CALX Options History — April 2011

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

In April 2011, CALX traded between $18.53 and $21.86. ATM implied volatility averaged 61.6%. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 29.6% (HV 20d: 32.0%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.09.

Notable Days

2011-04-29: Highest Volume — 4,515 contracts
2011-04-29: Largest IV drop — 36.6% change
2011-04-04: Largest Expected Move — 20.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.82	$18.53	$21.86	$20.46	$21.86
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	61.6%	45.0%	76.3%	67.1%	45.0%
Expected Move	18.3%	12.9%	20.8%	19.2%	12.9%
HV 20d	32.0%	23.0%	44.3%	44.3%	37.4%
HV 60d	45.7%	44.0%	46.8%	46.8%	46.8%
Term Structure	-1.0%	-10.5%	4.6%	-0.2%	4.6%
VWIV	64.9%	56.1%	79.1%	66.4%	56.1%
Skew 25d	8.5%	4.3%	16.2%	5.0%	7.0%
Skew 10d	14.3%	3.2%	29.1%	4.5%	14.7%
Call IV 25d	60.7%	45.1%	67.2%	65.8%	45.1%
Put IV 25d	69.2%	52.1%	80.0%	70.8%	52.1%
Bid-Ask Spread %	45.61	31.16	66.18	66.18	32.55
Gamma HHI	0.41	0.25	0.70	0.41	0.25
Net GEX	125.7K	64.6K	222.6K	157.3K	81.7K
Net DEX	-3.5M	-5.3M	-1.9M	-4.8M	-5.3M
Net VEX	-17.8K	-22.0K	-15.8K	-17.4K	-22.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.00	5.07	0.00	2.43
Total Volume	709.4	20	4,515	58	4,515
Total OI	5,982.7	4,385	7,581	5,521	7,581

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
2011-04-01	$20.46	$17.50	67.1%	19.2%	44.3%	0.0%	66.4%	5.0%	-0.2%	157.3K	-4.8M	-17.4K	0.00	66.18	58	0	4,843	678
2011-04-04	$20.42	$17.50	76.3%	20.8%	42.1%	0.0%	72.7%	7.6%	-10.5%	151.7K	-4.8M	-16.8K	1.42	38.80	615	872	4,811	678
2011-04-05	$20.07	$17.50	64.8%	19.6%	42.4%	0.0%	68.3%	9.2%	-5.1%	142.7K	-4.2M	-18.8K	5.07	31.16	182	922	5,331	1,367
2011-04-06	$20.21	$17.50	62.7%	19.5%	41.0%	0.0%	66.8%	4.3%	-4.3%	151.6K	-4.4M	-18.8K	0.00	33.65	46	0	5,369	1,440
2011-04-07	$20.14	$17.50	58.4%	19.1%	39.1%	0.0%	66.6%	9.0%	-4.7%	159.4K	-4.3M	-18.5K	0.02	33.71	467	10	5,395	1,440
2011-04-08	$20.18	$17.50	55.5%	17.7%	39.0%	0.0%	61.0%	6.2%	2.0%	173.5K	-4.5M	-19.2K	0.04	41.80	506	20	5,585	1,437
2011-04-11	$19.91	$17.50	56.1%	18.2%	34.1%	0.0%	63.3%	6.3%	1.1%	174.9K	-3.9M	-17.7K	0.15	43.61	97	15	5,477	1,417
2011-04-12	$19.77	$17.50	54.4%	17.8%	31.6%	0.0%	0.0%	10.4%	1.6%	190.9K	-3.6M	-17.5K	0.23	44.41	162	38	5,545	1,413
2011-04-13	$19.92	$17.50	53.4%	17.7%	30.8%	0.0%	59.3%	11.0%	1.1%	194.8K	-3.7M	-17.1K	0.00	43.72	80	0	5,459	1,403
2011-04-14	$19.73	$17.50	61.8%	17.7%	24.3%	0.0%	60.6%	12.3%	1.9%	222.6K	-3.2M	-16.9K	0.81	44.42	247	200	5,527	1,403
2011-04-15	$19.24	$17.50	62.9%	18.0%	26.3%	0.0%	62.9%	7.5%	0.2%	145.5K	-1.9M	-16.1K	0.20	39.84	649	132	5,559	1,444
2011-04-18	$18.53	$17.50	67.0%	19.2%	29.2%	0.0%	65.4%	6.8%	0.2%	65.9K	-2.1M	-15.8K	0.00	50.81	326	0	3,655	730
2011-04-19	$18.64	$17.50	69.4%	19.9%	28.3%	0.0%	70.4%	9.2%	-1.7%	67.4K	-2.2M	-16.2K	1.39	46.08	252	350	3,704	730
2011-04-20	$18.96	$17.50	60.8%	17.4%	25.8%	0.0%	60.3%	7.1%	-0.2%	64.6K	-2.2M	-17.3K	0.00	64.05	27	0	3,804	1,010
2011-04-21	$19.14	$17.50	59.8%	17.1%	25.9%	0.0%	59.5%	7.2%	1.7%	67.7K	-2.4M	-17.5K	0.00	62.81	20	0	3,822	1,010
2011-04-25	$19.47	$17.50	62.1%	17.8%	26.5%	0.0%	62.6%	10.1%	-0.6%	73.7K	-2.6M	-17.1K	1.47	54.54	34	50	3,842	1,010
2011-04-26	$19.62	$17.50	62.4%	17.9%	24.5%	0.0%	68.2%	10.6%	-0.3%	74.8K	-2.8M	-17.4K	5.02	50.29	66	331	3,855	1,055
2011-04-27	$19.92	$17.50	61.8%	17.7%	24.6%	0.0%	62.7%	7.6%	-1.3%	72.0K	-2.9M	-18.5K	0.17	50.66	575	100	3,918	1,301
2011-04-28	$20.12	$17.50	70.9%	20.3%	23.0%	0.0%	79.1%	16.2%	-6.1%	80.6K	-3.4M	-19.6K	3.47	39.04	498	1,726	4,265	1,341
2011-04-29	$21.86	$17.50	45.0%	12.9%	37.4%	0.0%	56.1%	7.0%	4.6%	81.7K	-5.3M	-22.0K	2.43	32.55	1,317	3,198	4,599	2,982