CALX Options History — September 2011

In September 2011, CALX traded between $7.80 and $14.00. ATM implied volatility averaged 72.9%, placing in the 49.2% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded below realized volatility by 5.0% (HV 20d: 77.9%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.02.

Notable Days

2011-09-14: Highest Volume — 589 contracts
2011-09-12: Largest IV spike — 13.8% change
2011-09-30: Highest IV Rank — 62.0%
2011-09-30: Largest Expected Move — 23.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.13	$7.80	$14.00	$14.00	$7.80
Max Pain	$19.17	$15.00	$20.00	$15.00	$17.50
ATM IV	72.9%	58.3%	82.8%	58.3%	82.8%
Expected Move	21.0%	16.7%	23.7%	16.7%	23.7%
HV 20d	77.9%	67.8%	91.3%	86.9%	78.1%
HV 60d	71.6%	68.0%	77.7%	68.0%	77.7%
IV Rank	49.2%	30.3%	62.0%	30.3%	62.0%
IV Percentile	89.7%	60.8%	99.4%	60.8%	99.4%
Term Structure	-3.5%	-10.0%	3.3%	3.3%	-4.3%
VWIV	72.4%	65.3%	81.8%	65.3%	80.1%
Skew 25d	7.1%	-2.7%	48.4%	7.0%	29.7%
Skew 10d	22.9%	-5.3%	104.9%	15.4%	38.1%
Call IV 25d	68.5%	52.2%	76.1%	56.5%	54.8%
Put IV 25d	75.7%	63.5%	100.6%	63.5%	84.5%
Bid-Ask Spread %	60.89	35.89	75.04	69.38	35.89
Gamma HHI	0.31	0.24	0.38	0.24	0.26
Net GEX	22.8K	5.8K	38.3K	34.8K	5.8K
Net DEX	2.5M	2.0M	3.1M	2.0M	2.1M
Net VEX	-8.6K	-16.1K	-3.5K	-16.1K	-3.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.00	5.50	0.00	0.53
Total Volume	149.095	3	589	3	23
Total OI	12,970	12,549	13,942	13,029	12,781

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
2011-09-01	$14.00	$15.00	58.3%	16.7%	86.9%	30.3%	0.0%	7.0%	3.3%	34.8K	2.0M	-16.1K	0.00	69.38	3	0	9,024	4,005
2011-09-02	$12.89	$15.00	65.3%	18.7%	91.3%	39.4%	65.3%	-0.2%	1.4%	29.1K	2.7M	-12.5K	0.30	68.86	178	54	9,022	4,005
2011-09-06	$12.40	$20.00	68.8%	20.3%	86.4%	43.9%	73.8%	11.7%	-5.9%	24.5K	3.1M	-9.9K	0.00	53.65	0	140	9,049	4,028
2011-09-07	$12.87	$20.00	66.8%	20.3%	85.8%	41.3%	69.1%	9.3%	-6.0%	26.4K	2.8M	-11.0K	0.46	63.75	54	25	9,049	3,921
2011-09-08	$12.09	$20.00	70.6%	19.9%	88.2%	46.2%	0.0%	-1.2%	-4.1%	24.0K	2.9M	-9.7K	0.00	63.38	0	23	9,031	3,906
2011-09-09	$11.95	$20.00	70.8%	19.6%	79.5%	46.6%	65.4%	6.1%	-3.4%	22.1K	3.0M	-9.1K	0.22	57.43	90	20	9,031	3,861
2011-09-12	$11.72	$20.00	80.6%	20.7%	78.8%	59.2%	70.9%	-2.7%	-3.9%	23.8K	3.0M	-8.5K	0.57	44.57	108	62	9,121	3,875
2011-09-13	$12.16	$20.00	70.2%	21.5%	80.2%	45.8%	75.6%	6.2%	-10.0%	27.0K	3.0M	-9.2K	0.04	56.59	258	10	9,212	3,924
2011-09-14	$12.39	$20.00	65.8%	20.8%	80.5%	40.0%	75.0%	5.9%	-6.1%	31.8K	2.5M	-10.3K	0.04	63.38	569	20	9,468	3,924
2011-09-15	$12.48	$20.00	70.3%	20.1%	80.7%	45.8%	66.7%	5.7%	-3.9%	38.3K	2.1M	-11.8K	0.07	65.86	200	15	9,998	3,944
2011-09-16	$11.96	$20.00	73.0%	20.9%	69.3%	49.4%	0.0%	0.4%	-6.1%	28.7K	2.3M	-10.8K	0.42	67.33	66	28	9,918	3,890
2011-09-19	$11.55	$20.00	71.4%	20.5%	67.8%	47.3%	73.6%	4.4%	-1.2%	28.6K	2.2M	-9.3K	0.78	57.36	103	80	9,022	3,531
2011-09-20	$10.95	$20.00	71.2%	20.4%	69.8%	47.0%	73.8%	-2.3%	-1.7%	23.0K	2.3M	-8.3K	0.00	62.73	328	0	8,938	3,611
2011-09-21	$10.82	$20.00	73.0%	20.9%	69.3%	49.4%	74.6%	-0.7%	-3.5%	25.8K	2.3M	-8.0K	1.00	63.76	4	4	9,266	3,595
2011-09-22	$9.99	$20.00	76.7%	22.0%	68.0%	54.2%	69.4%	1.9%	-2.3%	18.6K	2.3M	-6.7K	5.50	60.28	10	55	9,266	3,479
2011-09-23	$10.47	$20.00	76.8%	22.0%	69.6%	54.4%	69.6%	4.7%	1.4%	21.5K	2.3M	-7.1K	0.00	60.05	0	10	9,276	3,460
2011-09-26	$10.26	$20.00	78.5%	22.5%	68.7%	56.5%	70.3%	3.1%	-1.3%	19.6K	2.3M	-6.6K	0.00	61.02	0	38	9,276	3,445
2011-09-27	$8.75	$20.00	77.0%	22.1%	79.8%	54.6%	76.5%	2.7%	-0.7%	10.0K	2.4M	-4.4K	0.98	59.48	159	156	9,276	3,428
2011-09-28	$8.16	$17.50	82.1%	23.5%	78.2%	61.1%	81.8%	9.8%	-7.2%	8.5K	2.1M	-3.7K	5.47	68.96	15	82	9,415	3,321
2011-09-29	$8.15	$17.50	80.1%	23.0%	78.4%	58.6%	80.1%	48.4%	-7.5%	6.9K	2.2M	-3.5K	0.96	75.04	72	69	9,420	3,358
2011-09-30	$7.80	$17.50	82.8%	23.7%	78.1%	62.0%	0.0%	29.7%	-4.3%	5.8K	2.1M	-3.5K	0.53	35.89	15	8	9,452	3,329