CALX Options History — August 2012

In August 2012, CALX traded between $4.34 and $5.82. ATM implied volatility averaged 73.2%, placing in the 54.5% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded below realized volatility by 11.5% (HV 20d: 84.7%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.47.

Notable Days

2012-08-17: Highest Volume — 73 contracts
2012-08-03: Largest IV spike — 21.2% change
2012-08-13: Highest IV Rank — 72.3%
2012-08-13: Largest Expected Move — 22.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.04	$4.34	$5.82	$4.34	$5.31
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	73.2%	63.8%	84.8%	75.3%	68.0%
Expected Move	21.0%	18.3%	22.9%	21.6%	19.5%
HV 20d	84.7%	63.4%	121.4%	117.7%	63.4%
HV 60d	86.8%	85.3%	89.0%	85.7%	87.6%
IV Rank	54.5%	40.0%	72.3%	57.7%	46.6%
IV Percentile	67.8%	34.1%	94.8%	77.0%	46.8%
Term Structure	-2.1%	-10.9%	5.5%	0.2%	-1.7%
VWIV	73.4%	60.9%	82.2%	75.3%	77.4%
Skew 25d	26.2%	-20.3%	84.3%	84.3%	21.5%
Skew 10d	35.5%	13.3%	66.7%	66.7%	41.6%
Call IV 25d	56.7%	45.3%	75.4%	75.4%	57.0%
Put IV 25d	82.8%	46.5%	159.7%	159.7%	78.5%
Bid-Ask Spread %	88.83	71.70	103.78	81.68	94.06
Gamma HHI	0.58	0.36	0.82	0.71	0.40
Net GEX	4.7K	1.6K	12.2K	3.8K	1.6K
Net DEX	-31.8K	-135.8K	-787	-9.9K	-787
Net VEX	-524	-674	-413	-413	-516
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.47	0.00	10.00	0.31	0.00
Total Volume	18.174	0	73	46	15
Total OI	1,596.957	1,418	1,697	1,672	1,537

Daily Data (23 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
2012-08-01	$4.34	$5.00	75.3%	21.6%	117.7%	57.7%	75.3%	84.3%	0.2%	3.8K	-9.9K	-413	0.31	81.68	35	11	1,508	164
2012-08-02	$4.58	$5.00	63.8%	18.3%	120.5%	40.0%	0.0%	59.8%	5.1%	4.7K	-17.5K	-481	0.00	101.39	7	0	1,505	175
2012-08-03	$4.44	$5.00	77.3%	22.2%	120.4%	60.8%	82.2%	7.3%	-8.9%	4.0K	-20.1K	-444	2.00	103.78	20	40	1,512	175
2012-08-06	$4.51	$5.00	77.1%	21.2%	121.3%	60.5%	73.9%	13.7%	0.7%	4.2K	-4.2K	-454	5.00	87.20	2	10	1,492	205
2012-08-07	$4.49	$5.00	74.7%	20.7%	121.4%	56.7%	0.0%	12.5%	4.5%	4.3K	-5.7K	-486	0.00	89.87	0	0	1,494	195
2012-08-08	$4.56	$5.00	68.0%	21.1%	118.0%	46.4%	0.0%	12.6%	-1.6%	4.9K	-14.9K	-462	0.00	87.82	1	0	1,494	195
2012-08-09	$4.75	$5.00	81.7%	22.1%	83.4%	67.5%	0.0%	18.1%	-4.9%	6.0K	-46.1K	-530	0.00	95.29	0	0	1,495	195
2012-08-10	$4.97	$5.00	72.0%	21.0%	83.1%	52.6%	0.0%	20.0%	-0.4%	7.5K	-68.8K	-584	0.00	94.05	0	0	1,495	195
2012-08-13	$4.96	$5.00	84.8%	22.9%	83.1%	72.3%	80.0%	19.4%	-9.8%	8.5K	-51.7K	-522	0.00	93.28	2	0	1,495	195
2012-08-14	$4.74	$5.00	69.0%	21.2%	83.6%	48.1%	0.0%	26.2%	2.5%	8.0K	-25.2K	-518	0.00	96.05	2	0	1,495	195
2012-08-15	$4.85	$5.00	67.8%	20.7%	83.3%	46.2%	63.4%	24.3%	0.9%	10.4K	-31.8K	-489	0.00	91.35	0	10	1,497	195
2012-08-16	$5.31	$5.00	77.0%	22.1%	73.8%	60.4%	0.0%	33.0%	-8.4%	8.4K	-135.8K	-569	0.00	94.85	12	0	1,495	200
2012-08-17	$5.17	$5.00	70.1%	20.1%	67.8%	49.7%	70.1%	30.9%	-2.5%	12.2K	-113.1K	-477	0.59	89.45	46	27	1,496	200
2012-08-20	$5.27	$5.00	77.2%	22.1%	66.8%	60.6%	77.2%	37.9%	-10.9%	1.8K	-5.3K	-532	10.00	90.36	1	10	1,205	213
2012-08-21	$5.40	$5.00	71.3%	20.4%	65.0%	51.6%	0.0%	28.4%	-3.1%	1.9K	-12.3K	-542	0.00	78.15	3	0	1,206	223
2012-08-22	$5.29	$5.00	75.2%	21.6%	63.9%	57.5%	60.9%	33.9%	-2.4%	1.8K	-8.6K	-550	1.43	71.70	7	10	1,209	223
2012-08-23	$5.82	$5.00	71.7%	20.5%	69.4%	52.1%	0.0%	-20.3%	2.2%	2.8K	-49.9K	-674	0.16	90.79	63	10	1,211	228
2012-08-24	$5.62	$5.00	67.5%	19.4%	71.3%	45.8%	0.0%	32.0%	5.5%	2.5K	-37.8K	-633	0.00	78.88	0	0	1,253	238
2012-08-27	$5.42	$5.00	77.0%	22.1%	72.4%	60.3%	77.4%	31.4%	-6.7%	2.1K	-25.5K	-551	0.09	78.19	45	4	1,253	238
2012-08-28	$5.32	$5.00	72.6%	20.8%	68.7%	53.5%	0.0%	28.6%	-6.1%	1.8K	-9.5K	-523	0.00	89.34	0	0	1,270	242
2012-08-29	$5.53	$5.00	72.1%	20.7%	64.7%	52.8%	0.0%	25.9%	0.6%	2.2K	-25.8K	-573	0.00	72.47	0	0	1,270	242
2012-08-30	$5.34	$5.00	73.0%	20.9%	64.8%	54.2%	0.0%	20.8%	-3.4%	1.9K	-11.1K	-522	4.00	93.02	5	20	1,270	242
2012-08-31	$5.31	$5.00	68.0%	19.5%	63.4%	46.6%	0.0%	21.5%	-1.7%	1.6K	-787	-516	0.00	94.06	15	0	1,275	262