Polish-American chemist Kazimierz Fajans published his rules for inorganic chemistry in 1923. These rules are intended to predict whether inorganic chemical bonds are either ionic or covalent based on the size of the charge and atomic radius of the atoms involved in bonding. Since the size of the cation is the same for both compounds (calcium), we need to look at the size of the anions to make the determination. Oxygen and chlorine are close to each other on the periodic table so we cannot really rely on periodic table trends with atomic radii. I looked up the atomic radii of both atoms via the reference below and found the following:
O: 60 pm
Cl: 100 pm
The unit "pm" stands for picometers, or 10^-12 meters. So oxygen is a smaller atom than chlorine. Fajans rules states that a smaller anion will make a more ionic bond, so that is why CaO shows more ionic characteristics while CaCl2 shows more covalent characteristics.