CALX Options History — November 2011

In November 2011, CALX traded between $7.18 and $9.77. ATM implied volatility averaged 61.2%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded below realized volatility by 49.5% (HV 20d: 110.7%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.11.

Notable Days

2011-11-23: Highest Volume — 119 contracts
2011-11-30: Largest IV drop — 28.4% change
2011-11-28: Highest IV Rank — 45.0%
2011-11-28: Largest Expected Move — 20.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.69	$7.18	$9.77	$8.92	$9.02
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	61.2%	44.9%	69.6%	62.5%	44.9%
Expected Move	17.7%	12.9%	20.0%	17.9%	12.9%
HV 20d	110.7%	66.6%	128.5%	126.8%	84.2%
HV 60d	99.6%	97.3%	102.3%	101.9%	101.5%
IV Rank	34.1%	13.0%	45.0%	35.8%	13.0%
IV Percentile	54.1%	11.7%	75.9%	56.2%	11.7%
Term Structure	1.7%	-9.4%	27.6%	1.8%	27.6%
VWIV	64.6%	58.6%	68.6%	58.6%	68.6%
Skew 25d	11.5%	-16.0%	69.3%	-16.0%	17.4%
Skew 10d	27.0%	-18.0%	112.6%	-11.6%	-1.0%
Call IV 25d	55.1%	34.6%	65.1%	62.9%	34.6%
Put IV 25d	66.6%	43.2%	131.8%	46.9%	52.0%
Bid-Ask Spread %	87.93	19.19	105.50	95.64	105.50
Gamma HHI	0.48	0.35	0.65	0.35	0.65
Net GEX	10.2K	3.6K	14.7K	12.6K	10.8K
Net DEX	184.9K	-1.6K	447.0K	113.6K	256.0K
Net VEX	-1.7K	-2.6K	-1.0K	-2.4K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.00	5.26	5.00	0.00
Total Volume	14.286	0	119	18	0
Total OI	4,369.286	3,974	4,562	4,531	4,045

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
2011-11-01	$8.92	$7.50	62.5%	17.9%	126.8%	35.8%	0.0%	-16.0%	1.8%	12.6K	113.6K	-2.4K	5.00	95.64	3	15	3,444	1,087
2011-11-02	$9.30	$7.50	62.8%	18.0%	125.3%	36.1%	0.0%	-13.1%	-1.4%	13.4K	52.0K	-2.5K	0.00	94.58	52	0	3,444	1,088
2011-11-03	$9.37	$7.50	60.7%	17.4%	125.2%	33.5%	0.0%	-11.3%	-0.2%	14.4K	30.0K	-2.6K	0.00	94.90	0	0	3,444	1,088
2011-11-04	$9.38	$7.50	57.3%	18.3%	125.2%	29.1%	0.0%	17.2%	0.7%	13.4K	33.3K	-2.3K	2.00	84.22	1	2	3,444	1,088
2011-11-07	$9.29	$7.50	61.5%	17.3%	121.2%	34.5%	0.0%	12.2%	2.2%	13.4K	66.9K	-2.2K	0.00	82.85	0	0	3,443	1,088
2011-11-08	$9.77	$7.50	63.9%	16.8%	121.6%	37.6%	58.6%	19.9%	0.6%	14.7K	-1.6K	-2.3K	0.00	88.20	3	0	3,443	1,088
2011-11-09	$8.75	$7.50	52.9%	18.1%	128.2%	23.3%	0.0%	3.4%	-0.2%	11.5K	128.5K	-1.9K	0.00	90.69	0	0	3,446	1,088
2011-11-10	$8.89	$7.50	58.0%	16.6%	128.3%	29.9%	0.0%	6.9%	5.2%	11.3K	121.3K	-1.9K	0.00	90.88	20	0	3,446	1,087
2011-11-11	$9.14	$7.50	60.3%	17.3%	128.5%	32.9%	61.9%	14.3%	-0.8%	11.9K	103.7K	-1.9K	0.00	85.77	15	0	3,466	1,087
2011-11-14	$8.81	$7.50	59.6%	17.1%	126.8%	32.0%	0.0%	-0.9%	0.2%	10.5K	137.0K	-1.7K	0.00	90.40	0	0	3,466	1,087
2011-11-15	$9.03	$7.50	58.3%	16.7%	125.3%	30.3%	0.0%	13.1%	2.8%	10.7K	132.4K	-1.7K	0.00	87.54	10	0	3,466	1,087
2011-11-16	$9.19	$7.50	59.0%	16.9%	125.0%	31.3%	0.0%	8.9%	0.7%	12.1K	48.0K	-1.9K	0.00	89.23	0	0	3,476	1,067
2011-11-17	$8.94	$7.50	55.3%	15.8%	124.6%	26.4%	0.0%	-13.6%	3.6%	11.1K	103.9K	-1.7K	0.00	96.25	28	0	3,476	1,067
2011-11-18	$8.41	$7.50	66.1%	18.9%	100.0%	40.4%	0.0%	17.4%	-9.4%	9.0K	167.7K	-1.4K	0.00	103.33	0	0	3,495	1,067
2011-11-21	$8.12	$7.50	65.5%	18.8%	100.9%	39.7%	65.7%	35.1%	1.1%	7.3K	447.0K	-1.2K	0.00	96.58	0	14	3,146	917
2011-11-22	$7.98	$7.50	68.6%	19.7%	98.4%	43.7%	0.0%	20.9%	0.5%	6.9K	362.5K	-1.2K	0.00	96.23	0	0	3,146	828
2011-11-23	$7.51	$7.50	68.4%	19.6%	101.2%	43.4%	68.4%	16.5%	-0.1%	5.4K	389.5K	-1.0K	5.26	86.00	19	100	3,146	828
2011-11-25	$7.18	$7.50	67.9%	19.5%	71.5%	42.7%	0.0%	6.7%	2.1%	3.6K	404.3K	-1.0K	0.00	19.19	0	0	3,162	884
2011-11-28	$7.49	$7.50	69.6%	20.0%	66.6%	45.0%	68.6%	69.3%	-5.5%	4.0K	411.8K	-1.0K	0.00	81.86	17	0	3,162	884
2011-11-29	$7.92	$7.50	62.6%	18.0%	69.7%	36.0%	0.0%	16.2%	3.5%	5.6K	374.2K	-1.2K	0.00	86.75	1	0	3,160	884
2011-11-30	$9.02	$7.50	44.9%	12.9%	84.2%	13.0%	0.0%	17.4%	27.6%	10.8K	256.0K	-1.6K	0.00	105.50	0	0	3,161	884