CALX Options History — June 2012

In June 2012, CALX traded between $7.40 and $8.22. ATM implied volatility averaged 71.4%, placing in the 53.8% IV rank vs the trailing year. The 30-day expected move averaged 20.7%. IV traded above realized volatility by 9.0% (HV 20d: 62.4%). 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 18 of 21 days. Put/call ratio averaged 1.35.

Notable Days

2012-06-13: Highest Volume — 490 contracts
2012-06-08: Largest IV spike — 64.3% change
2012-06-05: Highest IV Rank — 66.7%
2012-06-12: Largest Expected Move — 22.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.77	$7.40	$8.22	$7.40	$8.22
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	71.4%	46.2%	80.2%	74.4%	65.5%
Expected Move	20.7%	18.8%	22.3%	21.3%	18.8%
HV 20d	62.4%	57.8%	77.7%	77.7%	58.0%
HV 60d	76.9%	75.6%	78.2%	75.9%	77.6%
IV Rank	53.8%	16.7%	66.7%	58.1%	45.1%
IV Percentile	72.3%	12.7%	93.3%	82.9%	47.6%
Term Structure	3.1%	-3.9%	11.3%	1.0%	11.3%
VWIV	69.5%	53.7%	78.0%	58.7%	53.7%
Skew 25d	7.3%	-12.9%	60.4%	15.4%	24.4%
Skew 10d	14.9%	-14.7%	103.3%	24.6%	43.1%
Call IV 25d	65.4%	41.4%	77.3%	66.2%	41.4%
Put IV 25d	72.6%	59.7%	117.3%	81.6%	65.8%
Bid-Ask Spread %	44.42	16.16	78.63	22.26	69.29
Gamma HHI	0.56	0.44	0.78	0.51	0.56
Net GEX	28.6K	14.8K	61.9K	29.8K	22.8K
Net DEX	-993.6K	-1.7M	-568.2K	-936.9K	-1.1M
Net VEX	-3.7K	-4.7K	-3.0K	-4.7K	-3.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.35	0.00	10.00	0.38	0.00
Total Volume	88.571	0	490	105	60
Total OI	5,044.476	3,865	6,116	6,007	4,127

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
2012-06-01	$7.40	$7.50	74.4%	21.3%	77.7%	58.1%	58.7%	15.4%	1.0%	29.8K	-936.9K	-4.7K	0.38	22.26	76	29	4,462	1,545
2012-06-04	$7.54	$7.50	75.8%	21.0%	69.4%	60.2%	0.0%	-12.9%	4.1%	31.7K	-971.8K	-4.4K	0.00	78.63	130	0	4,458	1,574
2012-06-05	$7.86	$7.50	80.2%	21.0%	64.7%	66.7%	0.0%	-8.4%	3.4%	37.6K	-1.3M	-4.6K	0.00	77.84	0	40	4,530	1,574
2012-06-06	$7.94	$7.50	72.4%	20.7%	61.7%	55.2%	0.0%	-5.4%	3.6%	39.3K	-1.4M	-4.4K	0.00	54.05	0	0	4,530	1,554
2012-06-07	$8.15	$7.50	46.2%	20.3%	62.7%	16.7%	0.0%	-1.9%	4.6%	34.1K	-1.6M	-4.1K	0.00	56.09	3	0	4,530	1,554
2012-06-08	$7.66	$7.50	75.9%	20.7%	65.0%	60.3%	0.0%	-8.3%	1.8%	38.4K	-1.2M	-4.2K	0.00	54.64	0	20	4,531	1,554
2012-06-11	$7.65	$7.50	73.4%	21.8%	62.9%	56.7%	76.1%	-4.3%	3.2%	42.3K	-1.2M	-4.1K	1.00	44.22	10	10	4,531	1,560
2012-06-12	$7.72	$7.50	77.9%	22.3%	63.0%	63.3%	78.0%	-7.0%	-0.2%	46.5K	-1.2M	-4.0K	2.00	39.03	5	10	4,531	1,570
2012-06-13	$7.44	$7.50	75.0%	22.0%	63.7%	59.0%	0.0%	-11.5%	-2.2%	50.4K	-865.9K	-3.8K	0.02	43.72	480	10	4,536	1,580
2012-06-14	$7.64	$7.50	76.7%	22.0%	63.8%	61.5%	76.7%	-8.5%	2.2%	61.9K	-1.0M	-3.8K	0.08	20.34	260	20	4,271	1,590
2012-06-15	$8.14	$7.50	73.5%	21.1%	66.3%	56.8%	73.0%	0.9%	2.4%	15.0K	-1.7M	-3.6K	0.00	26.06	340	0	4,506	1,590
2012-06-18	$7.99	$7.50	73.8%	21.1%	63.0%	57.2%	74.2%	-0.1%	2.0%	15.4K	-826.5K	-3.5K	4.00	32.28	5	20	2,348	1,523
2012-06-19	$7.99	$7.50	73.2%	21.0%	58.9%	56.5%	0.0%	-0.6%	0.7%	15.5K	-836.0K	-3.5K	0.00	30.29	0	0	2,353	1,543
2012-06-20	$7.96	$7.50	70.6%	20.2%	57.8%	52.6%	0.0%	15.5%	2.8%	16.0K	-817.7K	-3.4K	0.00	36.13	0	0	2,353	1,543
2012-06-21	$7.59	$7.50	69.3%	19.9%	58.2%	50.6%	0.0%	10.4%	3.6%	15.3K	-654.0K	-3.3K	0.00	38.84	31	0	2,353	1,543
2012-06-22	$7.89	$7.50	72.1%	20.7%	59.3%	54.8%	0.0%	42.2%	2.5%	16.9K	-746.8K	-3.2K	0.00	36.85	0	0	2,322	1,543
2012-06-25	$7.73	$7.50	67.1%	19.2%	59.7%	47.5%	0.0%	41.0%	6.0%	17.4K	-680.3K	-3.0K	0.00	50.52	0	0	2,322	1,543
2012-06-26	$7.42	$7.50	72.2%	20.7%	58.2%	54.9%	0.0%	-0.6%	-3.9%	14.8K	-568.2K	-3.0K	0.00	16.16	0	0	2,322	1,543
2012-06-27	$7.58	$7.50	69.4%	19.9%	58.8%	50.8%	69.3%	11.9%	7.7%	16.2K	-627.7K	-3.0K	0.04	51.96	280	10	2,322	1,543
2012-06-28	$7.59	$7.50	66.1%	19.0%	58.8%	46.0%	66.1%	60.4%	8.0%	22.4K	-696.7K	-3.1K	10.00	53.57	1	10	2,574	1,553
2012-06-29	$8.22	$7.50	65.5%	18.8%	58.0%	45.1%	53.7%	24.4%	11.3%	22.8K	-1.1M	-3.1K	0.00	69.29	60	0	2,574	1,553