CALX Options History — February 2011

Name: CALX Options Analytics - February 2011
Creator: Options Analysis Suite

In February 2011, CALX traded between $17.79 and $20.04. ATM implied volatility averaged 55.2%. The 30-day expected move averaged 15.1%. Max pain ranged from $15.00 to $20.00. Net GEX was positive for 9 of 14 trading days. Term structure was in contango for 4 of 14 days. Put/call ratio averaged 0.13.

Notable Days

2011-02-22: Highest Volume — 450 contracts
2011-02-09: Largest IV drop — 64.1% change
2011-02-08: Largest Expected Move — 20.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.94	$17.79	$20.04	$18.10	$17.79
Max Pain	$19.44	$15.00	$20.00	$15.00	$20.00
ATM IV	55.2%	40.3%	112.1%	112.1%	69.3%
Expected Move	15.1%	12.2%	20.9%	20.9%	19.9%
Term Structure	-3.7%	-11.2%	2.2%	-5.9%	-10.8%
VWIV	55.0%	42.5%	71.0%	45.8%	71.0%
Skew 25d	-2.4%	-14.1%	10.2%	-0.1%	-3.1%
Skew 10d	-8.3%	-26.4%	13.5%	-1.6%	-12.1%
Call IV 25d	58.1%	44.3%	77.7%	49.4%	77.7%
Put IV 25d	55.8%	49.2%	74.6%	49.2%	74.6%
Bid-Ask Spread %	77.81	57.12	168.32	168.32	57.12
Gamma HHI	0.71	0.65	0.92	0.92	0.66
Net GEX	22.5K	0	55.2K	0	38.5K
Net DEX	-362.3K	-914.0K	0	0	-523.5K
Net VEX	-1.2K	-2.6K	0	0	-2.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	0.41	0.00	0.36
Total Volume	150.786	0	450	0	286
Total OI	690.5	0	1,580	0	1,580

Daily Data (14 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
2011-02-08	$18.10	$0.00	112.1%	20.9%	0.0%	0.0%	0.0%	0.0%	-5.9%	0	0	0	0.00	168.32	0	0	0	0
2011-02-09	$17.98	$0.00	40.3%	12.3%	0.0%	0.0%	0.0%	0.0%	2.2%	0	0	0	0.00	75.89	0	0	0	0
2011-02-10	$18.15	$0.00	43.5%	12.5%	0.0%	0.0%	0.0%	0.0%	0.7%	0	0	0	0.00	79.82	0	0	0	0
2011-02-11	$18.59	$0.00	42.4%	12.2%	0.0%	0.0%	0.0%	0.0%	0.6%	0	0	0	0.00	84.38	0	0	0	0
2011-02-14	$20.01	$0.00	45.9%	13.1%	0.0%	0.0%	45.8%	0.0%	-2.2%	0	0	0	0.00	81.76	337	0	0	0
2011-02-15	$20.04	$15.00	48.0%	13.8%	0.0%	0.0%	48.4%	-0.1%	-2.6%	14.8K	-433.6K	-668	0.41	65.10	273	112	337	0
2011-02-16	$19.84	$20.00	45.7%	13.1%	0.0%	0.0%	42.5%	7.9%	0.7%	28.1K	-487.0K	-1.3K	0.38	71.88	80	30	586	112
2011-02-17	$19.10	$20.00	50.8%	14.6%	0.0%	0.0%	51.7%	-7.1%	-2.9%	17.5K	-294.4K	-1.3K	0.00	59.40	355	0	559	142
2011-02-18	$19.15	$20.00	51.4%	14.8%	0.0%	0.0%	0.0%	-0.9%	-3.6%	32.7K	-526.9K	-1.9K	0.00	67.08	15	0	914	142
2011-02-22	$18.44	$20.00	54.6%	15.6%	0.0%	0.0%	62.6%	-13.8%	-3.1%	28.4K	-459.4K	-1.8K	0.05	69.06	428	22	904	137
2011-02-23	$19.10	$20.00	54.8%	15.7%	0.0%	0.0%	0.0%	10.2%	-8.6%	48.6K	-682.5K	-2.3K	0.00	72.97	0	0	1,273	145
2011-02-24	$19.75	$20.00	57.4%	16.4%	0.0%	0.0%	57.8%	-0.4%	-11.2%	55.2K	-914.0K	-2.6K	0.00	74.28	5	0	1,273	145
2011-02-25	$19.11	$20.00	56.3%	16.1%	0.0%	0.0%	60.1%	-14.1%	-4.8%	51.8K	-751.2K	-2.4K	0.01	62.26	166	2	1,273	145
2011-02-28	$17.79	$20.00	69.3%	19.9%	0.0%	0.0%	71.0%	-3.1%	-10.8%	38.5K	-523.5K	-2.1K	0.36	57.12	211	75	1,433	147