CALX Options History — September 2012

In September 2012, CALX traded between $5.05 and $6.80. ATM implied volatility averaged 64.6%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded below realized volatility by 4.8% (HV 20d: 69.4%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 2.00.

Notable Days

2012-09-27: Highest Volume — 100 contracts
2012-09-28: Largest IV spike — 59.6% change
2012-09-07: Highest IV Rank — 62.6%
2012-09-18: Largest Expected Move — 22.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.13	$5.05	$6.80	$5.18	$6.40
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	64.6%	45.1%	78.5%	76.1%	76.0%
Expected Move	18.9%	13.7%	22.0%	21.8%	21.8%
HV 20d	69.4%	64.4%	75.9%	64.4%	66.9%
HV 60d	89.9%	86.9%	91.3%	86.9%	90.8%
IV Rank	41.3%	11.4%	62.6%	58.9%	58.8%
IV Percentile	42.5%	4.0%	84.9%	77.0%	78.2%
Term Structure	5.0%	-10.5%	28.8%	-7.2%	-4.1%
VWIV	68.0%	53.2%	76.0%	69.8%	76.0%
Skew 25d	3.7%	-27.2%	67.4%	22.5%	-27.2%
Skew 10d	10.6%	-33.4%	81.5%	41.8%	-33.4%
Call IV 25d	65.4%	46.5%	89.1%	60.8%	75.6%
Put IV 25d	69.1%	48.4%	126.9%	83.3%	48.4%
Bid-Ask Spread %	100.61	90.42	106.83	98.22	95.30
Gamma HHI	0.59	0.41	0.92	0.41	0.65
Net GEX	3.0K	-445	4.9K	1.5K	3.3K
Net DEX	-63.7K	-136.9K	13.0K	5.2K	-46.6K
Net VEX	-581	-757	-270	-491	-718
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.00	0.00	8.50	0.00	0.00
Total Volume	26.789	0	100	0	1
Total OI	1,587.053	1,493	1,664	1,552	1,580

Daily Data (19 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
2012-09-04	$5.18	$5.00	76.1%	21.8%	64.4%	58.9%	0.0%	22.5%	-7.2%	1.5K	5.2K	-491	0.00	98.22	0	0	1,290	262
2012-09-05	$5.05	$5.00	68.7%	19.7%	65.3%	47.5%	69.8%	21.9%	-2.5%	1.3K	13.0K	-466	0.00	100.59	1	0	1,290	262
2012-09-06	$5.10	$5.00	70.5%	20.2%	65.2%	50.3%	70.5%	-0.6%	1.8%	1.5K	7.9K	-483	0.00	90.42	0	71	1,284	262
2012-09-07	$5.64	$5.00	78.5%	18.3%	72.6%	62.6%	0.0%	28.3%	10.3%	-445	-20.1K	-270	2.50	104.22	8	20	1,284	311
2012-09-10	$5.47	$5.00	70.7%	18.3%	72.5%	50.6%	0.0%	10.6%	9.7%	1.2K	-9.5K	-494	0.00	104.57	0	0	1,287	311
2012-09-11	$5.86	$5.00	45.1%	19.6%	75.9%	11.4%	68.7%	9.4%	5.9%	2.5K	-51.6K	-545	8.50	104.94	10	85	1,287	311
2012-09-12	$6.07	$5.00	52.7%	21.1%	73.7%	23.0%	71.9%	-2.6%	-0.1%	3.3K	-78.0K	-623	3.83	94.47	6	23	1,289	316
2012-09-13	$6.28	$5.00	61.8%	17.7%	74.0%	37.0%	0.0%	-7.4%	-2.7%	3.6K	-93.9K	-683	0.00	97.37	3	0	1,284	339
2012-09-14	$6.64	$5.00	64.6%	18.5%	70.1%	41.3%	65.6%	-12.3%	5.0%	4.5K	-124.9K	-705	0.00	100.30	0	20	1,282	339
2012-09-17	$6.80	$5.00	67.4%	19.3%	68.7%	45.5%	0.0%	-9.6%	4.2%	4.9K	-136.9K	-703	0.00	100.23	31	0	1,282	349
2012-09-18	$6.58	$5.00	76.6%	22.0%	70.6%	59.7%	53.2%	-23.7%	-10.5%	4.7K	-128.6K	-757	1.14	94.46	21	24	1,298	349
2012-09-19	$6.46	$5.00	58.6%	16.8%	71.2%	32.1%	0.0%	-2.7%	13.4%	3.8K	-91.1K	-630	0.00	100.01	0	0	1,302	362
2012-09-20	$6.33	$5.00	70.3%	20.1%	71.2%	50.0%	0.0%	-10.5%	-2.5%	3.7K	-84.7K	-636	0.00	104.30	0	0	1,302	362
2012-09-21	$6.77	$5.00	59.2%	17.0%	67.2%	32.9%	0.0%	67.4%	5.8%	4.1K	-109.3K	-602	0.00	104.05	0	15	1,301	358
2012-09-24	$6.72	$5.00	67.8%	19.5%	65.6%	46.2%	0.0%	-0.6%	4.8%	4.8K	-107.7K	-655	0.00	103.65	0	0	1,260	233
2012-09-25	$6.33	$5.00	62.6%	18.0%	68.2%	38.2%	0.0%	-7.6%	6.4%	3.6K	-71.9K	-575	0.00	104.25	0	10	1,260	233
2012-09-26	$6.28	$5.00	53.2%	15.3%	67.8%	23.8%	0.0%	10.9%	27.9%	2.4K	-33.6K	-467	0.00	106.83	0	60	1,260	243
2012-09-27	$6.54	$5.00	47.6%	13.7%	67.9%	15.2%	0.0%	3.5%	28.8%	3.1K	-47.0K	-535	0.00	103.33	0	100	1,260	270
2012-09-28	$6.40	$5.00	76.0%	21.8%	66.9%	58.8%	76.0%	-27.2%	-4.1%	3.3K	-46.6K	-718	0.00	95.30	1	0	1,260	320