CALX Options History — January 2012

In January 2012, CALX traded between $6.29 and $8.50. ATM implied volatility averaged 63.7%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded below realized volatility by 13.2% (HV 20d: 76.9%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.31.

Notable Days

2012-01-06: Highest Volume — 201 contracts
2012-01-18: Largest IV spike — 29.5% change
2012-01-18: Highest IV Rank — 47.7%
2012-01-18: Largest Expected Move — 20.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.46	$6.29	$8.50	$6.39	$7.57
Max Pain	$7.89	$7.50	$10.00	$10.00	$7.50
ATM IV	63.7%	50.8%	71.7%	50.8%	69.1%
Expected Move	18.6%	14.6%	20.6%	14.6%	19.8%
HV 20d	76.9%	65.6%	88.1%	81.8%	67.2%
HV 60d	92.3%	79.0%	100.4%	99.4%	79.6%
IV Rank	37.3%	20.7%	47.7%	20.7%	44.4%
IV Percentile	60.8%	29.5%	84.4%	29.5%	75.6%
Term Structure	1.6%	-7.0%	18.0%	15.9%	-7.0%
VWIV	66.8%	63.3%	69.6%	63.3%	65.4%
Skew 25d	6.8%	-10.0%	25.5%	-10.0%	9.6%
Skew 10d	13.9%	-12.0%	70.4%	-10.7%	9.5%
Call IV 25d	54.9%	41.0%	67.0%	54.1%	48.0%
Put IV 25d	61.8%	44.1%	70.7%	44.1%	57.6%
Bid-Ask Spread %	58.10	15.12	94.02	56.20	16.55
Gamma HHI	0.54	0.46	0.68	0.46	0.54
Net GEX	8.1K	2.2K	17.4K	2.6K	7.5K
Net DEX	-203.8K	-693.9K	220.9K	184.4K	-473.6K
Net VEX	-3.9K	-4.2K	-3.8K	-3.8K	-3.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.00	1.80	0.00	0.00
Total Volume	36.65	0	201	8	20
Total OI	4,938.25	2,717	6,214	5,930	2,796

Daily Data (20 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
2012-01-03	$6.39	$10.00	50.8%	14.6%	81.8%	20.7%	0.0%	-10.0%	15.9%	2.6K	184.4K	-3.8K	0.00	56.20	0	8	4,128	1,802
2012-01-04	$6.29	$10.00	52.5%	15.1%	81.7%	22.9%	0.0%	-2.9%	14.4%	2.2K	220.9K	-3.8K	0.00	55.46	10	0	4,128	1,794
2012-01-05	$6.51	$10.00	55.7%	16.0%	82.5%	27.0%	63.3%	3.0%	18.0%	3.1K	205.3K	-3.8K	0.00	63.08	0	20	4,138	1,794
2012-01-06	$6.98	$0.00	55.1%	19.7%	85.1%	26.2%	68.8%	-5.5%	0.7%	4.7K	143.4K	-3.9K	0.00	15.12	201	0	4,138	1,814
2012-01-09	$7.04	$7.50	63.2%	19.7%	81.0%	36.7%	0.0%	0.9%	-0.2%	7.7K	32.7K	-4.1K	0.00	63.94	20	0	4,337	1,808
2012-01-10	$7.05	$7.50	66.0%	19.7%	80.4%	40.3%	0.0%	3.7%	-1.7%	8.2K	9.0K	-4.1K	0.00	45.10	30	0	4,353	1,808
2012-01-11	$7.24	$7.50	63.4%	19.3%	80.9%	36.9%	67.4%	8.0%	1.1%	10.1K	-19.3K	-4.2K	0.00	43.03	63	0	4,383	1,808
2012-01-12	$7.31	$7.50	68.4%	19.6%	77.3%	43.4%	0.0%	4.9%	-1.4%	11.0K	-23.9K	-4.2K	0.00	92.68	0	0	4,403	1,808
2012-01-13	$6.99	$7.50	65.6%	18.8%	78.0%	39.8%	65.9%	2.8%	1.1%	9.6K	55.5K	-4.1K	0.00	92.61	3	0	4,403	1,808
2012-01-17	$6.70	$7.50	55.4%	15.9%	79.5%	26.6%	0.0%	-0.2%	0.9%	4.8K	112.4K	-3.9K	0.00	93.95	0	0	4,406	1,808
2012-01-18	$7.51	$7.50	71.7%	20.6%	88.1%	47.7%	0.0%	12.6%	-1.8%	16.4K	-78.3K	-4.0K	0.00	91.70	150	0	4,406	1,808
2012-01-19	$7.75	$7.50	66.2%	19.0%	76.7%	40.6%	0.0%	12.0%	0.8%	17.4K	-227.8K	-4.1K	0.23	94.02	52	12	4,406	1,808
2012-01-20	$8.01	$7.50	64.8%	18.6%	73.6%	38.8%	64.8%	17.7%	3.1%	11.7K	-269.2K	-4.0K	0.63	91.22	8	5	4,387	1,820
2012-01-23	$8.42	$7.50	67.1%	19.2%	73.0%	41.8%	67.3%	25.5%	-3.3%	7.1K	-665.8K	-3.8K	1.80	50.57	5	9	1,527	1,190
2012-01-24	$8.50	$7.50	66.4%	19.0%	72.4%	40.8%	66.2%	20.6%	1.3%	6.9K	-679.5K	-3.8K	0.00	45.54	23	0	1,522	1,199
2012-01-25	$8.32	$7.50	69.1%	19.8%	73.6%	44.4%	68.9%	3.0%	-3.5%	7.4K	-667.7K	-3.8K	0.00	45.17	30	0	1,534	1,199
2012-01-26	$8.46	$7.50	69.5%	19.9%	73.2%	44.8%	69.6%	22.3%	-4.2%	7.3K	-693.9K	-3.9K	0.47	44.57	15	7	1,544	1,199
2012-01-27	$8.15	$7.50	65.3%	18.7%	65.8%	39.4%	65.4%	2.2%	-1.0%	7.8K	-631.4K	-3.8K	1.47	44.67	17	25	1,549	1,206
2012-01-30	$8.08	$7.50	68.2%	19.5%	65.6%	43.1%	0.0%	6.7%	-0.4%	7.6K	-609.0K	-3.8K	0.00	16.83	0	0	1,566	1,230
2012-01-31	$7.57	$7.50	69.1%	19.8%	67.2%	44.4%	0.0%	9.6%	-7.0%	7.5K	-473.6K	-3.8K	0.00	16.55	20	0	1,566	1,230