CALX Options History — May 2011

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

In May 2011, CALX traded between $20.68 and $22.78. ATM implied volatility averaged 48.7%. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 2.9% (HV 20d: 45.9%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.97.

Notable Days

2011-05-31: Highest Volume — 1,643 contracts
2011-05-12: Largest IV spike — 17.3% change
2011-05-23: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.66	$20.68	$22.78	$21.38	$21.57
Max Pain	$20.48	$20.00	$22.50	$20.00	$22.50
ATM IV	48.7%	43.1%	54.4%	44.4%	45.4%
Expected Move	14.2%	12.7%	15.6%	12.7%	13.0%
HV 20d	45.9%	38.5%	51.6%	38.5%	42.2%
HV 60d	45.3%	41.0%	47.3%	46.7%	41.0%
Term Structure	5.2%	1.7%	8.2%	8.2%	5.3%
VWIV	50.4%	45.7%	54.9%	52.9%	45.7%
Skew 25d	5.3%	-1.9%	10.2%	9.3%	1.8%
Skew 10d	5.4%	-11.8%	16.7%	-3.5%	-9.9%
Call IV 25d	47.1%	33.5%	52.4%	43.6%	46.1%
Put IV 25d	52.4%	41.6%	58.6%	52.9%	47.8%
Bid-Ask Spread %	52.00	37.28	68.92	59.58	52.17
Gamma HHI	0.49	0.25	0.83	0.25	0.55
Net GEX	212.9K	86.3K	615.7K	86.3K	172.5K
Net DEX	-6.7M	-10.9M	-4.5M	-5.3M	-4.8M
Net VEX	-28.3K	-32.9K	-26.2K	-26.2K	-32.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.00	13.16	0.05	13.16
Total Volume	513.238	11	1,643	69	1,643
Total OI	9,722.571	7,547	11,499	9,108	9,187

Daily Data (21 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
2011-05-02	$21.38	$20.00	44.4%	12.7%	38.5%	0.0%	52.9%	9.3%	8.2%	86.3K	-5.3M	-26.2K	0.05	59.58	66	3	5,628	3,480
2011-05-03	$21.32	$20.00	44.5%	12.8%	38.5%	0.0%	46.9%	4.9%	5.1%	91.1K	-5.1M	-26.6K	0.05	61.58	510	25	5,617	3,462
2011-05-04	$20.79	$20.00	49.9%	14.3%	39.1%	0.0%	49.4%	-1.0%	7.8%	113.1K	-4.6M	-26.8K	0.00	64.62	207	0	6,092	3,477
2011-05-05	$20.68	$20.00	50.3%	14.4%	39.1%	0.0%	0.0%	-1.9%	4.6%	117.0K	-4.5M	-26.8K	0.00	68.92	129	0	6,180	3,477
2011-05-06	$21.83	$20.00	45.8%	14.4%	43.4%	0.0%	51.3%	10.2%	3.7%	154.6K	-6.8M	-27.5K	0.05	37.28	189	10	6,291	3,477
2011-05-09	$22.36	$20.00	48.3%	14.4%	43.9%	0.0%	51.2%	9.6%	4.0%	165.9K	-7.6M	-26.3K	0.12	39.75	225	27	6,300	3,487
2011-05-10	$22.05	$20.00	44.4%	14.5%	43.9%	0.0%	48.0%	5.2%	3.2%	173.7K	-7.2M	-26.2K	0.00	45.65	1,056	0	6,310	3,508
2011-05-11	$21.40	$20.00	43.1%	14.3%	45.5%	0.0%	49.8%	6.3%	4.1%	230.2K	-6.4M	-26.7K	0.02	47.94	598	10	6,917	3,508
2011-05-12	$22.61	$20.00	50.6%	14.5%	49.0%	0.0%	50.8%	8.1%	4.9%	265.0K	-9.7M	-30.2K	0.10	45.02	201	20	7,481	3,518
2011-05-13	$22.10	$20.00	49.7%	14.2%	49.8%	0.0%	52.5%	5.7%	5.2%	284.6K	-8.6M	-29.7K	0.22	46.09	9	2	7,503	3,538
2011-05-16	$21.99	$20.00	50.8%	14.6%	48.6%	0.0%	51.8%	5.8%	4.7%	294.7K	-8.3M	-28.8K	0.32	49.21	31	10	7,512	3,538
2011-05-17	$21.91	$20.00	47.9%	13.7%	45.9%	0.0%	47.4%	8.2%	6.7%	323.4K	-8.1M	-28.0K	0.02	49.50	536	10	7,542	3,548
2011-05-18	$22.78	$20.00	51.7%	14.8%	47.2%	0.0%	50.9%	8.4%	1.7%	615.7K	-10.9M	-29.3K	0.28	45.56	790	224	7,944	3,555
2011-05-19	$22.11	$20.00	50.1%	14.4%	49.2%	0.0%	50.1%	2.1%	5.2%	410.0K	-8.4M	-28.9K	0.08	60.16	397	30	7,606	3,606
2011-05-20	$21.54	$20.00	50.0%	14.3%	50.6%	0.0%	54.9%	3.8%	7.4%	203.3K	-6.9M	-27.8K	0.24	42.19	933	228	7,618	3,606
2011-05-23	$21.00	$20.00	54.4%	15.6%	51.6%	0.0%	51.4%	6.2%	7.1%	131.9K	-4.9M	-28.1K	0.03	50.74	418	13	6,091	1,456
2011-05-24	$21.12	$20.00	53.3%	15.3%	51.6%	0.0%	51.8%	5.1%	6.4%	140.9K	-5.1M	-28.6K	0.38	49.03	166	63	6,277	1,467
2011-05-25	$21.22	$22.50	51.7%	14.8%	51.4%	0.0%	48.9%	-0.9%	6.1%	145.8K	-5.3M	-28.8K	0.07	63.86	562	42	6,311	1,502
2011-05-26	$21.22	$22.50	52.4%	15.0%	51.3%	0.0%	51.0%	6.0%	3.3%	168.9K	-5.5M	-29.4K	0.61	56.44	255	156	6,660	1,524
2011-05-27	$21.78	$22.50	45.0%	12.9%	42.8%	0.0%	0.0%	7.5%	5.4%	182.4K	-6.1M	-30.5K	4.62	56.77	175	809	6,693	1,680
2011-05-31	$21.57	$22.50	45.4%	13.0%	42.2%	0.0%	45.7%	1.8%	5.3%	172.5K	-4.8M	-32.9K	13.16	52.17	116	1,527	6,717	2,470