CALX Options History — December 2011

In December 2011, CALX traded between $5.62 and $8.30. ATM implied volatility averaged 60.8%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded below realized volatility by 26.9% (HV 20d: 87.7%). Max pain ranged from $7.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.29.

Notable Days

2011-12-08: Highest Volume — 2,066 contracts
2011-12-27: Largest IV spike — 48.2% change
2011-12-14: Highest IV Rank — 65.8%
2011-12-21: Largest Expected Move — 20.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.64	$5.62	$8.30	$8.30	$6.47
Max Pain	$12.98	$7.50	$15.00	$7.50	$10.00
ATM IV	60.8%	40.6%	85.7%	51.3%	40.6%
Expected Move	17.8%	11.6%	20.9%	14.7%	11.6%
HV 20d	87.7%	79.5%	94.9%	87.7%	83.0%
HV 60d	101.9%	99.2%	105.2%	102.3%	99.4%
IV Rank	33.6%	7.4%	65.8%	21.4%	7.4%
IV Percentile	52.1%	4.0%	98.1%	31.6%	4.0%
Term Structure	3.8%	-33.8%	26.0%	-3.6%	24.9%
VWIV	52.6%	38.1%	65.7%	64.3%	53.7%
Skew 25d	9.6%	-36.1%	43.3%	-11.3%	43.3%
Skew 10d	19.4%	-45.1%	53.3%	27.6%	39.8%
Call IV 25d	63.2%	39.0%	172.0%	49.9%	40.6%
Put IV 25d	72.8%	38.6%	135.9%	38.6%	83.9%
Bid-Ask Spread %	57.74	13.92	95.59	59.67	13.92
Gamma HHI	0.47	0.37	0.69	0.68	0.42
Net GEX	3.4K	663	7.0K	7.0K	3.4K
Net DEX	301.7K	191.2K	433.1K	342.7K	191.2K
Net VEX	-3.1K	-4.5K	-737	-1.3K	-4.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.00	1.67	0.00	0.00
Total Volume	121.286	0	2,066	40	5
Total OI	5,543.857	4,045	6,350	4,045	5,928

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
2011-12-01	$8.30	$7.50	51.3%	14.7%	87.7%	21.4%	0.0%	-11.3%	-3.6%	7.0K	342.7K	-1.3K	0.00	59.67	40	0	3,161	884
2011-12-02	$7.90	$7.50	58.8%	16.8%	88.9%	31.0%	0.0%	15.3%	3.9%	5.9K	365.0K	-1.2K	0.00	30.70	4	0	3,201	884
2011-12-05	$7.91	$15.00	68.2%	18.1%	88.9%	43.2%	0.0%	-0.1%	4.7%	5.7K	379.8K	-1.1K	0.00	85.47	0	26	3,205	884
2011-12-06	$7.59	$15.00	66.6%	18.4%	89.6%	41.1%	64.3%	-2.8%	3.6%	3.7K	418.0K	-983	0.04	85.96	171	6	3,205	910
2011-12-07	$7.21	$15.00	68.5%	17.9%	87.8%	43.6%	49.4%	-6.5%	6.2%	4.1K	409.4K	-950	0.43	79.55	28	12	3,318	916
2011-12-08	$6.71	$15.00	49.8%	17.8%	83.2%	19.3%	43.1%	-11.5%	7.2%	2.8K	433.1K	-737	0.99	72.32	1,036	1,030	3,346	904
2011-12-09	$6.90	$15.00	44.3%	18.8%	83.9%	12.2%	65.7%	9.6%	2.5%	4.8K	204.0K	-4.5K	0.00	75.58	61	0	4,366	1,934
2011-12-12	$6.94	$15.00	48.3%	19.8%	82.8%	17.4%	0.0%	9.2%	-0.9%	5.3K	201.8K	-4.5K	0.00	35.90	8	0	4,406	1,934
2011-12-13	$6.52	$15.00	67.1%	19.7%	84.3%	41.7%	0.0%	16.8%	-1.1%	4.0K	238.4K	-4.2K	0.00	66.25	2	0	4,404	1,934
2011-12-14	$6.29	$15.00	85.7%	20.6%	83.2%	65.8%	0.0%	8.5%	-2.5%	3.3K	299.6K	-4.1K	0.00	67.98	0	10	4,406	1,934
2011-12-15	$6.42	$15.00	63.6%	18.2%	83.4%	37.2%	0.0%	14.5%	3.7%	3.4K	302.5K	-4.1K	0.00	62.18	0	0	4,406	1,944
2011-12-16	$6.26	$15.00	58.5%	16.8%	83.3%	30.6%	43.4%	-2.9%	-0.6%	3.1K	265.5K	-4.0K	0.00	58.41	20	0	4,406	1,874
2011-12-19	$5.62	$12.50	64.4%	18.5%	88.1%	38.2%	64.1%	17.7%	5.9%	1.4K	330.7K	-3.6K	1.25	60.22	24	30	4,095	1,827
2011-12-20	$6.07	$12.50	57.7%	16.5%	94.3%	29.6%	61.4%	-3.3%	26.0%	1.8K	294.1K	-3.8K	1.67	95.59	6	10	4,119	1,857
2011-12-21	$5.91	$12.50	72.8%	20.9%	94.4%	49.1%	43.0%	23.7%	-4.3%	1.8K	309.2K	-3.8K	0.00	93.69	3	0	4,113	1,867
2011-12-22	$6.17	$12.50	59.7%	17.1%	94.9%	32.1%	38.1%	34.9%	3.3%	2.2K	296.3K	-3.9K	0.00	39.38	8	0	4,116	1,867
2011-12-23	$6.29	$12.50	44.4%	12.7%	94.5%	12.4%	0.0%	31.1%	24.3%	2.9K	256.2K	-4.0K	0.00	48.94	2	0	4,124	1,867
2011-12-27	$6.25	$12.50	65.8%	18.9%	92.8%	40.1%	0.0%	35.7%	-33.8%	2.8K	273.3K	-3.9K	0.00	39.99	0	0	4,126	1,866
2011-12-28	$5.73	$12.50	69.6%	19.9%	93.3%	45.0%	0.0%	16.0%	1.1%	1.5K	269.6K	-3.5K	0.00	24.00	0	0	4,126	1,828
2011-12-29	$5.99	$10.00	71.2%	20.4%	79.5%	47.0%	0.0%	-36.1%	8.5%	663	254.9K	-3.6K	0.00	16.90	0	5	4,126	1,803
2011-12-30	$6.47	$10.00	40.6%	11.6%	83.0%	7.4%	53.7%	43.3%	24.9%	3.4K	191.2K	-4.0K	0.00	13.92	5	0	4,126	1,802