CALX Options History — July 2012

In July 2012, CALX traded between $4.60 and $8.12. ATM implied volatility averaged 79.2%, placing in the 63.9% IV rank vs the trailing year. The 30-day expected move averaged 23.6%. IV traded below realized volatility by 16.5% (HV 20d: 95.7%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.56.

Notable Days

2012-07-24: Highest Volume — 317 contracts
2012-07-12: Largest IV spike — 70.9% change
2012-07-26: Highest IV Rank — 89.0%
2012-07-26: Largest Expected Move — 27.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.76	$4.60	$8.12	$8.02	$4.61
Max Pain	$6.13	$5.00	$7.50	$7.50	$5.00
ATM IV	79.2%	49.2%	95.7%	69.7%	83.4%
Expected Move	23.6%	19.4%	27.4%	20.0%	23.9%
HV 20d	95.7%	55.5%	121.8%	58.7%	117.6%
HV 60d	87.3%	74.8%	97.3%	77.8%	86.7%
IV Rank	63.9%	17.6%	89.0%	51.3%	70.1%
IV Percentile	82.7%	10.7%	99.2%	66.7%	93.3%
Term Structure	-5.2%	-18.3%	5.8%	2.1%	-2.2%
VWIV	77.8%	41.2%	93.4%	41.2%	85.0%
Skew 25d	20.5%	-18.3%	40.2%	25.9%	34.7%
Skew 10d	37.0%	-8.7%	64.7%	46.3%	45.2%
Call IV 25d	74.6%	48.7%	94.5%	48.7%	94.5%
Put IV 25d	95.1%	54.8%	129.1%	74.6%	129.1%
Bid-Ask Spread %	77.42	16.88	97.37	79.24	97.37
Gamma HHI	0.62	0.37	0.93	0.58	0.56
Net GEX	1.9K	-59.7K	26.2K	23.6K	4.6K
Net DEX	-101.4K	-1.1M	594.3K	-1.0M	-57.1K
Net VEX	-1.3K	-3.1K	-482	-3.1K	-594
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.00	3.33	0.00	0.00
Total Volume	50.095	0	317	47	21
Total OI	3,357.429	1,260	4,391	4,165	1,651

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
2012-07-02	$8.02	$7.50	69.7%	20.0%	58.7%	51.3%	41.2%	25.9%	2.1%	23.6K	-1.0M	-3.1K	0.00	79.24	47	0	2,612	1,553
2012-07-03	$8.01	$7.50	67.8%	19.4%	56.9%	48.4%	67.7%	23.4%	5.8%	24.6K	-1.0M	-3.0K	0.00	76.55	5	0	2,643	1,553
2012-07-05	$8.12	$7.50	67.9%	19.5%	57.0%	46.4%	0.0%	11.5%	4.7%	25.2K	-1.1M	-2.9K	0.00	87.97	6	0	2,643	1,553
2012-07-06	$7.81	$0.00	68.8%	21.0%	57.9%	47.8%	73.4%	-6.5%	-2.4%	25.5K	-905.5K	-2.9K	1.00	26.39	10	10	2,649	1,553
2012-07-09	$7.49	$7.50	73.7%	21.8%	55.5%	55.4%	0.0%	-7.7%	-2.8%	25.7K	-683.3K	-2.7K	0.00	27.78	21	0	2,655	1,563
2012-07-10	$7.21	$7.50	67.6%	23.9%	57.1%	45.8%	0.0%	-7.0%	-13.0%	26.2K	-432.3K	-2.4K	0.00	89.18	0	20	2,655	1,563
2012-07-11	$6.48	$7.50	49.2%	25.6%	67.6%	17.6%	0.0%	-18.3%	-16.5%	5.2K	151.9K	-1.2K	0.49	88.64	51	25	2,655	1,583
2012-07-12	$5.07	$7.50	84.1%	24.1%	107.7%	71.2%	84.1%	25.8%	-0.4%	-11.1K	420.0K	-989	1.16	16.88	87	101	2,654	1,595
2012-07-13	$4.82	$7.50	83.1%	23.8%	106.9%	69.7%	71.7%	22.3%	-6.9%	-12.7K	478.2K	-879	3.33	85.22	12	40	2,725	1,614
2012-07-16	$4.78	$7.50	82.4%	23.6%	102.1%	68.6%	81.8%	21.6%	-6.2%	-19.6K	563.8K	-738	0.80	85.23	25	20	2,727	1,639
2012-07-17	$4.60	$5.00	82.1%	23.5%	102.1%	68.1%	0.0%	18.7%	-7.8%	-11.6K	586.0K	-622	0.00	86.80	0	20	2,752	1,639
2012-07-18	$4.74	$5.00	83.9%	24.1%	103.8%	71.0%	0.0%	20.0%	-9.7%	-18.9K	594.3K	-625	0.00	94.93	0	0	2,752	1,639
2012-07-19	$5.45	$5.00	89.7%	25.7%	119.2%	79.9%	0.0%	32.2%	-12.5%	-9.8K	207.6K	-846	0.00	86.51	0	27	2,723	1,626
2012-07-20	$5.01	$5.00	82.3%	23.6%	121.0%	68.4%	0.0%	25.3%	-4.4%	-59.7K	416.7K	-759	0.00	87.49	3	0	2,723	1,626
2012-07-23	$4.85	$5.00	87.4%	25.0%	119.0%	76.2%	87.4%	32.1%	-4.9%	2.4K	-45.5K	-618	0.29	71.35	35	10	1,155	105
2012-07-24	$4.66	$5.00	86.7%	24.9%	119.1%	75.3%	86.7%	33.6%	-7.3%	1.8K	-20.1K	-482	0.14	83.53	277	40	1,154	115
2012-07-25	$4.89	$5.00	83.8%	24.0%	121.8%	70.7%	83.8%	40.2%	1.5%	4.4K	-79.8K	-703	0.00	85.41	54	0	1,415	155
2012-07-26	$4.70	$5.00	95.7%	27.4%	120.9%	89.0%	93.4%	38.9%	-18.3%	4.1K	-75.6K	-675	1.67	82.78	18	30	1,454	155
2012-07-27	$4.74	$5.00	87.3%	25.0%	121.1%	76.1%	0.0%	29.3%	-4.3%	4.4K	-68.7K	-688	0.00	89.23	11	0	1,461	174
2012-07-30	$4.90	$5.00	87.2%	25.0%	116.9%	75.9%	0.0%	33.9%	-4.6%	5.2K	-82.7K	-732	0.63	97.34	16	10	1,471	174
2012-07-31	$4.61	$5.00	83.4%	23.9%	117.6%	70.1%	85.0%	34.7%	-2.2%	4.6K	-57.1K	-594	0.00	97.37	21	0	1,487	164