CALX Options History — October 2011

In October 2011, CALX traded between $6.65 and $9.17. ATM implied volatility averaged 75.7%, placing in the 52.9% IV rank vs the trailing year. The 30-day expected move averaged 21.9%. IV traded below realized volatility by 26.8% (HV 20d: 102.5%). Max pain ranged from $7.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.14.

Notable Days

2011-10-04: Highest Volume — 883 contracts
2011-10-28: Largest IV drop — 19.5% change
2011-10-04: Highest IV Rank — 80.7%
2011-10-04: Largest Expected Move — 27.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.23	$6.65	$9.17	$7.20	$8.71
Max Pain	$9.40	$7.50	$17.50	$17.50	$7.50
ATM IV	75.7%	55.9%	97.2%	86.7%	59.0%
Expected Move	21.9%	16.0%	27.9%	24.8%	16.9%
HV 20d	102.5%	77.8%	132.2%	77.8%	129.2%
HV 60d	88.5%	78.7%	104.5%	78.7%	103.2%
IV Rank	52.9%	27.3%	80.7%	67.1%	31.3%
IV Percentile	83.5%	45.4%	99.4%	99.4%	49.5%
Term Structure	-3.7%	-12.9%	5.6%	3.9%	-6.1%
VWIV	75.5%	41.9%	97.4%	92.2%	41.9%
Skew 25d	7.7%	-10.0%	41.3%	-4.8%	-3.3%
Skew 10d	20.6%	-21.5%	70.5%	-8.2%	9.9%
Call IV 25d	68.3%	45.5%	94.3%	94.3%	45.5%
Put IV 25d	76.0%	42.2%	105.5%	89.4%	42.2%
Bid-Ask Spread %	83.87	59.13	105.09	59.13	105.09
Gamma HHI	0.27	0.22	0.35	0.29	0.35
Net GEX	5.4K	2.0K	11.8K	4.0K	11.8K
Net DEX	1.6M	139.9K	2.2M	1.9M	173.2K
Net VEX	-2.3K	-3.1K	-1.0K	-2.7K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.14	0.00	15.00	0.35	0.01
Total Volume	173.762	0	883	290	72
Total OI	10,028.333	4,174	12,725	12,725	4,464

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
2011-10-03	$7.20	$17.50	86.7%	24.8%	77.8%	67.1%	92.2%	-4.8%	3.9%	4.0K	1.9M	-2.7K	0.35	59.13	215	75	9,457	3,268
2011-10-04	$7.78	$17.50	97.2%	27.9%	86.4%	80.7%	88.9%	41.3%	0.5%	5.2K	2.0M	-3.1K	0.00	62.09	883	0	9,464	3,240
2011-10-05	$8.35	$17.50	88.9%	25.5%	90.2%	70.0%	0.0%	-1.4%	-8.8%	4.0K	2.1M	-2.7K	0.00	66.97	49	0	9,054	3,168
2011-10-06	$8.32	$17.50	80.8%	23.2%	89.1%	59.5%	0.0%	-0.5%	3.0%	3.4K	2.1M	-2.7K	0.00	62.34	33	0	9,051	3,168
2011-10-07	$8.38	$7.50	82.5%	22.9%	89.5%	61.7%	0.0%	6.6%	-5.9%	3.7K	2.1M	-2.7K	0.00	80.02	0	0	9,059	3,168
2011-10-10	$9.17	$7.50	76.4%	22.0%	97.4%	53.8%	0.0%	24.7%	-5.7%	6.0K	2.2M	-2.9K	0.00	80.83	1	0	9,059	3,168
2011-10-11	$8.84	$7.50	70.1%	22.0%	95.9%	45.7%	49.8%	15.0%	-6.0%	6.0K	2.1M	-3.0K	0.00	81.81	0	90	9,059	3,168
2011-10-12	$8.96	$7.50	63.3%	21.9%	95.7%	36.8%	76.6%	3.5%	-5.1%	5.5K	2.1M	-2.8K	0.06	85.76	33	2	9,059	3,135
2011-10-13	$8.86	$7.50	74.5%	21.3%	95.3%	51.3%	0.0%	14.6%	-3.6%	6.0K	2.1M	-2.9K	0.10	83.48	10	1	9,089	3,136
2011-10-14	$9.05	$7.50	75.1%	21.5%	95.8%	52.1%	75.5%	18.7%	-5.4%	6.1K	2.2M	-2.8K	0.00	89.23	60	0	9,079	3,136
2011-10-17	$8.46	$7.50	76.2%	21.9%	97.4%	53.5%	0.0%	-3.4%	-7.8%	5.5K	2.1M	-2.3K	0.00	89.84	15	0	9,083	3,136
2011-10-18	$8.97	$7.50	77.8%	22.3%	99.7%	55.6%	87.1%	19.0%	-9.9%	7.8K	2.2M	-2.4K	1.48	87.09	42	62	9,083	3,136
2011-10-19	$8.73	$7.50	85.2%	24.4%	99.9%	65.2%	0.0%	12.8%	-12.9%	6.9K	2.2M	-2.4K	0.00	86.90	0	2	9,077	3,188
2011-10-20	$8.40	$7.50	83.1%	23.8%	97.1%	62.4%	82.1%	5.3%	-12.7%	5.4K	2.2M	-1.9K	1.11	80.69	170	189	9,077	3,188
2011-10-21	$6.82	$7.50	76.2%	21.8%	117.8%	53.5%	75.6%	-1.4%	-4.8%	2.1K	2.1M	-1.0K	1.23	89.43	239	294	9,231	3,270
2011-10-24	$7.05	$7.50	76.5%	21.9%	119.4%	53.9%	76.5%	5.9%	-1.9%	2.0K	595.9K	-1.3K	0.02	90.59	182	4	2,999	1,175
2011-10-25	$6.65	$7.50	66.3%	19.0%	108.6%	40.7%	97.4%	-2.7%	2.7%	3.0K	558.9K	-1.2K	15.00	93.24	2	30	3,166	1,179
2011-10-26	$6.81	$7.50	68.9%	19.8%	107.2%	44.1%	69.1%	3.0%	0.7%	2.8K	521.0K	-1.2K	0.00	92.83	40	0	3,167	1,108
2011-10-27	$8.32	$7.50	69.5%	19.9%	130.5%	44.8%	69.4%	18.8%	2.0%	5.9K	303.6K	-1.8K	1.08	94.01	153	165	3,198	1,108
2011-10-28	$9.01	$7.50	55.9%	16.0%	132.2%	27.3%	41.9%	-10.0%	5.6%	9.6K	139.9K	-2.3K	0.13	99.98	473	63	3,251	1,126
2011-10-31	$8.71	$7.50	59.0%	16.9%	129.2%	31.3%	0.0%	-3.3%	-6.1%	11.8K	173.2K	-2.2K	0.01	105.09	71	1	3,378	1,086