CALX Options History — February 2012

In February 2012, CALX traded between $7.97 and $11.98. ATM implied volatility averaged 58.1%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded below realized volatility by 42.6% (HV 20d: 100.7%). 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 12 of 20 days. Put/call ratio averaged 0.17.

Notable Days

2012-02-08: Highest Volume — 621 contracts
2012-02-06: Largest IV spike — 51.4% change
2012-02-29: Highest IV Rank — 49.4%
2012-02-02: Largest Expected Move — 19.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.29	$7.97	$11.98	$7.97	$9.04
Max Pain	$9.00	$7.50	$10.00	$7.50	$10.00
ATM IV	58.1%	37.8%	68.1%	64.0%	65.6%
Expected Move	17.3%	15.6%	19.5%	18.3%	18.8%
HV 20d	100.7%	67.7%	113.9%	68.4%	113.9%
HV 60d	90.6%	79.8%	95.3%	80.3%	90.0%
IV Rank	35.2%	3.9%	49.4%	37.7%	49.4%
IV Percentile	43.8%	0.8%	71.4%	57.5%	62.7%
Term Structure	0.1%	-6.5%	2.9%	0.7%	-3.8%
VWIV	58.4%	43.3%	65.5%	65.5%	43.3%
Skew 25d	4.8%	-11.1%	16.9%	2.2%	-11.1%
Skew 10d	21.3%	-7.8%	61.7%	5.4%	-7.8%
Call IV 25d	56.4%	45.3%	64.9%	60.2%	64.6%
Put IV 25d	61.2%	53.5%	67.3%	62.3%	53.5%
Bid-Ask Spread %	32.11	12.21	44.77	24.81	42.81
Gamma HHI	0.35	0.28	0.51	0.51	0.32
Net GEX	11.3K	7.2K	15.9K	7.7K	9.2K
Net DEX	-1.2M	-1.9M	-557.2K	-557.2K	-709.9K
Net VEX	-3.1K	-3.8K	-2.6K	-3.8K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.17	0.00	0.53	0.00	0.42
Total Volume	92.65	0	621	2	34
Total OI	3,171.5	2,806	3,642	2,806	3,223

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
2012-02-01	$7.97	$7.50	64.0%	18.3%	68.4%	37.7%	0.0%	2.2%	0.7%	7.7K	-557.2K	-3.8K	0.00	24.81	2	0	1,576	1,230
2012-02-02	$8.07	$7.50	68.1%	19.5%	67.7%	43.0%	0.0%	4.5%	-1.1%	7.8K	-588.6K	-3.8K	0.00	23.91	0	0	1,576	1,230
2012-02-03	$8.85	$7.50	37.8%	17.0%	73.1%	3.9%	65.5%	12.5%	-0.2%	7.2K	-818.6K	-3.6K	0.00	25.05	10	0	1,576	1,230
2012-02-06	$8.38	$7.50	57.3%	19.2%	74.1%	29.0%	64.7%	1.6%	-3.8%	8.2K	-730.9K	-3.6K	0.23	23.61	132	30	1,583	1,230
2012-02-07	$8.59	$7.50	47.8%	19.5%	74.3%	16.7%	0.0%	2.4%	-6.5%	7.6K	-811.4K	-3.5K	0.17	43.09	40	7	1,708	1,260
2012-02-08	$10.91	$7.50	66.6%	17.5%	110.0%	41.1%	60.5%	2.1%	-0.8%	10.2K	-1.5M	-2.8K	0.14	16.64	544	77	1,739	1,267
2012-02-09	$11.98	$7.50	56.9%	16.3%	112.9%	35.4%	60.2%	2.3%	1.2%	10.8K	-1.9M	-2.8K	0.18	32.89	165	30	1,880	1,333
2012-02-10	$11.83	$7.50	57.2%	16.4%	113.6%	35.8%	57.1%	16.9%	1.6%	12.5K	-1.9M	-2.6K	0.53	38.91	125	66	1,930	1,363
2012-02-13	$11.66	$10.00	57.5%	16.5%	111.7%	36.4%	58.0%	0.7%	2.4%	12.1K	-1.8M	-2.7K	0.43	42.53	61	26	1,990	1,429
2012-02-14	$11.75	$10.00	54.9%	15.7%	109.0%	32.2%	55.0%	13.9%	2.5%	12.0K	-1.8M	-2.8K	0.00	38.85	102	0	1,970	1,445
2012-02-15	$11.72	$10.00	54.5%	15.6%	104.6%	31.5%	54.6%	12.1%	2.9%	13.8K	-1.8M	-2.9K	0.07	44.77	70	5	2,060	1,445
2012-02-16	$11.79	$10.00	55.2%	15.8%	104.7%	32.7%	55.4%	12.1%	2.6%	15.9K	-1.8M	-2.9K	0.01	42.31	70	1	2,125	1,450
2012-02-17	$11.57	$10.00	56.0%	16.1%	105.5%	33.9%	0.0%	7.6%	2.2%	15.3K	-1.8M	-2.9K	0.00	44.15	10	0	2,192	1,450
2012-02-21	$10.79	$10.00	60.7%	17.4%	109.2%	41.4%	60.4%	3.8%	0.8%	14.8K	-1.3M	-2.9K	0.31	24.47	64	20	1,845	1,271
2012-02-22	$10.29	$10.00	61.8%	17.7%	111.3%	43.3%	61.6%	-3.5%	-1.1%	12.5K	-1.1M	-3.0K	0.00	24.60	27	0	1,832	1,291
2012-02-23	$10.71	$10.00	59.0%	16.9%	111.2%	38.7%	59.1%	-2.1%	2.2%	14.2K	-1.2M	-3.0K	0.50	21.77	10	5	1,831	1,291
2012-02-24	$10.19	$10.00	59.0%	16.9%	113.3%	38.7%	62.8%	-4.3%	0.6%	12.0K	-1.0M	-2.9K	0.01	12.21	101	1	1,831	1,296
2012-02-27	$10.05	$10.00	60.2%	17.3%	112.3%	40.7%	43.3%	14.5%	1.5%	12.2K	-970.2K	-3.0K	0.20	37.43	10	2	1,931	1,296
2012-02-28	$9.72	$10.00	61.8%	17.7%	113.2%	43.3%	0.0%	8.3%	-1.0%	10.8K	-888.2K	-3.0K	0.00	37.40	6	0	1,929	1,296
2012-02-29	$9.04	$10.00	65.6%	18.8%	113.9%	49.4%	0.0%	-11.1%	-3.8%	9.2K	-709.9K	-3.0K	0.42	42.81	24	10	1,927	1,296