.2%-11.5%557.2K-13.2M-37.5K1.8742.6238719,7252,413
2024-01-18$43.39$40.0058.7%16.8%23.5%55.4%59.7%2.8%-9.0%616.7K-14.5M-37.8K0.9558.2239379,7452,442
2024-01-19$43.33$40.0058.4%16.7%23.4%54.8%60.0%3.0%-10.2%531.9K-14.1M-36.7K0.7853.5946369,7422,450
2024-01-22$44.54$40.0060.7%17.4%25.1%58.7%61.8%3.1%-11.0%565.0K-15.6M-35.6K1.6141.75741197,5311,189
2024-01-23$44.39$40.0061.2%17.5%24.3%59.6%63.8%1.5%-13.6%566.9K-15.3M-35.4K4.6346.59632927,6081,278
2024-01-24$44.17$40.0061.6%17.7%23.8%60.3%60.5%2.3%-13.4%556.8K-14.8M-35.5K0.1245.4294117,6281,532
2024-01-25$43.98$40.0060.4%17.3%22.8%58.3%61.9%1.5%-14.8%564.3K-14.2M-35.3K0.9321.7945427,7361,542
2024-01-26$43.18$40.0064.6%18.5%23.6%65.4%64.8%8.3%-16.7%540.3K-12.5M-34.5K3.3537.542076947,7711,575
2024-01-29$44.06$40.0073.7%21.1%24.0%81.1%72.6%7.7%-21.2%505.8K-14.2M-36.4K0.2129.391,6913497,8762,175
2024-01-30$33.09$40.0046.9%13.4%104.5%35.2%47.5%2.6%-5.5%-11.9K5.3M-10.7K0.6516.203,9472,5758,7662,431
2024-01-31$33.18$35.0040.7%11.7%104.6%24.6%41.6%-0.5%-1.8%120.4K1.5M-19.8K0.5023.892,2811,13311,1672,772