CALX Options History — April 2012

In April 2012, CALX traded between $6.90 and $8.64. ATM implied volatility averaged 68.5%, placing in the 54.0% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded above realized volatility by 7.6% (HV 20d: 60.9%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.60.

Notable Days

2012-04-25: Highest Volume — 876 contracts
2012-04-04: Largest IV spike — 23.6% change
2012-04-30: Highest IV Rank — 82.9%
2012-04-30: Largest Expected Move — 24.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.63	$6.90	$8.64	$8.64	$7.96
Max Pain	$6.38	$5.00	$7.50	$7.50	$7.50
ATM IV	68.5%	46.0%	86.6%	46.0%	86.6%
Expected Move	19.8%	13.2%	24.8%	13.2%	24.8%
HV 20d	60.9%	44.1%	77.3%	45.4%	77.3%
HV 60d	81.0%	79.3%	83.7%	80.2%	82.8%
IV Rank	54.0%	17.9%	82.9%	17.9%	82.9%
IV Percentile	73.0%	16.3%	98.8%	16.3%	98.8%
Term Structure	-2.5%	-16.4%	14.8%	14.8%	-16.4%
VWIV	70.0%	38.4%	90.6%	57.9%	86.6%
Skew 25d	-2.3%	-36.8%	31.6%	-23.6%	3.4%
Skew 10d	-1.7%	-45.0%	59.8%	-27.0%	7.3%
Call IV 25d	68.3%	41.3%	85.4%	62.8%	83.5%
Put IV 25d	66.1%	34.7%	114.7%	39.3%	86.9%
Bid-Ask Spread %	25.89	9.74	76.21	18.06	21.43
Gamma HHI	0.47	0.40	0.64	0.40	0.57
Net GEX	15.4K	9.7K	31.3K	15.7K	28.6K
Net DEX	-845.1K	-1.5M	-488.0K	-1.0M	-1.4M
Net VEX	-4.4K	-5.3K	-4.0K	-4.0K	-5.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.00	3.66	0.00	0.00
Total Volume	119.35	0	876	7	20
Total OI	3,973.95	3,497	4,838	3,694	4,838

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
2012-04-02	$8.64	$7.50	46.0%	13.2%	45.4%	17.9%	0.0%	-23.6%	14.8%	15.7K	-1.0M	-4.0K	0.00	18.06	7	0	2,479	1,215
2012-04-03	$8.40	$7.50	46.8%	13.4%	44.1%	19.2%	0.0%	-36.8%	6.5%	14.5K	-1.0M	-4.2K	0.00	17.53	0	0	2,481	1,210
2012-04-04	$7.79	$7.50	57.9%	16.6%	50.5%	36.9%	57.9%	11.8%	6.7%	12.3K	-758.3K	-4.1K	3.45	9.74	11	38	2,481	1,204
2012-04-05	$7.77	$7.50	56.5%	16.2%	49.8%	34.8%	56.5%	-0.1%	6.1%	11.6K	-716.1K	-4.2K	2.00	10.31	5	10	2,491	1,232
2012-04-09	$7.37	$5.00	64.5%	18.6%	48.5%	47.6%	63.4%	-10.1%	3.5%	10.3K	-564.7K	-4.0K	0.00	15.60	27	0	2,496	1,242
2012-04-10	$7.22	$5.00	62.3%	19.2%	47.8%	44.1%	38.4%	8.6%	-1.9%	9.7K	-498.6K	-4.0K	0.31	15.74	32	10	2,500	1,242
2012-04-11	$7.95	$5.00	63.7%	20.0%	60.8%	46.4%	51.0%	25.8%	-2.2%	11.8K	-779.8K	-4.1K	0.02	12.88	459	10	2,517	1,252
2012-04-12	$7.84	$5.00	67.3%	19.3%	60.8%	52.0%	0.0%	-2.9%	-1.9%	15.3K	-948.6K	-4.7K	0.00	20.14	103	0	2,893	1,252
2012-04-13	$7.50	$5.00	69.3%	19.9%	62.1%	55.3%	0.0%	17.4%	-2.4%	11.5K	-751.8K	-4.7K	0.00	34.58	0	0	2,843	1,252
2012-04-16	$7.57	$5.00	70.6%	20.2%	62.3%	57.4%	0.0%	14.1%	-2.9%	11.5K	-752.3K	-4.6K	0.00	15.94	0	0	2,843	1,252
2012-04-17	$7.70	$5.00	70.4%	20.2%	62.6%	57.0%	70.4%	16.6%	-4.0%	11.8K	-865.8K	-4.5K	0.19	14.58	27	5	2,843	1,252
2012-04-18	$7.33	$5.00	72.4%	20.8%	64.2%	60.3%	72.4%	-14.1%	-6.8%	10.9K	-679.9K	-4.5K	0.00	23.80	16	0	2,870	1,247
2012-04-19	$7.14	$5.00	72.8%	20.9%	64.4%	60.9%	72.8%	-12.8%	-8.4%	11.5K	-577.7K	-4.3K	0.48	40.84	42	20	2,885	1,247
2012-04-20	$6.90	$7.50	75.5%	21.6%	64.8%	65.1%	90.6%	-14.3%	-9.8%	14.0K	-488.0K	-4.2K	0.00	31.68	18	0	2,927	1,247
2012-04-23	$7.07	$7.50	79.9%	22.9%	65.8%	72.3%	79.9%	-19.8%	-11.9%	14.8K	-649.3K	-4.3K	0.00	12.86	95	0	2,427	1,070
2012-04-24	$6.95	$7.50	76.2%	21.8%	59.5%	66.3%	80.0%	-28.0%	-6.1%	15.4K	-616.3K	-4.2K	0.00	75.84	16	0	2,521	1,070
2012-04-25	$7.85	$7.50	75.5%	21.6%	76.0%	65.2%	74.8%	-13.3%	-2.6%	19.0K	-1.0M	-4.5K	0.01	76.21	869	7	2,537	1,070
2012-04-26	$7.64	$7.50	75.7%	21.7%	74.7%	65.6%	75.7%	31.6%	-3.9%	31.3K	-1.3M	-4.9K	3.66	23.01	70	256	3,308	1,076
2012-04-27	$8.05	$7.50	80.4%	23.0%	77.2%	73.0%	79.7%	1.1%	-6.7%	27.2K	-1.5M	-5.2K	0.00	27.02	214	0	3,338	1,329
2012-04-30	$7.96	$7.50	86.6%	24.8%	77.3%	82.9%	86.6%	3.4%	-16.4%	28.6K	-1.4M	-5.3K	0.00	21.43	20	0	3,509	1,329