CALX Options History — September 2024

In September 2024, CALX traded between $34.58 and $39.19. ATM implied volatility averaged 40.4%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 8.5% (HV 20d: 32.0%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 28.39.

Notable Days

2024-09-13: Highest Volume — 2,022 contracts
2024-09-23: Largest IV spike — 41.9% change
2024-09-23: Highest IV Rank — 56.8%
2024-09-23: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.04	$34.58	$39.19	$37.01	$38.96
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	40.4%	35.4%	50.8%	41.1%	37.1%
Expected Move	11.6%	10.1%	14.6%	11.8%	10.6%
HV 20d	32.0%	23.8%	38.1%	26.0%	37.2%
HV 60d	40.1%	37.8%	42.0%	37.9%	41.6%
IV Rank	37.2%	27.7%	56.8%	38.5%	31.0%
IV Percentile	54.5%	19.0%	81.7%	63.9%	37.3%
Term Structure	5.1%	-12.3%	14.9%	-0.1%	13.5%
VWIV	40.1%	32.5%	53.8%	37.4%	41.5%
Skew 25d	6.6%	-0.5%	16.3%	4.0%	11.5%
Skew 10d	11.2%	-33.0%	40.2%	40.2%	20.6%
Call IV 25d	35.8%	25.8%	40.3%	37.9%	28.9%
Put IV 25d	42.5%	37.3%	48.5%	41.9%	40.4%
Bid-Ask Spread %	78.97	57.42	93.48	72.13	65.43
Gamma HHI	0.45	0.35	0.66	0.35	0.42
Net GEX	-88.9K	-254.4K	10.3K	5.5K	-85.7K
Net DEX	-80.7K	-2.7M	2.3M	-680.9K	-1.4M
Net VEX	-18.0K	-22.3K	-15.3K	-19.0K	-17.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	28.39	0.01	504.50	0.03	3.33
Total Volume	224.9	7	2,022	119	78
Total OI	6,373.05	5,181	7,785	5,181	7,053

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
2024-09-03	$37.01	$35.00	41.1%	11.8%	26.0%	38.5%	37.4%	4.0%	-0.1%	5.5K	-680.9K	-19.0K	0.03	72.13	115	4	2,760	2,421
2024-09-04	$36.93	$35.00	42.2%	12.1%	23.8%	40.5%	42.2%	16.3%	-2.4%	7.4K	-724.9K	-18.7K	0.40	81.99	5	2	2,813	2,421
2024-09-05	$36.78	$35.00	41.9%	11.9%	23.9%	40.0%	35.8%	8.2%	1.9%	10.3K	-717.1K	-18.4K	0.02	86.21	202	5	2,814	2,421
2024-09-06	$34.80	$35.00	43.4%	11.8%	29.8%	42.8%	47.3%	5.4%	3.1%	-41.0K	1.5M	-17.3K	10.50	83.68	4	42	3,016	2,421
2024-09-09	$34.58	$35.00	40.5%	12.1%	29.8%	37.3%	0.0%	5.3%	1.8%	-48.9K	1.8M	-15.9K	3.27	93.48	11	36	3,016	2,418
2024-09-10	$34.63	$35.00	39.7%	11.6%	29.4%	35.9%	53.8%	6.3%	3.3%	-59.2K	1.6M	-15.4K	0.76	78.78	29	22	3,015	2,343
2024-09-11	$34.97	$35.00	40.7%	11.7%	29.0%	37.7%	0.0%	5.3%	3.8%	-51.9K	1.2M	-15.7K	0.74	83.36	23	17	3,040	2,362
2024-09-12	$35.22	$35.00	39.6%	11.3%	29.2%	35.5%	40.0%	4.5%	4.2%	-54.3K	851.8K	-15.5K	0.38	85.87	8	3	3,060	2,377
2024-09-13	$35.98	$35.00	40.4%	11.6%	29.9%	37.2%	40.4%	4.8%	3.0%	-28.3K	-18.0K	-15.3K	504.50	57.42	4	2,018	3,068	2,380
2024-09-16	$36.15	$35.00	41.1%	11.8%	28.5%	38.4%	40.7%	3.9%	1.9%	-249.1K	2.3M	-22.3K	0.00	84.20	0	28	3,067	4,378
2024-09-17	$37.14	$35.00	41.3%	11.8%	29.9%	38.8%	40.6%	4.4%	2.6%	-228.4K	476.3K	-20.9K	0.05	76.71	416	19	3,067	4,408
2024-09-18	$36.34	$35.00	39.2%	11.2%	30.3%	34.9%	39.5%	2.8%	4.6%	-254.4K	1.5M	-21.5K	12.00	85.17	3	36	3,301	4,412
2024-09-19	$38.75	$35.00	37.2%	10.7%	38.1%	31.2%	37.6%	6.2%	8.0%	-24.8K	-2.5M	-18.5K	1.08	80.50	51	55	3,299	4,413
2024-09-20	$39.11	$35.00	35.8%	10.3%	37.5%	28.5%	32.5%	7.0%	10.9%	-104.6K	-2.7M	-17.8K	0.01	86.53	212	2	3,344	4,441
2024-09-23	$38.51	$35.00	50.8%	14.6%	37.6%	56.8%	37.0%	-0.5%	-12.3%	-139.6K	-50.4K	-18.1K	0.17	69.30	373	64	2,426	3,962
2024-09-24	$39.19	$35.00	35.4%	10.1%	37.9%	27.7%	43.4%	1.5%	13.1%	-65.2K	-1.4M	-17.7K	0.01	71.81	491	7	2,685	4,022
2024-09-25	$38.56	$35.00	38.1%	10.9%	37.2%	32.8%	39.5%	9.4%	11.5%	-114.5K	-895.6K	-19.0K	1.44	76.46	9	13	2,966	4,027
2024-09-26	$38.81	$35.00	35.9%	10.3%	37.1%	28.7%	38.2%	12.5%	13.8%	-103.2K	-1.1M	-18.4K	0.33	74.28	9	3	2,973	4,036
2024-09-27	$38.30	$35.00	47.0%	13.5%	37.2%	49.6%	34.9%	13.7%	14.9%	-147.4K	-868.3K	-18.2K	0.44	86.20	55	24	2,978	4,037
2024-09-30	$38.96	$35.00	37.1%	10.6%	37.2%	31.0%	41.5%	11.5%	13.5%	-85.7K	-1.4M	-17.2K	3.33	65.43	18	60	3,016	4,037